New Generic Servicing Assets

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.

Key Additions:

We have included the following new Assets based on sources such as the Agency Factor tapes, Wall St. Dealer research and from our own benchmark portfolio statistics using our internal databases

CONV15_5.5_2005	GNMA30_6.0_2005
CONV15_5.5_2006	JUMBO30_5.5_2005
CONV15_6.0_2005	JUMBO30_6.0_2005
CONV30_4.5_2005	JUMBO30_5.5_2006
CONV30_5.0_2005	JUMBO30_6.5_2005
CONV30_5.5_2005	JUMBO30_6.5_2006
CONV15_6.0_2006	PRIVATE30_5.5_2005
GNMA30_5.5_2005	PRIVATE30_6.0_2005
GNMA30_6.0_2006	PRIVATE30_6.0_2006
GNMA30_5.0_2005

 

These MIAC Indexes represents the MSR benchmark portfolio price behavior of our entire Benchmark GSA portfolio incorporating Government, Agency and Non Agency loan characteristics. 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

In the table shown, the MSR Product Price Indexes marked in yellow includes the new cohorts introduced this month.

Key Interest rates ____________________________________________________________________________

Recent Key Market Rates

The Key Rates fell across the board from month to month with 10-yr CMS falling by 25 bps followed closely by a 24bps drop was 5-Yr CMS.The 1 Month Libor rate fell by 6 bps and is now at 5.33%. The yields on the 2Yr decreased by 17 bps whereas the 5Yr decreased by 21 bps. FNMA and GNMA 30-Yr Current Coupon Yields followed the rest of the pack by falling 21 and 27 bps respectively.

Swap curves tightened through the month of August. The 5 Yr swap and the 10 Yr swap rates have inverted below the 1 month Libor rate. Both the 5 Year Swap-1 month Libor spreads and the 10 Year Swap- 1 month Libor spread decreased by nearly 18 and 19bps respectively. Treasury spreads between the 5 Year and 2 Year Note declined by nearly 4 bps and the 10 Year and 2 year note Spread fell by 8 bps. The FNMA Mortgage-Swap spread reversed the trend set in July and widened at the same time the GNMA Mortgage-Swap spread tightened. The FNMA Mortgage- 10 yr Swap spread widened by nearly 4 bps while the GNMA Mortgage-Swap spread decreased by 1 bps.

MSR OASs
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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 Table 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 2005, Conventional 15-Year 5.5% Issue Year 2005, Conventional 15-Year 5.5% Issue Year 2006, Conventional 30-Year 5.0% Issue Year 2005, Conventional 30-Year 5.5% Issue Year 2005, Conventional 15-Year 4.5% Issue Year 2005, Conventional 30-Year 6.0% Issue Year 2005, Conventional 30-year 6.0% Issue Year 2006, GNMA 30-Year 5.5% Issue Year 2005, and GNMA 30-Year 6.0% Issue Year 2005.
The Table displays the monthly OASs for 9/1/2006.The OAS for Servicing Assets issued before 2003 can be obtained by subscribing to the daily GSA.

OAS Convexities

BMA Market Consensus PSAs

 

 

 

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