RT Journal Article
SR Electronic
T1 Predicting Agency Prepayments in the Current Market Environment: <em>Why Yesterday’s Predictive Models Won’t Hold Water Today</em>
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 21
OP 27
DO 10.3905/jsf.2010.16.1.021
VO 16
IS 1
A1 Jonathon Weiner
A1 Wesley Winter
A1 Kyle G. Lundstedt
YR 2010
UL https://pm-research.com/content/16/1/21.abstract
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