The November 15, 2023 Clarity Data Intelligence® (Clarity) release provides enhancements in both the Credit Risk Transfer (CRT) and Mortgage-Backed Securities (MBS) sections.

Here’s what’s new:

CRT Updates

Proxy Cohort Dashboards - Added Modification Losses

Now you have the option to view the Credit Event Loss, Modification Loss or Total Loss (Mod + Credit Event) on the Proxy Cohort dashboards. On the graph views, there is a drop-down selection. On the table views, all three fields are shown as columns.

Across Deals Graph View (Drop-down)

A histogram showing across deals for November 2023

Across Years Graph View (Drop-down)

A histogram of proxy cohort for years for November 2023

Across Deals Table View (Columns)

A proxy cohort table of numbers across deals for November 2023

Cumulative Loss Dashboard – Column Reordering

The main measures on this page – default (Credit Event), Loss, and Severity – are all grouped together on the left side of the page, with all the components of loss now on the right side.

Table of numbers showing cumulative loss for November 2023

MBS Update

Cohort-Level Prepayments Report – Added Fannie Mae Data
Now you can easily compare Government Sponsored Enterprise (GSE) prepayments, as Fannie Mae data has been added to the Cohort-Level Prepayments report. The report provides a side-by-side comparison in bar chart format, allowing you to view historical data or track intra-month trends as the next release of monthly factors approaches. The data is refreshed weekly on Wednesdays at approximately 4:30 p.m.

The MBS’s Clarity user guide has been updated to include this change.

Cohort-Level Prepayments Report

Picture of histogram showing Cohort Prepayment Nov 2023