Finding Public Data for Mortgage Prepayment Research

Summary

The exchange concerns whether researchers can obtain public or low-cost data on mortgage prepayment behavior, especially for European or German retail mortgage credits. One response points to the European Mortgage Federation as a possible source of market-level data and reports. It also suggests that Bloomberg may provide assumptions for some securitized mortgage products, depending on the pool and available coverage. Such assumptions might help researchers approximate patterns across a broader market, but the answer does not explain a specific extraction method or establish that the data are freely available in every case.

The questioner asks whether mortgage-backed security prices could be used to infer prepayment rates and mentions a commercial prepayment data site and Fannie Mae loan performance data as possibilities. The discussion ends before those questions are resolved. It therefore functions as a starting list of leads rather than a guide to reconstructing prepayment histories. The suggested sources differ in geography and likely coverage, so researchers would need to check whether their loan populations and variables fit a European or German study.

Key ideas

• The European Mortgage Federation is suggested as a source of mortgage market data and reports.
• Bloomberg may provide assumptions for some securitized mortgage pools, with availability dependent on the pool.
• Mortgage-backed security prices alone are raised as a possible route to estimating prepayment rates, but the exchange does not answer whether it works.
• The questioner identifies commercial prepayment data and Fannie Mae loan performance data as potential leads.
• The discussion does not verify source coverage for European or German retail mortgages.

Tags

# Prepayment-Data : Open Databases?


# Prepayment-Data : Open Databases?












I want to do empirical research regarding prepayment behaviour on mortgage credits.

Is there any public data provided online regarding this topic? I'm especially interessted in mortgage/retail credit data in the European Union or in particular, in Germany.

Thy,

KS

## Answer by SolitonK (score 1)

https://quant.stackexchange.com/a/31978

Kosta, this is a hard one. In principle if you had a securitized product made out of mortgage credits, under conditions, you could get a quasi-free solution with Bloomberg as they some times source assumptions. Depending on the pool you could probably generalize that for the market.

I understand however that you want historical patterns, my best bet at this stage would be the EMF, European Mortgage Federation. The source data and reports.

## Answer by Kosta S. (score 0)

https://quant.stackexchange.com/a/32051

Thanks for your Response SoltionK.

Could you be more precise on the Bloomberg Topic. If I could, f.e. find MBS Prices, would it be possible to extract prepayment rates on that?

Despites this, I found following pages, but I could not verify, if this is the data I'm looking for:

http://www.cprcdralpha.com/alpha/

http://www.fanniemae.com/portal/funding-the-market/data/loan-performance-data.html

What do u think?

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