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Risk-Neutral Prepayment Model

We compute optimal tuning parameters to the AD&Co prepayment model that would value all agency MBS flat to agency debentures. This tuned prepayment model is called risk-neutral model. Optimization is performed using TBA prices with market data from the close of every Friday.

2008 Analysis - OAS v7 w/Prepay Model v5.2

Jan 4	Feb 1	Mar 7	Apr 4	May 2	June 6	July 3	Aug 1
Jan 11	Feb 8	Mar 14	Apr 11	May 9*	June 13	July 11	Aug 8
Jan 18	Feb 15	Mar 20	Apr 18	May 16	June 20	July 18	Aug 15
Jan 25	Feb 22	Mar 28	Apr 25	May 23	June 27	July 25	Aug 22
	Feb 29			May 30			Aug 29

*Effective 5/9/2008, we change prepay model tunings for fixed-rate TBAs. See www.ad-co.com/support/user/TPR52.htm for details.

Year: 2008 - 2007 - 2006 - 2005 - 2004 - 2003 - 2002 - 2001

Description of Analysis
Explanation of Implied Tuning Parameters
View Implied Tuning Parameters Through Time