[Andrew Davidson amp; Co] Fixed-Rate Agency MBS Prepayments and Model Enhancements教程.pdfVIP

Quantitative Perspectives May 2006 Fixed-Rate Agency MBS Prepayments Model Enhancements by Dan Szakallas QP Quantitative Perspectives May 2006 Introduction The Andrew Davidson Co., Inc. Fixed Rate Prepayment Model version 5.1 represents a major step forward in prepayment modeling. The model incorporates the Active-Passive Methodology for burnout as well as the enhanced pool data from Fannie Mae, Freddie Mac and Ginnie Mae. This model is based upon pool data from 1992 to 2005 and the enhanced data disclosure from the agencies beginning in June 2003. The initial version of the model was released in October 2005. This article begins with a discussion of our prepayment modeling philosophy. Next, we explain the data and the existing factors in our model. We review, in detail, the various factors that drive the model and discuss a new approach to modeling the burnout effect seen in prepayment modeling. We will comprehensively examine this approach, called Active-Passive Decomposition (APD), and illustrate its advantages for modeling and for valuation purposes. We will also discuss how the Agency data disclosures are incorporated into the new Enhanced Prepayment Model. Finally, we will compare prepayment model output from v5.1 to the previous version of the pool model and review valuation results using our OAS and interest rate routines and the new prepayment model. Modeling Philosophy Andrew Davidson Co., Inc. (ADCo) believes that prepayment modeling at the pool level is a mixture of science and art. The key components of prepayments have been understood and modeled for some time, and a variety of statistical techniques exist to model man