MPS Loan Prepayment Index reports deliver user customized, peer based IRR model prepayment inputs. They enable more accurate estimation of earnings at risk and equity at risk, supporting stronger compliance with potentially reduced earnings loss. Prepayment data can be directly input into ALM models, producing scenario specific cash flows by category.
The index replaces selected elements of now unavailable OTS IRR model data and expands prepayment inputs to more categories. These meet recent regulatory demands for more accurate IRR models.
Forecasts are available for eight common fixed rate type loan categories: Auto New Fixed, Auto Used Fixed, Agricultural Fixed, Commercial Real Estate Fixed, Construction Land Development Fixed, Consumer Fixed, Commercial Fixed, Consumer Real Estate Fixed.
Unique prepayment inputs are forecast for Base Case and +/-100, +/-200, +/-300, +400 and +500 rate shock scenarios. Prepayments are provided in CPR and SMM formats by time period. User defined scaling (tuning) factors can be applied by category.
Prepayments are forecast using the MPS Advanced Assessment Methodology. This patented, advanced econometric approach analyzes national pools of historic category level loan prepayments in a custom designed simultaneous equations system. The comprehensive assessment recognizes financial influences, borrower attributes, and prevailing economic conditions. The forecasts of estimated prepayments adjust to unique current conditions and prepayments vary by rate scenario. Inputs are used in IRR models to modify cash flow runoff from existing loan balances in each IRR rate scenario.
How to Obtain MPS Loan Prepayment Index Reports
This service is sold and delivered via the MPS website for client convenience. MPS loan prepayment index reports are available as an annual subscription (4 quarterly reports) or as single reports. Using a web page order form, the user chooses the term of the contract (annual 4 report subscription or single report), method of payment (invoice or credit card) and desired user ID and password. Upon confirmation of payment, access to the core deposit index report area of the web site is granted.
An annual, 4 report subscription is $1,795, and single report is $995.
The MPS Loan Prepayment Index report requires institution input of category specific coupon rate and the new volume ratevia a web page input form. When the new quarter information is available (typically 5-7 business days from quarter end), an e-mail is sent to the user with a reminder to submit the institution's input on the MPS website.