The AFT Prepayment and Credit Model is a comprehensive tool designed to evaluate complex, interrelated risks in the mortgage industry. It forecasts key metrics such as prepayments, defaults, delinquencies, and loss severity for residential and multifamily mortgages. By leveraging ICE's extensive data assets and advanced modeling techniques, the model delivers consistently reliable results and quickly adapts to market shifts. Its sophisticated approach combines statistical and behavioral modeling to realistically capture borrower behavior across various scenarios. This enables a more complete understanding of risk throughout the loan life cycle, aiding lenders, servicers, and capital markets professionals in making informed decisions.

Key Features & Benefits

• Unique Data Advantage: Utilizes unparalleled data assets, including an industry-leading servicer-contributed loan-level database, to develop, validate, monitor, and recalibrate the model.
• Sophisticated Modeling Approach: Employs an innovative technique that combines the best of statistical and behavioral modeling to realistically capture borrower behavior in different scenarios.
• Single Structure to Project Loss: Provides a more complete understanding of risk throughout the loan life cycle by projecting prepayment, default, and loss severity in a single structure.
• Reliable Results in Various Economic Scenarios: Evaluates multiple risk factors and provides detailed forecasts for residential and multifamily mortgages, adapting quickly to market changes.
• Model Differentiators: Offers strategic, proactive, and actionable analytics, built on industry-leading data, integrating with ICE’s hyper-local Home Price Index (HPI) for precise and current Loan-to-Value (LTV) estimates, and includes up-to-date modeling treatments to handle the impact of government programs.