AD&Co. Update

A Comparison of Speeds: v4.3.4 vs. v5.1c
by Rob Landauer

In last month’s Pipeline, we announced the release of v5.1c of our MBS Enhanced Prepayment Model which updated and refit all of the fixed rate agency models. As with any model release, customers need to know how upgrading from their current version (4.3.4a or 5.0.1a) to v5.1c will impact the valuation and hedge ratios for their MBS holdings.

Customers currently using v4.3.4a or v5.0.1a can quickly and easily assess the impact of the upgrade by testing the web-based demo for the Enhanced Prepayment Model which can be found at www.ad-co.com under the “Online Model Demos” tab or at the following link: http://dynamic.ad-co.com/ppdemo_v51a/fixed51.jsp. Name and passwords are required to access this demo—please contact Ilda or Albert to be enabled for a free trial of the online model. Customers may add unlimited use of the Enhanced Prepayment Model online to their current license for an incremental fee. Please contact Rob or Ilda for details.

To compare results from v4.3.4a/5.0.1a to v5.1c, simply check the box at the top of the grid entitled “Show 4.3.4/5.0 Output” (Screen Shot 1). If this box is checked, when the “Submit” button is clicked, the screen will return with a table and a graph that compares the vector of prepay speeds produced by v4.3.4/5.0 versus v5.1c. Monthly forecasts from v4.3.4/5.0 are shown in the SMM/CPR 5.0 column while summary results appear in the box labeled “Summary Stats for 5.0.” Monthly forecasts for v5.1c are shown in the SMM/CPR Total column and summary results appear in the “Summary Stats” box (Screen Shots 2 & 3).

For detailed HELP on the use of this screen, click on the “For help with this model click here“ link at the top of the page (Screen Shot 1).

 

 

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