These MIAC Indexes represents the MSR price behavior of the entire 30-Year Conventional Agency MSR and 30-Year Jumbo MSR market and particular components within the marketplace have increased or declined to a greater or lesser extent. These Indexes DO NOT represent multiples indicative of the value of new production, current coupon servicing rights.

MSR Product Type Price Indexes:

Price Multiples by GSA Product Type Indexes

MSR Price Index Percentage Changes:

Period to Period Percentage Changes

 

Key Interest rates ____________________________________________________________________________

Recent Key Market Rates

The 1 Month Libor rate increased by 22 bps through the months of June to finish at 5.33%. Interest rates went up during the same period.The 5-Yr CMS increased by 10 bps and the 10-Yr CMS is up by 5 bps. The yields on the 2Yr increased by 11 bps whereas the 5Yr increased by 6 bps. FNMA and GNMA 30-Yr Current Coupon Yields increased by 6 and 12 bps respectively.

Swap curve Tightened through the month of June. Both the 5 Year Swap- 1 month Libor spreads Tightened by nearly 13 bps while the 10 Year Swap- 1 month Libor spread decreased by 18 bps. Treasury spreads between the 5 Year and 2 Year Note declined by nearly 6 bps. The FNMA Mortgage-Swap spread and the GNMA Mortgage-Swap spread continued the trend set in may and widened more. The FNMA Mortgage- 10 yr Swap spread widened by nearly 2 bps while the GNMA Mortgage-Swap spread increased by 7 bps. The 5 yr swap rate backed up 10 bps through the month of June and the 10 yr swap rate backed up by 5 bps. Short term Swap rates are rising faster than the long term swap rates creating flattening between 5 yr and 10 yr swap rates.

MSR OASs Stablizes
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MIAC Analytics makes available Daily GSA OASs through the Daily GSA Pricing Service. Each day, MIAC Analytics will use the previous day’s current volatility of 1-Year into 10-Year swaption volatility as a proxy for mortgage volatility.
The graph below illustrates the OASs computed in MIAC Analytics from the actual GSA prices for nine of the largest GSAs: Conventional 15-Year 5.0% Issue Year 2002, Conventional 15-Year 5.0% Issue Year 2003, Conventional 15-Year 5.5% Issue Year 2002, Conventional 30-Year 5.0% Issue Year 2005, Conventional 30-Year 5.0% Issue Year 2003, Conventional 15-Year 4.5% Issue Year 2005, Conventional 30-Year 5.5% Issue Year 2003, Conventional 30-year 6.0% Issue Year 2002, Conventional 30-year 6.0% Issue Year 2003, GNMA 30-Year 5.5% Issue Year 2003, and GNMA 30-Year 6.0% Issue Year 2002. The graph displays the monthly OASs from 6/1/2005 to 1/31/2006.
GSA OASs continue their downward trend and lost further ground. In June the OASs for these benchmark assets tightened across the majority of asset classes.

Servicing.com has provided daily IO/PO pricing on a portfolio of Trust IOs for several years. As a result, we can provide a comparison of historical Trust IO OASs with the same interest rate model, volatility inputs and OAS cash flow model as the historical GSA OASs. One can see from the table above that Trust IO OASs don’t appear to be well correlated to OAS behavior of the GSAs. This behavior does not support the use of Trust IO OASs as benchmark OASs for the MSR marketplace.

In the table above, the OAS durations or measurements of the anticipated MSR price sensitivity were computed with a constant OAS.

MSR convexities continued to increase through the month of June keeping in line with the move higher in May. Although they still remain in their typical negative territory for most Generic Servicing Assets, as rates persistently climb. When convexity is positive, MSR prices will increase more for an upward rate shift, than they will decrease for a downward rate shift. When convexity is negative, MSR prices will decrease more for a downward rate shift than they will increase for an upward rate shift.
OAS Convexity

 

BMA Prepay Speeds - Higher
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The following tables reflect BMA historical dealer median prepayment forecasts.

BMA Speeds showed signs of positive movement signaling a breakout on the higher side. Once again the increase in mortgage rates in the month of June has more than offset seasonality trends thus holding most of the asset classes in a neutral zone. The CONV 30 yr pools increased across the board through the month of June. The GNMA 30 Yr pools too showed renewed signs of moving higher, with the exception of 5.5 pass-through 2003 GNMA 30 yr.

On 8/15/2005 the Bond Market Association released a revised listing of mortgage assets and their prepayment speeds to reflect the current mortgage market at the time. These new asset classes do not have historical speeds prior to that date.

BMA Market Consensus PSAs

MedianPSAForecast
Red Indicates the highest forecasts on record and yellow the second highest.

 

Period to Period Absolute Changes in BMA PSAs:

Period to Period Change in Median PSA Dealer Forecast

More Detailed BMA prepayment information can be obtained at www.servicing.com by viewing the Daily MIMs(Mortgage Industry Medians) data product.