PT  - JOURNAL ARTICLE
AU  - Jonathon Weiner
AU  - Wesley Winter
AU  - Kyle G. Lundstedt
TI  - Predicting Agency Prepayments in the Current Market Environment: <em>Why Yesterday’s Predictive Models Won’t Hold Water Today</em>
AID  - 10.3905/jsf.2010.16.1.021
DP  - 2010 Apr 30
TA  - The Journal of Structured Finance
PG  - 21--27
VI  - 16
IP  - 1
4099  - https://pm-research.com/content/16/1/21.short
4100  - https://pm-research.com/content/16/1/21.full
AB  - With mortgage rates near all-time lows, refinancing activity in agency-backed loans is driven almost entirely by credit and equity considerations. Formerly important drivers of refinancing such as incentive and burnout continue to play a role but fail to capture recent behavior unless updated with the “lock-out” effects of loan-to-value ratio (LTV) and credit. In addition, the contribution of defaults to agency pool prepayments is no longer insignificant for most pools and is dominant for certain vintages and coupons.TOPICS: MBS and residential mortgage loans, futures and forward contracts