Loan Portfolio Stress Testing
Comprehensive loan portfolio and sub-portfolio stress testing that isolates known and potential problem areas while supporting high quality portfolios by identifying mitigating risk factors.
Portfolio & Sub-Portfolio Stress Testing
Our teams are able to assist institutions with analysis of their loan portfolio or sub-portfolio stress testing — such as Specialty ARMs, Interest Only, Investor Properties, Home Equity and HELOCs and others. We isolate known and potential problem areas as well as provide support for high quality portfolios by pointing to the mitigating risk factors.
Our service evaluates portfolios and sub-portfolios on a loan level basis by utilizing a proprietary loan risk model that dissects historical curves (S&P, Moody's, public securitizations and servicing disclosures) and incorporates up to 65 variables from that loan to add or subtract risk and establish unique curves (pre-payment and default) for each individual loan.
Our Proprietary Loan Risk Model
HPI Factor Analysis
The model applies historic and forward looking HPI factors to each loan, providing a comprehensive view of property value trends and their impact on portfolio risk.
Servicer Risk Evaluation
Gateway evaluates the risk of servicing and determines +/- risk vs. average servicer, ensuring a complete picture of operational risk within the portfolio.
Underwriting & Appraisal Quality
Gateway evaluates underwriting and appraisal quality consistency and adjusts default and/or frequency based on due diligence findings.
Higher Risk Segment Isolation
Gateway identifies and isolates higher risk segments buried within the homogeneous population — including fraud, specific broker or referral risk, previously deferred or modified loans, and geographic and micro address concentrations.
Stress Testing Outputs & Scenarios
Base case outputs (economic stress scenarios) will be stressed nationally or by state, zip code, product type, property type — essentially any sub-population identified as higher risk during due diligence.
- Base case results stressed to include both economic stress scenarios and interest rate change scenarios
- Multiple output scenarios provided with detailed output and layered stratifications
- Illustrations of risk separation, expected frequency of default, severity and lifetime loss
- Analysis on individual layered loan populations for granular insight
- National or regional stress by state, zip code, product type, and property type
- Sub-portfolio analysis for Option ARMs, Interest Only, Investor Properties, Home Equity and HELOCs
Ready to Stress Test Your Portfolio?
Contact our team to learn how Gateway Asset Management can provide a customized, loan-level stress testing program for your institution.