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Model Performance - December '06
v5.2a vs. 5.1f ARM Model
by Dan Szakallas
Last month, we introduced the 5.2a ARM prepayment model and studied its performance across various FHLMC hybrids. This month, we look at not only the 5.2a model performance for November, but also performance of the previous version, 5.1f, to show the differences between the models. Specifically, we are going to focus on FHLMC hybrids, specifically 3/1’s, 5/1’s, 7/1’s and 10/1’s, indexed to 1-year Treasury.
v5.2a v 5.1f
FHLMC 3/1
|
FHLMC 5/1
|
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| Coupon | Actual |
v5.1f Model |
v5.2a Model |
Balance |
Actual |
v5.1f Model |
v5.2a Model |
Balance |
| 3.25 | 13.0 | 25.1 | 23.8 | $56,422,940 | - | - | - | - |
| 3.50 | 22.5 | 25.8 | 26.0 | $81,932,918 | - | - | - | - |
| 3.75 | 26.7 | 25.8 | 27.5 | $124,231,879 | 4.9 | 24.6 | 17.3 | $18,897,822 |
| 4.00 | 35.9 | 26.7 | 30.7 | $92,742,375 | 14.0 | 24.3 | 17.3 | $85,848,654 |
| 4.25 | 43.0 | 26.5 | 41.0 | $54,085,680 | 13.9 | 24.2 | 17.4 | $150,997,601 |
| 4.50 | 27.8 | 25.6 | 27.4 | $47,280,079 | 18.1 | 23.2 | 18.0 | $116,192,347 |
| 4.75 | 27.4 | 25.3 | 28.4 | $54,990,624 | 17.4 | 22.1 | 19.1 | $153,886,534 |
| 5.00 | 27.2 | 24.5 | 30.6 | $22,452,833 | 16.4 | 17.8 | 20.3 | $129,080,766 |
| 5.25 | 24.8 | 22.2 | 30.8 | $19,934,255 | 15.8 | 18.1 | 21.9 | $151,195,650 |
| 5.50 | 28.7 | 24.8 | 35.2 | $19,519,574 | 19.8 | 17.8 | 23.8 | $57,668,265 |
| 5.75 | 27.7 | 22.2 | 33.4 | $17,844,623 | 17.8 | 14.6 | 22.8 | $46,545,595 |
| 6.00 | 34.5 | 17.6 | 34.7 | $18,479,903 | 30.6 | 14.0 | 25.3 | $30,816,647 |
| avg | 28.1 | 25.3 | 29.6 | $609,917,683 | 16.8 | 20.7 | 19.8 | $941,129,881 |
| diff | -2.8 | 1.4 | 3.9 | 3.0 | ||||
