What are Mortgage Industry Medians (MIMs™)?

MIMs is a daily estimate of consensus Wall St. dealer prepayment forecasts. On the first and fifteenth of each month, the Bond Market Association www.bondmarkets.com surveys the eleven largest MBS dealers for their current long-term prepayment forecasts for the largest components of the mortgage market. These individual dealer long-term forecasts and the corresponding medians are the most accurate and consistent market consensus of long-term prepayment rates.

As mortgage rates change, daily estimates of the consensus Wall St. dealer prepayment forecasts are created for use in their valuation and risk management models. This means that mortgage bankers can have reliable and consistent consensus prepayments on a daily basis for MSR pricing and risk management.

MIMs will also provide accurate estimates of the how the medians are expected to change as interest rate change. This ability will play an increasingly important role in the day-to-day risk management activities of mortgage bankers as they work with FAS 133.

MIMs will be available to users of the largest MSR valuation systems. MIAC Analytics™ users need to have version 3.31 Service Pack 1 in order to utilize successfully the MIMs prepayment forecasts.

For more information please read our important white paper on MIMs, or visit ourweb site at www.miacanalytics.com.

What are Generic Servicing Assets (GSAs™)?

MIACAnalytics.com, aka MIAC, created Generic Servicing Assets (GSAs™), in response to the overwhelming demand for more comprehensive market pricing information for mortgage servicing assets. The Daily GSA™ Pricing Service is a unique product that can be used to enhance the accuracy of internal pricing and the overall transparency within the MSR market.

The GSAs™ are MSR assets whose fundamental characteristics such as Pass-through Rate and Issue Year are consistent with the asset classes the Bond Market Association (“BMA”) utilizes in its dealer consensus prepayment forecast survey. Each GSA™ is representative of a large outstanding MSR class, where the specific servicing-related attributes of each GSA such as note rate, servicing fee, p&i floats, escrow balance, delinquency status, etc. are all determined by MIACAnalytics.com.

The Daily GSA™ Pricing Service represents MIAC’s opinion of the market value of various representative MSR assets based on MIAC’s thorough price discovery process and calibrated market assumptions. MIAC provides the servicing fee multiple, historical price change, OAS, duration, and convexity for each asset. Subscribers to the GSA Pricing Service can access the MSR market and Trust IO pricing and download the pricing directly into a database for historical tracking, reporting, and further analysis.

Mortgage Industry Advisory Company (“MIAC”) creates Daily Trust IO Pricing using the prior business day’s closing IO market prices. The Daily Trust IO pricing is the highest price of the representative survey of major mortgage dealers. This one day lag in pricing is used in order to conform to the pricing methodology used in the Mortgage Servicing Rights (“MSR”) industry. In addition, the Trust IO OASs are calculated in MIAC Analytics WinOAS™ with current 1-Yr into 10-Yr swaption volatility as an input and using the prior business day’s interest rate environment.
For more information on a trial subscription to GSAs please contact: products@miacanalytics.com