 |
 |
| The data shows that the FNMA model best captures the preponderance of the prepayment experience while the inclusion of enhanced characteristics like LTV, spread-at-origination, and FICO score will fine tune the prepayment forecast. The combination of the base prepayment forecast from the FNMA model and the tuning to the risk multipliers from the enhanced data should effectively capture the prepayment profile of the ALT-A loan type. |
| 5) For Agency hybrids, prepayments after the initial reset will now use a constant vector of prepayments with seasonality that is sensitive to the three month rolling average of interest rates. For example, as rates decline, the constant vector of speeds is accelerated to reflect the increased refinancability of these loans. In previous versions, the post reset prepayment speed was hard-coded based on the time to initial reset. Please note that in v5.1f, this change has been made to the old version of the hybrid model, not the refit and recalibrated version found in v5.2a and more fully discussed in last month’s Pipeline (link here). |
For access to v5.1f, please do not hesitate to contact Laura (laura@ad-co.com) or Suzanne (suzanne@ad-co.com).
Page 2 of 2>>>
