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Loan Prepayment Modeling

Loan level modeling of prepayment is an important aspect of hedging, risk assessment, and retention efforts of the hundreds of companies in the US that trade and initiate Mortgage Backed Securities (MBS). In this paper we review and investigate different aspects of modeling customers who have taken jumbo loans in the US using MineSet. We show how refinancing costs differ across states and counties, and which attributes make good predictor variables for prepayment forecasts. Our data comes from the McDASH Analytics database containing real data, which tracks loans over the past nine years at monthly intervals.