S&P Launches New MBS Model
Standard & Poor's has released SPIRE, a proprietary cash-flow modeling system for residential mortgage-backed securities.
SPIRE (Standard & Poor's Interest Rate Evaluator) provides access to the same tools used by S&P analysts to obtain "rapid feedback" on possible RMBS securitization structures, S&P said.
Used in conjunction with other S&P models, SPIRE analyzes the effect of variable interest rates on assets and liabilities associated with structuring RMBS.
It incorporates S&P's collateral and cash-flow modeling criteria for foreclosure frequency, loss severity and loss coverage requirements, as well as vectors for voluntary prepayments and interest rate risk, the company said.
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