Prepayment Model License Structure

By Rob Landauer

Effective immediately, there are now three levels of prepayment model licenses available from AD&Co. With this format, we hope to provide the models that our clients need through a license structure that is cost effective and easy to administer.

Please keep in mind that our license fees are for a site license for use through a designated system and include all service and support, upgrades, and access to either the Excel or web based version of the licensed model. Licensed models can be utilized through a second system for a small incremental annual license fee. For more information on the loan types covered by each Read more...

By Dan Szakallas

Prepayments posted slight increases from July to August, with the most notable gains actually being seen in the premium sector. Mortgage rates remained relatively stable during the August refi window, and this was shown in the discount and current coupon sector, as prepayments changed by less than 10% in the FNMA 30-year collateral. There were few noticeable changes in the GNMA market as well, as the lower coupons remained Read more...

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By Alex Levin

Many of our clients are avid consumers of our weekly OAS reports that cover agency 30-yr TBAs – Fannies (FNCL), Freddies (FGLMC), and Ginnies (GNSF). Some of them have made these reports an important part of their valuation and risk management. These reports have been available on-line from AD&Co for over 7 years. The reports have changed over time, reflecting the dynamics of the MBS market and professional views. For example, in 2001 the firm started adding “implied prepay model” results; 3 years later this became a well-defined “risk-neutral” analysis. Read more...

1. Introduction

Investors in the secondary mortgage market have a tremendous need for models of mortgage behaviors (“behavioral models”) such as prepayment and default. Typically, behavioral models are built by combining theoretical and practical knowledge of the mortgage markets with historical data on MBS or loan behavior. Thus, the development of behavioral models is critically dependent on the availability of this data to secondary market researchers.

This article traces the evolution of data availability in the secondary mortgage market, and details the implications of that data availability for the behavioral models used by investors. In particular, we discuss Read more...