{"model":"llpa_overlay","model_version":"llpa_overlay_v1","trained_at":"2026-09-23T22:37:17Z","target":"cumulative_loss_bps","target_definition":"is_credit_event * 3000 + IF(modified='Y', 500, 0). Flat 30% LGD anchor + 500 bps modification servicing-cost proxy. Source-specific credit events: Fannie {03,06,09,15}, Freddie {03,09}. Right-censored loans + Freddie admin-removal codes (02,06,96,97,98,99) excluded.","universe":"GSE conventional conforming acquisitions (FNM_SFP + FRE), purchase + refi, owner-occupied, originated 2014-2022. Per-source loan_purpose + occupancy code sets harmonized; FICO clamped to [300,850]; LTV clamped to [1,105] (drops sentinels + HARP refi).","vintages_trained_on":[2014,2015,2016,2017,2018,2019,2020],"vintages_oot":[2021,2022],"n_train":11990779,"n_oot":1245730,"n_holdout":500000,"stage1_n_iter":143,"stage2_n_iter":500,"calibrator_source":"holdout-fit (Phase 3)","wal_factor":null,"bps_translation":null,"phase4_verdict":null,"phase4_rationale":null,"phase4_auc_overall_overlay":null,"phase4_auc_overall_combined":null,"phase4_decile_gate_pass_rate":null,"phase5_di_verdict":null,"phase5_di_rationale":null,"phase5_air_q4_over_q1":null,"phase5_proxy_correlations":null,"band_thresholds":null,"decile_cuts_nonzero":null,"expected_inputs":["borrower_fico","original_ltv","loan_purpose","property_state","gse","original_cltv","original_upb","dti","occupancy","property_type","number_of_units","product_type","channel","original_interest_rate","canonical_seller_name","first_time_homebuyer","number_of_borrowers"],"caveats":["Magnitude calibration is approximate (Phase 4 NARROW verdict): the model rank-orders within-cell credit-event risk reliably (AUC 0.67-0.74) but undershoots realized loss magnitudes on the 2021-2022 OOT cohort by ~60%. Use `overlay_band` and `overlay_decile` (ordinal outputs) for operating decisions; `overlay_bps_raw` is informational only.","Fair-lending DI audit (Phase 5) verdict: ACCEPTABLE. AIR(Q4/Q1) = 0.946 (4/5ths rule clean). One state-proxy feature (FEMA disaster index) correlates with minority concentration r = +0.63 across states; documented as a known limitation, with a re-fit playbook ready if a future fair-lending exam pushes back on the disaster feature.","Within-cell residual model: predicts what the LLPA grid leaves unpriced, after the grid's own FICO × LTV charge. A 'low' band means the grid already prices this loan correctly — not that the loan is low credit risk."]}