*Please Note that the Lag (and Burnout) tunings will not be vectorized. Regardless of the tuning dates, the value entered for these two parameters will be held constant for the entire model run.
ADJUSTABLE RATE AGENCY LOAN TYPES
Loan Type
Scale
Turnover
Refi
Slide
*Lag
Tuning Start Year
Tuning Start Month
Tuning End Year
Tuning End Month
Tuning Ramp Months
Tuning Fade Months
FN 1/1
0.25
1
0.25
0
0.5
2007
6
2010
6
12
24
FN 3/1, FN 3/3
0.45
1
1
0
0.5
2007
6
2010
6
12
24
FN 5/1, FN 5/5
0.5
1
1
0
0.5
2007
6
2010
6
12
24
FN 7/1
1
1
0.33
0
0.5
2007
6
2010
6
12
24
FN 10/1
1
1
0.4
0
0.5
2007
6
2010
6
12
24
FG 1/1
0.25
1
0.25
0
0.5
2007
6
2010
6
12
24
FG 3/1, FG 3/3
0.45
1
1
0
0.5
2007
6
2010
6
12
24
FG 5/1, FG 5/5
0.5
1
1
0
0.5
2007
6
2010
6
12
24
FG 7/1
1
1
0.33
0
0.5
2007
6
2010
6
12
24
FG 10/1
1
1
0.4
0
0.5
2007
6
2010
6
12
24
*Please Note that the Lag (and Burnout) tunings will not be vectorized. Regardless of the tuning dates, the value entered for these two parameters will be held constant for the entire model run.
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.
FIXED RATE NON-AGENCY LOAN TYPES
Loan Type
Slide
Turnover
Refi
Aging
Tuning Start Year
Tuning Start Month
Tuning End Year
Tuning End Month
Tuning Ramp Months
Tuning Fade Months
NAPrime 30
175
1
0.75
1
2007
6
2010
6
12
24
NAPrime 15
65
1
0.75
1
2007
6
2010
6
12
24
Subprime 30
200
0.85
0.85
1
2007
6
2010
6
12
24
ADJUSTABLE RATE NON-AGENCY LOAN TYPES
Loan Type
Slide
Turnover
Refi
Aging
Tuning Start Year
Tuning Start Month
Tuning End Year
Tuning End Month
Tuning Ramp Months
Tuning Fade Months
NAPrime
200
0.85
0.75
0.2
2007
6
2010
6
12
24
Subprime
125
0.85
0.75
0.2
2007
6
2010
6
12
24
Option ARM
125
0.85
0.5
1.0
2007
6
2009
12
12
24
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
[5.2f version]
Update: 1/2010 - Please note that these tunings have been updated. To find most recent tunings, please click here.
Please note that some vendor systems have specific instructions for adjusting AD&Co tuning parameters. Please click here for vendor-specific information.
FIXED RATE AGENCY LOAN TYPES
*Please Note that the Lag (and Burnout) tunings will not be vectorized. Regardless of the tuning dates, the value entered for these two parameters will be held constant for the entire model run.
ADJUSTABLE RATE AGENCY LOAN TYPES
*Please Note that the Lag (and Burnout) tunings will not be vectorized. Regardless of the tuning dates, the value entered for these two parameters will be held constant for the entire model run.
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.
FIXED RATE NON-AGENCY LOAN TYPES
ADJUSTABLE RATE NON-AGENCY LOAN TYPES
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.