Time series

Mortgage payment risk and fixed-rate premium (finwire)

Two finwire indices from one model. finwire_rate_risk_gauge (Ryzyko raty finwire): the chance that the monthly payment of a PLN 400,000, 30-year variable-rate mortgage rises by more than 5% within 12 months, with the 10th, 50th and 90th percentile of the payment in 3, 6 and 12 months. The centre comes from forward rates implied by the WIBOR curve (3x6 and 6x12), the interval from errors of the same forecast over the last 10 years; walk-forward backtest since 2008 with 80% interval coverage, median error vs a no-change forecast and a Brier score. finwire_fixed_rate_premium (Premia za stałą stopę finwire): the typical 5-year fixed mortgage rate in bank offers minus the expected cost of the variable rate over 5 years, in percentage points, daily, plus a monthly series from ECB MIR (new housing loans in Poland) and windows of a negative premium. Only the results are published, never the WIBOR benchmark itself. Informational, not investment or credit advice.