*Please note that turnover tuning is recommended for "sensitivity" tuning only. When "sensitivity" tuning is selected, tuning values will only be used when forecasting future prepayments. Alternatively when "model" tuning is selected, tuning values will be used in both simulating history and forecasting future prepayments.
All Agency loan types with parameters not listed above should be set to 1.0 with the exception of slide which should be set to 0.
NON-AGENCY LOAN TYPES
ARMS/Hybrids (5.2c-5.2d)
Loan Type
Turnover*
Slide
Refi
Aging
Non-Agency Prime
0.85
125bps
1.0
0.2
Sub-Prime
0.85
125bps
0.5
0.2
Option-ARM
0.85
125bps
0.5
1.0
Fixed-Rate (5.2 -5.2d)
The following tunings should be used to adjust model speeds beginning around April 2007 for non-agency prime fixed, and around June 2007 for sub-prime fixed. This is a volatile period and we will update the tuning recommendations as frequently as necessary.
Loan Type
Turnover*
Slide
Refi
Non-Agency Prime
0.85
50bps
0.5
Sub-Prime
0.85
100bps
0.5
*Please note that turnover tuning is recommended for "sensitivity" tuning only. When "sensitivity" tuning is selected, tuning values will only be used when forecasting future prepayments. Alternatively when "model" tuning is selected, tuning values will be used in both simulating history and forecasting future prepayments.
All Non-Agency loan types with parameters not listed above should be set to 1.0 with the exception of slide which should be set to 0.
Tuning Support
MBS Prepayment Model Tuning Parameter Recommendations
[5.2 versions (prior to 5.2e)]
Please note that some vendor systems have specific instructions for adjusting AD&Co tuning parameters. Please click here for vendor-specific information.
AGENCY LOAN TYPES
ARMS/Hybrids (5.2c-5.2d)
Loan Type
Slide
FNMA, FHLMC 3/1
100bps
FNMA, FHLMC 5/1
100bps
FNMA, FHLMC 7/1
75bps
FNMA, FHLMC 10/1
50bps
Fixed-Rate (5.2-5.2d)
Loan Type
Slide
Turnover*
Refi
FNMA, FHLMC 10
0
1.25
1.0
FNMA, FHLMC 15
0
1.15
1.0
FNMA, FHLMC 20
0
1.0
1.0
FNMA, FHLMC 30
0
0.75
0.75
GNMA 15
-50bps
1.0
1.0
GNMA 30
0
1.0
0.75
0
1.15
1.0
0
0.75
0.75
*Please note that turnover tuning is recommended for "sensitivity" tuning only. When "sensitivity" tuning is selected, tuning values will only be used when forecasting future prepayments. Alternatively when "model" tuning is selected, tuning values will be used in both simulating history and forecasting future prepayments.
All Agency loan types with parameters not listed above should be set to 1.0 with the exception of slide which should be set to 0.
NON-AGENCY LOAN TYPES
ARMS/Hybrids (5.2c-5.2d)
Loan Type
Turnover*
Slide
Refi
Aging
Non-Agency Prime
0.85
125bps
1.0
0.2
Sub-Prime
0.85
125bps
0.5
0.2
Option-ARM
0.85
125bps
0.5
1.0
Fixed-Rate (5.2 -5.2d)
The following tunings should be used to adjust model speeds beginning around April 2007 for non-agency prime fixed, and around June 2007 for sub-prime fixed. This is a volatile period and we will update the tuning recommendations as frequently as necessary.
Loan Type
Turnover*
Slide
Refi
Non-Agency Prime
0.85
50bps
Sub-Prime
0.85
100bps
*Please note that turnover tuning is recommended for "sensitivity" tuning only. When "sensitivity" tuning is selected, tuning values will only be used when forecasting future prepayments. Alternatively when "model" tuning is selected, tuning values will be used in both simulating history and forecasting future prepayments.
All Non-Agency loan types with parameters not listed above should be set to 1.0 with the exception of slide which should be set to 0.