TY - JOUR 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 SP - 21 LP - 27 DO - 10.3905/jsf.2010.16.1.021 VL - 16 IS - 1 AU - Jonathon Weiner AU - Wesley Winter AU - Kyle G. Lundstedt Y1 - 2010/04/30 UR - https://pm-research.com/content/16/1/21.abstract N2 - 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 ER -