Valuation Commentary

Hybrids at a Glance

By Alex Levin

Many clients have explicitly expressed a desire to see hybrid ARMs as a part of our standard market analysis posted every Friday for fixed-rate conventional TBAs. We feel a genuine interest from investors in this sector. Whereas hedge fund managers always hunt for less traditional products with hidden value, banks routinely keep originated hybrid loans in their own investment portfolios. In short, we find that hybrids do offer an OAS above fixed rates, but with an interesting and complex dynamic to bear in mind. Read more...

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Model Performance Review

Model Performance

By Dan Szakallas

Prepayments posted notable increases from May to June, as rates fell steadily during the refinance period over the previous couple of months. The seasonal increase in housing turnover also helped prepayments increase by about 17% across coupons for FNMA 30-years, and by about 11% for GNMA 30-years. The biggest percentage increases were seen in (surprisingly) FNMA 30-year 4.5s, which jumped by 28% to 10.7 CPR and the GNMA 30-year 4.5s, which rose by 22% to a very high 18.1 CPR. It is extremely surprising that GNMA 30-year 4.5s prepaid at a higher rate than FNMA 30-year 5.0s, 18.1 CPR to 15.2 CPR, respectively. Looking at the higher premiums, we see very little change Read more...

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AD&Co. Update

License Key Witching Hour

By Rob Landauer

Did you update your license key during the past two weeks? If not, your license key will expire and your model will cease to perform as of Sunday July 31^st. You should have received an email from Ilda during the past two weeks with your new license key attached. Please make sure you install the key in the appropriate directory in a timely fashion to ensure uninterrupted use of the model. Remember, license keys will expire semi-annually on January 31^st and July 31^st. If you have any problems or concerns, please give Ilda or Rob a call at 212-274-9075.