Enhancing Loan Portfolio Valuation with Quantitative Pre-payment Modeling

Presented: August 14, 2003
Speakers: Glenn Schultz, Director of Prepayment Modeling and Analytics, Banc One Capital Markets

Listen to the archived webcast.

Read the most recent Prepayment Insight article by Glenn Schultz on the detailed analysis of New Century Financial Corporation's home equity loan portfolio to learn more about the topics presented during the webcast.

Literature reference list for webcast.

Abstract
The origination and securitization of nonprime mortgages has increased significantly in recent years due to the expansion and differentiation of products offered to consumers on the part of lenders seeking incremental growth and greater acceptance on the part of institutional investors of nonprime mortgages as a viable investment strategy.

The proper modeling of prepayment rates is crucial to estimate the value of the embedded option due to borrower refinancing and for valuation of residuals and mortgage servicing rights. Understanding the factors that drive prepayment rates also allows issuers to correctly price loan packages and/or alter their underwriting matrix to build a nonprime mortgage servicing portfolio that offers superior performance characteristics.

This webcast, presented by Glenn Schultz CFA, Director Prepayment Modeling and Analytics with Banc One, illustrates how accurate modeling of the prepayment rate of nonprime mortgages can be achieved using Insightful Miner and S-PLUS. Specific, realistic case studies including analysis of how refinancing and property types may influence prepayment behavior will give attendees an overview of the flexibility, accuracy and robustness of the obtained prepayment models.

Who should attend?
This web seminar addresses various sectors of the loan and mortgage market including retail and wholesale loan originators, brokers, correspondents and others. It will also appeal to those using quantitative methods for analysis and predictive modeling in finance.

Glenn Schultz is the Director of Prepayment Modeling and Analytics and heads the Residential Asset Backed Securities (ABS) Research effort at Banc One Capital Markets (BOCM), Inc. His responsibilities include:

• Relative value analysis of both the asset backed and mortgage backed securities (ABS and MBS) sectors
  
• Analysis of the credit, prepayment and structural characteristics of asset backed securities.

As part of BOCM's residential research effort, Glenn is responsible for BOCM's loan level prepayment analysis and modeling efforts and relative value analysis. Glenn has written about a wide variety asset types and his work has been featured in a number of industry publications including:

• The Handbook of Structured Securities.
  
• The Handbook of Corporate Debt Securities.
  
• The Handbook of Non-Agency CMOs.
  
• The Investing in Asset Backed Securities.
  
• The Handbook of Fixed Income Securities.
  
• The Handbook of Mortgage-Backed Securities.

Prior to joining BOCM, Glenn worked as Director of Financial Strategies for Prudential Securities. Glenn is a member of the Investment Analyst Society of Chicago and the Association for Investment Management and Research. He earned an MBA from the University of Louisville.