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MORTGAGE PLATFORM FOR INVESTMENTS & REINSURANCE

Milliman M-PIRe

A comprehensive platform to evaluate mortgage investment opportunities, trends in the market, and portfolio aggregation

OVERVIEW

A better, faster way to see risk and profitability in the CRT market.

Milliman M-PIRe™ is a flexible web-based tool that provides clients with an automated and controlled process to efficiently evaluate and manage their exposure to the mortgage market. For credit risk transfer opportunities, the platform includes all of the data, models, and reporting tools required for both bonds and insurance exposures. The platform offers clients maximum flexibility and customization to meet their specific needs.

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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.

Review collateral

Understand seasoning, geographic distribution, and concentration of risk factors

Model collateral & review results

  • Use proprietary loan-level econometric model to generate performance estimates
  • Evaluate drivers of risk through deterministic baseline and stress scenarios

Run simulation model & extract structure cash flows

  • Use M-PIRe’s simulation model to create a stochastic perspective around baseline estimates
  • Review performance of each tranche/insurance contract within the deal structure

Aggregate portfolio participation

Reflect transaction participation amounts and correlation to generate portfolio view

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:

Insight

Related insight

INDEX

Milliman Mortgage Default Index: 2023 Q3

Mortgages expected to become delinquent in the future rose to 3.10% in Q3, up from 3.03% in Q2, according to the latest Milliman Mortgage Default Index (MMDI).

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Index

Milliman Mortgage Default Index, Q1 2020

Quarterly publication will evaluate default risk of U.S. mortgages delivered to Freddie Mac, Fannie Mae, and Ginnie Mae.

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White paper

Interact with the MMDI, Q1 2020

Quarterly publication will evaluate default risk of U.S. mortgages delivered to Freddie Mac, Fannie Mae, and Ginnie Mae.

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Article

In it for the long-haul: A case for the expanded use of the GSEs' reinsurance CRT executions

COVID-19's impact on the CRT markets

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White paper

Portfolio risk management Repurchase risk for non-QM mortgages

In the wake of the 2008 global financial crisis, many risk managers were caught flat-footed with representations and warranties exposure, also commonly known as repurchase exposure.

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White paper

M-PIRe housing market insights: A tale of two metros

What is the current state of housing markets and what are some possible future trends?

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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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Article

Forecasting the housing market

We give some guidance on housing affordability and home prices, considering the potential long-term impacts of recent supply and demand dynamics.

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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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Contact us

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