Over the past year, we have been diligently tinkering with and developing our new generation of prepayment model, the Enhanced MBS Model. This v5.1 model offers fine-tuned forecasts by considering the additional pool level characteristics provided by the agencies and utilizes an active-passive decomposition approach for the burnout function. We are now ready to let you test drive this model right from your desk without new software or setup required.
The Enhanced Model is now available for trial as a stand alone application right through our dynamic website. To access, simply, log onto http://dynamic.ad-co.com, go to the Web Demo section at the bottom of the screen and click on the v5.1 demo. You will be taken to a screen that looks and works very much like the Excel version of our prepayment model that many of you have used for many years. There is a link to a HELP screen at the bottom of the page if you have any questions. To access, you will need to be enabled by Ilda or Rob, so do not hesitate to give us a call. Our existing clients can be immediately turned on for a trial, while our new prospects will need to sign a confidentiality agreement before gaining access.
In addition, we will soon provide a dynamic performance report that tracks actual versus forecasted performance of this new release. Please refer to this issue's Model Performance article for a review of performance to date.
We are working closely with our vendor partners to help them integrate v5.1 into their systems. Please be patient with us and our partners as this version does require significant integration work and quality control testing. We will keep you posted in this column when vendors have successfully implemented this model. As always, it never hurts for you to encourage our vendor partners to move forward in this process expeditiously.
Reminder: we first introduced the Enhanced MBS Prepayment Model at our conference in June. Prepayment forecasts from this model use our premiere pool level model as a starting point and then adjusts the refi and turnover multiplier after considering the enhanced pool disclosure items. Weighted averages for loan size, LTV, and FICO score are considered as well as percentages for geographic dispersion, loan purpose, and occupancy type. The model is flexible in that it can consider only those items that are made available by the agencies or by the user via manual input.
Please take a look at the Enhanced Model and let us know what you think. We feel that it provides a significant step forward in model forecasting and are anxious to hear your feedback. A close review of the model today will enable quick adoption down the road when the model is available through your selected vendor. For more information on Active-Passive Decomposition, please refer to Alex Levin's Quantitative Perspective Divide & Conquer: Exploring New OAS Horizons, Parts I, II & III and to the powerpoint presentation Dan Szakallas delivered at the 2004 Annual AD&Co. Conference. (Click here to access.)
