Prepayment model documentation template
The 29-page Word file that gives a model risk reviewer everything they ask for. Fill it in once. Skip the rework.
- Purpose, scope, governance and regulation
- Data, prepayment definition and methodology
- Validation tests with room for your thresholds
- Stress scenarios, monitoring and recalibration triggers
- A 31-line checklist to confirm nothing is missing before sign-off
What is inside
Thirteen sections and four appendices.
Each section has the tables to complete and a short note on what a reviewer expects.
- 1
Executive summary
The one page a reviewer reads first.
- 2
Purpose, scope and use
Decisions supported, regulation, risk tier.
- 3
Governance
Roles, approval route and review cycle.
- 4
Data
Sources, population, variable dictionary, quality tests.
- 5
Prepayment definition
Event, SMM, CPR, competing risks, censoring.
- 6
Methodology
Drivers, specification, baseline, challenger, assumptions.
- 7
Estimation results
Coefficients and driver importance.
- 8
Validation
Discrimination, calibration, backtest, stability.
- 9
Implementation
Forecast mechanics, controls, reproducibility.
- 10
Stress testing
Speed and rate scenarios with results.
- 11
Limitations
A register with the control for each one.
- 12
Monitoring
Red, amber, green thresholds and triggers.
- 13
Lifecycle
Change types and who approves them.
- A
Sign-off checklist
31 lines to confirm nothing is missing.
- B–D
Support material
Supporting output, glossary and references.
Take a look
Clean pages you fill in, not rebuild.
Cover and document control 
Data quality tests and limitations 
Out-of-time design and independent validation
Who it is for
Built for the people who defend the model.
- Treasury and ALM modellers who build prepayment models
- Model risk and validation teams who review them
- Heads of ALM and Treasury who sign them off
- Consultants who document models for clients
Made by Hublyt. Dr Tafirei Mashamba has delivered 20 training programmes for 13 organisations across banking, insurance and listed corporates, and has led IFRS 9 model development for banks in South Africa and Lesotho.
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