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CompassPoint’s™ MSR Analytics leverages CompassPoint™’s data mapping tools to enable seamless mapping, audit and import of portfolio loan data on a loan-level basis. Analysts can utilize multiple assumption sets to value portfolios on a loan or aggregate level, using static or OAS valuations. The analytics provide loan-level adjustors to all valuation models and include integration to industry standard prepayment models. CompassPoint™ provides robust and flexible reporting on all portfolio and results variables and reports can be run ad-hoc or in batch on an unattended basis. Reports can be printed, emailed or exported into Excel. The MSR Analytics are available on a licensed and hosted basis.

Mortgage Servicers

MSR Valuations & Assumptions

CompassPoint™ is an open-ended valuation model which allows users extensive analytical capability:

  • Use of Multiple Assumption Sets
  • Ability to Create Separate Worksets
  • Flexible Grouping By Collateral or Portfolio Subsets
  • Sharable MSR Models
  • Transmittable Assumption Sets so the User can Tie out with Brokers Using CompassPoint
  • Ability to Copy/Paste MSR Models
  • Multiple Assumption Sets for Buying/Selling of Loans
MSR Models

CompassPoint™ offers loan level valuation and loan level adjustors for greater granularity.

  • Investor Float and Advance Model
    • P&I, Prepayment Float # of Days and Rate
    • Advance Flag and # Days by Delinquency Foreclosure Status
    • Loan Level Static and Time-Based Adjustors
  • Tiered Servicing Fee Discount Model
    • Multiple Servicing Field Tiers Allow Separate Discount Rates
    • Loan Level Static and Time Based Adjustors
  • Servicing Cost
    • Base Servicing Cost
    • Cost Growth
    • Loan Level Static and Time Based Adjustors
  • Ancillary Income
    • Per Loan/Per Year Ancillary Fee
    • Ancillary Growth Rate
    • Loan Level Static and Time Based Adjustors
  • Prepayment Models
    • Static CPR
    • 3-Factor Model (Age, Seasonality, In the Money) w/Curve Shifters
    • ADCO and AFT Prepayment Models (Licensed Separately)
    • Bloomberg Median PSA’s
    • Loan Level Static and Time Based Adjustors
  • Delinquency/Foreclosure Model
    • Static or Vector Delinquency (15, 30, 60, 90 and 120 days)
    • Static or Vector Bankruptcy and Foreclosure Rates
    • User Defined % Late Fees Collected and Late Fee ($ or %) Method
    • Foreclosure Months
    • Additional Servicing Cost by Delinquency, Bankruptcy and Foreclosure Status
    • Loan Level and Time Based Adjustors
  • Escrow Model
    • Earn and Pay Rates
    • Tax and Insurance Constant Multiplier
    • Escrow Growth
    • Loan Level Static and Time Based Adjustors
  • Prepayment Penalty Model
    • Months Interest Applied ($ or %)
    • By State
    • Loan Level Static and Time Based Adjustors
Rate Shock Modeling

CompassPoint™ provides the following capabilities in modeling rate shocks:

  • User-Defined Rate Shock Magnitude and Number of Steps
  • TBA OAS Duration/Convexity:
    • User-Defined # of Paths
    • Mean Reversion
    • Constant or Dynamic OAS
    • Agency/Coupon OAS Reporting
  • Structured and Whole Loan Cash Flow Duration, Convexity
  • Observed Cash Pricing Duration, Convexity
  • Dynamic Convexity Overlay
    • Note Rate Spreads
    • Agency AOT Par Rate Adjustors
Reporting
  • Preformatted CPR, Attribution, KRD and Enterprise Reports
  • User can set up as a Scheduled Batch Process
  • Ability to Create Customized Reports