Buyout & assignment
What will leave the pools over the coming year, what it costs to carry, and how much of it will assign.
One exhibit.
Our monthly client reports are built loan by loan. This is one view from one of them, on modeled data, so you can see how we think about speeds. The reports themselves go to clients.
A CPR is three different things wearing one number.
Balance leaves an HMBS pool for three reasons: assignment to HUD, voluntary payoff, and mortality or due-and-payable events. For this cohort most of the speed is assignment, which is arithmetic. Read as one CPR, it looks like behavior — and gets hedged like behavior.
28.9%
CPR, trailing 3 months
20.3%
Assignment to HUD
4.0%
Voluntary payoff
4.6%
Mortality & due-and-payable
Monthly CPR, decomposed
Assignment
Voluntary payoff
Mortality & D&P
| Month | Assignment | Voluntary payoff | Mortality & D&P | Total |
|---|---|---|---|---|
| Apr 24 | 11.7% | 4.2% | 4.8% | 20.8% |
| May 24 | 12.1% | 4.7% | 5.6% | 22.3% |
| Jun 24 | 13.3% | 3.8% | 5.3% | 22.4% |
| Jul 24 | 11.2% | 4.3% | 5.5% | 21.0% |
| Aug 24 | 13.0% | 4.0% | 7.2% | 24.3% |
| Sep 24 | 11.1% | 3.9% | 6.2% | 21.3% |
| Oct 24 | 11.9% | 4.6% | 4.9% | 21.4% |
| Nov 24 | 14.1% | 2.9% | 4.9% | 21.9% |
| Dec 24 | 18.7% | 3.4% | 5.8% | 28.0% |
| Jan 25 | 14.0% | 1.3% | 3.7% | 19.0% |
| Feb 25 | 13.5% | 2.9% | 4.7% | 21.1% |
| Mar 25 | 14.1% | 3.6% | 5.3% | 22.9% |
| Apr 25 | 15.2% | 2.8% | 5.7% | 23.7% |
| May 25 | 14.3% | 4.3% | 5.3% | 23.9% |
| Jun 25 | 19.8% | 4.5% | 5.4% | 29.7% |
| Jul 25 | 18.9% | 4.6% | 4.0% | 27.5% |
| Aug 25 | 16.6% | 3.3% | 5.9% | 25.7% |
| Sep 25 | 19.5% | 3.2% | 5.4% | 28.1% |
| Oct 25 | 20.6% | 4.7% | 5.8% | 31.1% |
| Nov 25 | 16.4% | 2.8% | 4.5% | 23.8% |
| Dec 25 | 20.8% | 3.5% | 5.5% | 29.8% |
| Jan 26 | 19.5% | 3.7% | 4.0% | 27.2% |
| Feb 26 | 21.2% | 5.4% | 5.9% | 32.5% |
| Mar 26 | 20.2% | 2.8% | 4.0% | 27.0% |
Annualized. Modeled series on a fictional cohort.
CPR decomposition
What is actually retiring balance, by cohort, every month.
Endorsements
What the insurer is taking on, by fiscal year, product and claim amount.
Claims & curtailment
What forward FHA claims are losing to severity, and to missed timelines.
Reports are sent as documents each month. Client populations can be run through the same views.