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Model Performance - November '06
The New ARM Model Delivers
by Dan Szakallas
This month we take a look at the performance of Andrew Davidson & Co.’s new ARM prepayment model for the month of October. This model, version 5.2a, was officially released in early October. As previously discussed, this model has a brand-new functional form and incorporates many new features to capture prepayment behavior specific to adjustable-rate products. We are going to focus on FHLMC hybrids, specifically 3/1’s, 5/1’s, 7/1’s and 10/1’s, indexed to both the 1-year Treasury and the 1-year LIBOR. New dynamic performance reports that generated these numbers will be available on our website in the first week of December.
v5.2a
FHLMC 3/1 |
FHLMC 5/1 |
|||||
Coupon |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
3.25 |
23.45 |
29.11 |
$183,103,220 |
- |
- |
- |
3.5 |
24.78 |
30 |
$681,913,667 |
17.42 |
19.9 |
$70,926,254 |
3.75 |
33.22 |
30.96 |
$1,114,454,138 |
18.63 |
19.9 |
$478,980,445 |
4 |
36.26 |
30.68 |
$1,509,533,601 |
18.44 |
19.9 |
$1,220,014,908 |
4.25 |
45.39 |
41.58 |
$1,694,859,835 |
17.11 |
19.9 |
$3,254,867,274 |
4.5 |
31.55 |
30.46 |
$1,646,132,619 |
18.13 |
20.22 |
$5,894,058,902 |
4.75 |
29.33 |
32.87 |
$2,046,634,735 |
18.75 |
21.42 |
$10,717,427,700 |
5 |
26.53 |
32.65 |
$1,237,333,400 |
18.35 |
22.39 |
$10,433,644,393 |
5.25 |
27.2 |
33.34 |
$758,157,237 |
16.02 |
23.99 |
$11,539,953,706 |
5.5 |
35.92 |
35.37 |
$466,234,992 |
14.13 |
25.24 |
$4,169,242,135 |
5.75 |
36.06 |
39.3 |
$288,241,972 |
13.41 |
23.92 |
$2,659,507,923 |
6 |
26.2 |
33.69 |
$342,978,827 |
13.68 |
19.9 |
$1,548,731,673 |
