RiskSpan is excited to introduce the RiskSpan Vintage Quality Index (VQI)! Based on work by my colleague Scott Anderson and me, the VQI is designed to give an indication of the underwriting environment of a particular vintage of mortgage originations. This initial version of the index is based solely on the originations of fixed-rate 30-year mortgages and expands on our use of observed risk layers to control for vintage underwriting standards in our GSE credit model, first published in the Spring 2014 issue of the Journal of Structured Finance. A brief explanation of the theoretical backing of the VQI is available through the link below. We’ve also posted the index from 2000 through early 2014.
Beginning in November, RiskSpan will launch a new version of the VQI based on an expanded universe of loans that includes all GSE production. This will be published monthly as a part of our monthly issuance commentary. Over the next few months, I will write a series of blog posts that analyze trends in the VQI and its various components and explain how the index can be used to think about the future performance of recently originated GSE loans.
CLICK HERE to read more about the VQI.
CLICK HERE to download the data set.