 |
|
|
Risk Management Challenged Recent legislation and the increased scrutiny resulting from the spate of accounting scandals over the last few years have created significant challenges for management responsible for risk and control at financial institutions. A management title or a board of directors designation now carries with it unambiguous responsibilities for results, risk and reporting of performance "on the spot" where the rubber meets the road. Read more... Valuation Commentary Prepayment-Risk-and-Option-Adjusted-Spread Valuation: Conclusion Last month's article, Prepayment-Risk-and-Option-Adjusted-Spread Valuation, described a new MBS valuation approach that accounts for both the prepayment option and the risk of prepay model being wrong ("prepayment risk"). This new valuation model replaces traditional OAS with a better-defined and known measure, prOAS. We argued that agency MBS should be priced flat to option-free agency debentures, regardless of the coupon (option moneyness) and the cashflow type (pass-throughs, IOs, POs). We distinguished two main risk factors, refinancing understatement and turnover overstatement, and discussed calibration of prices of these risks (that are instrumental for this model) to the TBA market. This article presents historical tendencies, results for the Trust IO market, and uncovered anomalies. Read more... Model Performance Review by Dan Szakallas Prepayments on lower coupons increased again from March to April, while the higher premiums showed some very slight decreases. Once again, the largest increase was seen in FNMA 5.0's, where speeds rose about 48% from March. All coupons below 6.0 showed gains from the previous month across both GNMA and conventional pools. We show actual pool CPR speeds of selected coupon buckets, along with corresponding model forecasts in the table below. Read more... AD&Co. Update Breaking Through...Conference 2004 You've read about it. Been officially invited. Received the e-mail reminder. Shined your bowling shoes. Now, it's time to register for the June 17, 2004 AD&Co. Annual Conference! It's easy, just click here and send us your information to be included in the registry. Still undecided? Check out the Agenda below to see what we'll be discussing and who will be presenting. Each presentation is approximately 45 minutes.
23rd Street and Westside Highway Pier 60 New York, NY |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
