 |
|
|
Valuation Commentary Model Performance Review Prepayments
decreased again from May to June as rates rose steadily from mid-May
into June. The sharpest drops were seen in the 5.5's and 6.0's for
FNMA 30's, and in the 5.0's for the FNMA 15's. Somewhat surprisingly,
speeds on GNMA's dropped no more than 10% in any of the coupons
listed. In fact, GNMA 5.0's remained almost unchanged from May to
June. Actual pool CPR speeds of selected coupon buckets, along with
corresponding model forecasts, can be seen in the table below.
Read
more... AD&Co. UpdateThe Pipeline ArchivesThe Pipeline is about to enter its third year of publication. The wealth of information contained in its electronic pages has now been indexed and categorized to provide our clients with easy access to this content by issue or topic. In this monthly publication, we have tried to provide you with topical insights into the risk management and valuation of structured products. Most issues contain an article from one of our consultants that provides lessons garnered from recently completed projects in the Consulting Corner. The Valuation Commentary section provides detailed analysis of relative value in the MBS and ABS markets and also provides a forum for more in-depth discussion about how our models can be applied to risk management and valuation problems. The Model Performance Review provides a critical review of the actual versus forecasted performance of our prepayment models. To view an overview of the articles contained in each issue, click on The Pipeline Archives "View by issue" tab on the home page of our website. This will take you to an overview of each issue organized by year and month of publication. To read a specific article from one of these issues, simply click on the link to the issue and scroll down to the article of interest. To view an overview of the articles by subject matter, click on The Pipeline Archives "View by Topic" tab on the home page of our website. This will take you to an overview of the articles organized by broad subject matter. To access a specific article, simply click on the link to the article of interest and you will be taken directly to the piece.
|
|
|||||||||||||
