First American CoreLogic Announces Availability of LoanPerformance Risk Model 4.1 Analytics Solution
—Latest Release Features New Loss Given Default Statistical Model, Home Equity Model Enhancements—
December 4, 2008, SANTA ANA, Calif.
First American CoreLogic, a member of The First American Corporation (NYSE: FAF) family of companies and America’s largest provider of advanced property and ownership information, analytics and services, today announced the availability of RiskModel 4.1, its industry-leading analytics solution, which forecasts future mortgage prepayments, defaults, losses and projected cash flows.
Highlights of the new release include:
- New Loss Given Default (LGD) Statistical Model: RiskModel 4.1 features a fully redeveloped LGD model that utilizes a significantly larger dataset with two years of additional historical data and 370,000 additional observed losses. This expanded dataset, coupled with enhanced equations, results in an improved ability to capture the effect of significant changes in housing prices and the corresponding interaction between loan characteristics. In addition, a new LGD validation study has been completed that provides the results of back testing Alt-A and nonprime loans liquidated between January 2007 and March 2008.
- Enhanced Home Equity Line of Credit (HELOC) Model: RiskModel 4.1 features a number of enhancements to its HELOC model including new calibration dials, loan-level reporting metrics for loss forecasting and portfolio-level cash flow reporting.
- New Adjustment Dials: RiskModel 4.1 features enhanced adjustment dials for prime, subprime, Alt-A and HELOC collateral to include the ability to dial on both simulation month and change in home price index (HPI).
- Expanded Core-Based Statistical Area (CBSA) Codes: RiskModel 4.1 now supports user-defined Home Price Indices (HPI) path files that use 432 standard CBSA codes for increased HPI granularity.
- New Data Management Utility: Enables seamless export and import of data files through a new utility that provides the ability to export data from the proprietary files for housing price, interest rates and exposure assumptions into a comma separate formatted file (CSV). Once exported, users can view, modify and import the data back into the RiskModel for processing.
“The release of RiskModel 4.1 represents both significant enhancements and improved performance for our clients at a most critical time for our industry,” said Dan Berman, senior vice president, mortgage analytics, for First American CoreLogic. “The updated LGD model will more accurately forecast performance given the expanded dataset used to build the model and the ability to take into consideration the current housing price environment.”
The LoanPerformance RiskModel can enhance portfolio management to project the performance and volatility of a portfolio as well as individual loans. Drawing on the mortgage industry’s most comprehensive database—more than 70 million prime and subprime loans—and employing sophisticated predictive modeling, the RiskModel provides the only commercially available model that simultaneously considers credit and prepayment risk. Key analytical capabilities include built-in Monte Carlo simulators of interest rates and home prices that are user modifiable, “dials” to calibrate the model to unique aspects of a client’s portfolio, the ability to track loan transitions through eight payment statuses of delinquency and default and an application programming interface (API) than can be embedded in mortgage pricing and trading systems to analyze huge volumes of bonds and other securities. More information about the LoanPerformance RiskModel can be found at www.loanperformance.com.
About First American CoreLogic
First American CoreLogic, a member of The First American Corporation (NYSE:FAF) family of companies, is the largest provider of real estate, property and ownership data and advanced analytics for information on foreclosures, delinquencies, median home prices, home price indices, home valuations, sales activity and mortgage loan originations. The market-specific data covers 7,609 ZIP codes, 958 Core Based Statistical Areas (CBSA) and 3,050 counties located in all 50 states and the District of Columbia. This data represents 99 percent of the United States population, 140 million (97 percent) of all properties, more than 50 million active mortgages and $2 trillion in loan-level, non-agency mortgage securities. First American CoreLogic’s products and services enable customers to better manage mortgage risk, protect against fraud, acquire and retain customers, manage credit risk, mitigate loss, decrease mortgage transaction cycle time, more accurately value properties and determine real estate trends and market performance. More information about First American CoreLogic can be found at www.facorelogic.com.
About First American Corporation
The First American Corporation (NYSE: FAF) is a FORTUNE 500® company that traces its history to 1889. With revenues of approximately $8.2 billion in 2007, it is America’s largest provider of business information. First American combines advanced analytics with its vast data resources to supply businesses and consumers with valuable information products to support the major economic events of people’s lives, such as getting a job, renting an apartment, buying a car or house, securing a mortgage and opening or buying a business. The First American Family of Companies, many of which command leading market share positions in their respective industries, operate within five primary business segments, including: Title Insurance and Services, Specialty Insurance, Information and Outsourcing Solutions, Data and Analytic Solutions, and Risk Mitigation and Business Solutions. More information about the company and an archive of its press releases can be found at www.firstam.com.