Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, 15, 74-82.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....factors. For example, one model might proxy the refinancing incentive by taking the yield difference between the current rate on new mortgage originations and the coupon of the old mortgage while another model might use 4 For a general discussion of prepayment models, see Fabozzi [1996, ch. 11] Richard and Roll [1989] discuss a typical model used by an investment banking firm and Patruno [1994] discusses an updated and expanded model used by the same firm. Becketti and Morris [1991] is a good example of just how detailoriented prepayment modeling can become. Fannie and Freddie Retained Portfolios, R. Roll, ....

Richard, Scott F., and Richard Roll, 1989, Prepayments on fixed-rate mortgage-backed securities, Journal of Portfolio Management (Spring), 73-82.

....proxies for the borrowers refinancing incentive given the past and present level of interest rates as well as a number of demographic and geographical factors, which capture the effect of household mobility on prepayment rates. Examples of prepayment models can be found in Schwartz Torous(1989) Richard and Roll(1989) and McConnell and Singh(1991) Having developed a suitable prepayment model a stochastic term structure model is used to form a consistent sample of future term structure scenarios. Along each scenario the 7 In their implementation of the Cox Ingersoll Ross(1985) one factor model JPM(1995) ....

Richard, S.F. and R. Roll, "Prepayments on Fixed-Rate Mortgage Backed Securities", ####### #############Management, Spring 1989, pp. 73-82.

....real data, which tracks loans over the past nine years at monthly intervals. Introduction Loan level modeling of prepayment is an important aspect of hedging, risk assessment, and retention e#orts of the hundreds of companies in the US that trade and initiate Mortgage Backed Securities (MBS) (Richard Roll 1989; Brown 1992; Harmon 1996) With at least 52 million mortgages (according to the Mortgage Bankers Association estimates of end of the year 1997) outstanding in the US and the securities being traded every day the stakes are very high and the potential gains losses are substantial. Our studies ....

....yield curve shapes provide incentives or disincentives for additional refinancing activity. Present Value Ratio (PVR) The refinance incentive is measured by the ratio of the present value of the existing mortgage s payments to the annuity value of a new mortgage. The equation we use is from Richard Roll (1989). PVR = I R 1 (1 R) M 1 (1 I) M where I is the note rate on a monthly basis (WAC 1200) R is the current mortgage refinance rates on a monthly basis (Mortgage Rate 1200) and M is the remaining life of the loan in months. Housing delta price index A measure of the change in ....

Richard, S. F., and Roll, R. 1989. Prepayments on fixed-rate mortgage-backed securities. The Journal of Portfolio Management 73--82.

....difference of 0.5 . 2 Burnout refers to the dependence of expected prepayment rates on cumulative historical prepayment levels. The higher the fraction of the pool that has already prepaid, the less likely are those remaining in the pool to prepay at any interest rate level. See, for example, Richard and Roll (1989). remaining mortgages in a pool will suddenly prepay. Even with heterogeneous transaction costs, 3 there would still be a single moment for each transaction cost when interest rates hit some critical level, and all mortgage holders with that transaction cost (or lower) would immediately ....

Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed Rate Mortgage-Backed Securities," Journal of Portfolio Management , 15, 73--82.

....(1989) for details. 2 Burnout refers to the dependence of a pool s prepayment behavior on cumulative historical prepayment levels. The higher the fraction of the pool that has already prepaid, the less likely are those remaining in the pool to prepay this period, all else being equal. See Richard and Roll (1989) for a discussion. prepayment or other endogenous variables. While there are many academic mortgage prepayment and valuation models, one feature which they all share is that they implicitly assume that two mortgage pools characterized by the same coupon rate, time to maturity, and other ....

Richard, S. F. and Roll, R. "Prepayments on Fixed Rate Mortgage-Backed Securities. " Journal of Portfolio Management 15, 73--82 (1989).

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Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, 15, 74-82.

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Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, 15, 74-82.

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Richard, S.F. and R. Roll, "Prepayments on Fixed-Rate Mortgage Backed Securities," J. Portfolio Management, 15, 3 (1989), 73-82.

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Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, 15, 74-82.

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Richard, S. F., and R. Roll, 1989, "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, 15, 74-82.

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