Many mortgage servicing rights (MSR) market participants have come to rely on MIAC’s Generic Servicing Assets – GSAs over the past 20 years. We are proud to announce several new enhancements to our GSA study.

MIAC GSA’s can answer these and other important questions.

  • Where are Mortgage Servicing Rights trading today?
  • Where can I compare Mortgage Servicing Rights vs. key market indexes?
  • Where do I find MSR “market” Option-Adjusted Spreads?

GSA’s are MIAC’s daily pricing of representative benchmark mortgage servicing rights.  As an industry leading broker of MSRs, MIAC’s valuations of MSR’s are considered the most defensible and accurate in the industry.

The GSA’s cover a broad spectrum of the outstanding mortgage servicing population.  Where there are large outstanding cohorts of mortgage servicing rights, a GSA is created.  The GSA attributes are the aggregated attributes from the actual underlying loan collateral at the product type, coupon, and vintage year cohort level.  The loan collateral attributes and the MSR cash flow components of the GSA’s change annually so that the daily price changes are attributable solely to market factors only and not portfolio composition changes.  As a reflection of the most optimal market liquidity conditions, MIAC assumes that each new GSA, for example, 2016 GSAs, has an outstanding UPB of $1 billion.

GSA - Graph 1

Conv 30-Yr GSA Index 1

MSR Market Price Indexes

MIAC prices each of these GSA cohorts and aggregates the GSA level prices to the Product Level.  The aggregate pricing of each Product Type is weighted by the current outstanding UPB for each GSA cohort, established annually.   This means that each Product Type represents a weighted average MSR price index for each underlying collateral type.

Another utility of GSA’s is to derive Product Level MSR price indexes to be used to monitor the MSR market movements.

The GSA Indexes are listed below:


GSA Product Type Description
15YR_CONV 15 Yr Fannie/Freddie
15YR_GNII 15 Yr Ginnie II’s
30YR_CONV 30 Yr Fannie/Freddie
30YR_FHA_Strml 30 Yr FHA Streamline Refi’s
30YR_GNI_FHA 30 Yr Ginnie I’s FHA’s
30YR_GNI_VA 30 Yr Ginnie I VA’s
30YR_GNII_FHA 30 Yr Ginnie II’s FHA’s
30YR_GNII_VA 30 Yr Ginnie II’s VA’s
30YR_JUMBO 30 Yr Prime Jumbo
30YR_VA_IRRL 30 Yr VA IRRL’s
H_CONV Conventional Hybrids
H_GNII Ginnie II Hybrids

 

The GSA Web Service

GSA Level One subscribers can access the daily GSA pricing in the www.MIACAnalytics.com authenticated web site called the Asset-Forum.  The GSA Product Level Index price history is also viewable and downloadable.  A user can plot the historical movement in mortgage rates against price changes in GSA 30YR_CONV Index.   Or see how 30YR_CONV MSRs prices have moved related to the 15YR_CONV.

In addition to the daily MIAC pricing for each GSA, MIAC also computes the Option-Adjusted Spread, Option-Adjusted Duration, and Option-Adjusted Convexity for each GSA.  This information is also available to GSA Subscribers.  Each Product Type also has a UPB weighted OAS, OAD, and OAC.  This means that GSA subscribers can obtain a highly defensible market OAS derived from MIAC pricing and MIAC Analytics.

GSA Pricing and Reporting

Level Two GSA subscribers can access GSA prices as a simple download in MIAC Analytics WinOAS™ MSR calculator.

Users can download multiple dates’ GSA prices, save to the GSA portfolio, and manage the price repository in the software.

For analysis purpose, users can also generate GSA reports. WinOAS™ currently provides four types of reports that track period-over-period GSA Prices and OAS changes on tranche or product basis.

Additionally, in the GSA portfolio, users can view underlying assumptions that are used to generate daily GSA prices. Users are able to make changes to these assumptions and get customized GSA prices. They can also calculate new OAS’s, OAD’s, and OAC’s based on the assumptions that they deem as appropriate.

 

GSA - Workflow 1

An example of FNMA 30-year 3.5% 2012 multiple compared to its OAS:

GSA - Graph 2

 

And here is an example of the product cohorts and their price and OAS changes over time:GSA - Graph 3

 


Jennifer Howell, Senior Vice President, Capital Markets Group
Yuqing Lin, Analyst, Capital Markets Group

MIAC Perspectives – Summer 2016
New Developments Regarding MIAC’s Generic Servicing Assets – GSAs™