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MORTGAGE PLATFORM FOR INVESTMENTS & REINSURANCE

Milliman M-PIRe Valuation & Securitization Software

A comprehensive suite of tools to evaluate and manage mortgage opportunities, trends in the market, and portfolio aggregation.

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OVERVIEW

Bringing clarity to the credit risk transfer market.

Milliman M-PIRe® is a flexible, web-based tool that efficiently evaluates and manages exposure to the mortgage market including mortgage performance models, a complete cash flow library for bonds and reinsurance credit risk transfer securities, whole loan portfolio modeling, and benchmarking.

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Article

CRT 101: Everything you need to know about Freddie Mac and Fannie Mae Credit Risk Transfer

Evaluating a CRT transaction requires the ability to process large loan pools, the structure of the transaction, and outcomes over a range of possible outcomes

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Benefits

A holistic mortgage valuation & securitization platform

For one credit risk transfer transaction, or for a portfolio of exposures, Milliman M-PIRe allows users to efficiently evaluate the risk and return profile of the security including detailed collateral reviews, modeling the deal structure, perform deterministic and stochastic scenarios, and monitor risk trends developing within the mortgage market. Data, economics, and model estimates are automatically updated monthly so you can easily assess exposures and mortgage opportunities.

M-PIRe Securitization Software, bar graph comparing FICO and Net Loss Rate

Review collateral

Understand seasoning, geographic distribution, and concentration of risk factors. M-PIRe’s visuals provide transparency into model relationships and inform users of key drivers of risk and performance. The level of transparency built into the securitization software helps you clearly articulate investment rationale and the associated risk to your risk committee, rating agencies, large investors, and board.

M-PIRe Securitization Software, bar chart of full trench evolution over transaction time horizon which determines risk

Model collateral & review results

Use Milliman’s proprietary loan-level mortgage valuation model to generate performance estimates across alternative economic scenarios. Using M-PIRe’s integrated data and analytics, users can evaluate collateral and cash flow results through an intuitive point-and-click interface, saving clients significant data processing and technology investment.

M-Pire Securitization Software, line graph of ultimate premium and loss by collateral loss percentile

Streamline simulations

Use Milliman M-PIRe’s simulation model to create a stochastic perspective around baseline estimates of cash flows.

For credit risk transfer securities, users can review the historical and forecasted performance of each tranche, or insurance contract within the deal structure. This includes full stochastic distributions of potential outcomes–our advanced computing methods produce fully correlated stochastic portfolio simulations in minutes.

M-PIRe Securitization Software, view of the Bond Portfolio page, information and exposures and predictive analysis of credit risk.

Aggregate portfolio participation

Reflect transaction participation amounts and correlation to generate portfolio view across credit risk transfer securities, private mortgage insurance opportunities, multifamily exposures, and non-US transactions. Milliman M-PIRe provides a complete set of risk transfer tools for mortgage valuation and analysis.

Features

M-PIRe valuation & securitization software features:

Data visualization

Data visualization

User friendly dashboards display analyzed and accurate data that promote an understanding of risk and sound decision-making. These visual tools are designed to get underneath the data and remove the models out of the “black box.” Robust model governance processes eliminate human and processing errors.

Collateral Types

Collateral Types Modeled in M-PIRe

Milliman M-PIRe covers multiple collateral types and structures, providing the most comprehensive cash flow library for:

GSE CRT

M-PIRe contains mortgage performance models and cash flow structures for public GSE CRT issuance.

PMI CRT

M-PIRe contains mortgage models specific to PMI including models to forecast PMIERs capital. M-PIRe includes cash flow structures for all of the PMI companies covering both PMI reinsurance and ILN transactions.

Multifamily CRT

M-PIRe contains multifamily mortgage performance models and cash flows structures for Freddie and Fannie multifamily transactions.

Non-US

M-PIRe contains performance vectors and cash flow structures for several non-US mortgage transactions, including Australian PMI and European transactions.

Insight

Related insight

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INDEX

Milliman Mortgage Default Index

The MMDI is a lifetime default rate estimate calculated at the loan level for a portfolio of single-family mortgages.

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PMI quarterly report

Private Mortgage Insurer market trends and highlights

Since 2018, Milliman has been tracking the Private Mortgage Insurer (PMI) New Insurance Written (NIW) landscape and Insurance In Force (IIF) performance to keep our finger on the pulse of the market.

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Article

A pathway to homeownership: Housing finance agencies and down payment assistance programs

Understanding the advantages and challenges of down payment assistance programs is critical to the mission-–and balance sheet-–of housing finance agencies.

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Mortgage secondary market solutions

Introduction to mortgage pipeline hedging

This white paper introduces key concepts in pipeline risk management, focusing on pull-through risk and the financial exposure lenders assume during the application and mortgage origination process.

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Mortgage secondary market solutions

Introduction to mortgage pipeline hedging: Hedging with TBAs

The paper highlights how convexity and basis risk introduce exposure during large interest rate shifts, which can erode lender margins even when hedged.

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White paper

Understanding mortgage reinsurance loss reserves

We consider the dynamic and hybrid loss-ratio methods to be the most robust when reserving for reinsurers' mortgage exposures.

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Webinar series

CRT Executive Summary

CRT Executive Summary is an efficient and innovative webinar series by Milliman to keep you up to date on current trends in the CRT market. The information provided by the CRT Executive Summary covers all key aspects of the CRT market: collateral trends, CRT issuance trends, changes in deal structures, and current market pricing.

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Resources

M-PIRe resources

Brochure

M-PIRe brochure

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FAQ

Consulting

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