Expert Meetings Residential Mortgage Prepayment Model

We helped a Dutch bank establish a vision on the prepayments level(s) of their residential mortgage portfolio by hosting a series of expert meetings. The goal of the sessions was to establish the prepayment level the bank expects in the near future, that is within a horizon of 10 years. To this end the total prepayment level is split in 3 subparts: refinance, curtailments

and relocation. We prepared a list of key factors driving these subparts, which were refined during the first session. For the consecutive session we provide more data and give insights into the impact of the choices of the experts. The final output of the work was a new set of model parameters to use for the banks prepayment model along with the impact on the balance sheet of the update in parameters.