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MSR Pricing Trends
| MIAC's Generic Servicing Assets (GSAsTM) | |||||||||||||
| Sample GSAs | 09/02/2010 Price in BPs | Multiple | OAS | Duration | Convexity | WAC | Age | 09/01/2010 Price in BPs | % Change from 09/01/2010 | August Month End | Change from August Month End | Change from July Month End | Change from June Month End |
| Agency_ARM_CMT1Y_NEW | 53.74 | 2.150 | 770 | -30.64 | -8.45 | 3.73 | 1 | 54.00 | -0.49 | 54.27 | -0.98 | -7.29 | -23.11 |
| Agency_FRM_C15_4.5_2010 | 86.30 | 2.877 | 1781 | -18.78 | -2.25 | 4.98 | 3 | 85.99 | 0.36 | 86.28 | 0.02 | -2.81 | 24.04 |
| Agency_FRM_C30_4.5_2010 | 108.21 | 3.607 | 1755 | -19.51 | -4.71 | 4.95 | 3 | 107.70 | 0.48 | 108.30 | -0.08 | -2.58 | -6.93 |
| GNMA_FRM_C30_5.5_2009 | 89.13 | 2.026 | 2021 | -23.96 | -0.28 | 6.00 | 12 | 90.00 | -0.97 | 90.38 | -1.38 | -0.29 | 30.79 |
| NonAgency_Jumbo_FRM_6_2006 | 52.82 | 2.113 | 2635 | -29.85 | -0.26 | 6.66 | 48 | 52.83 | -0.02 | 52.87 | -0.11 | -3.14 | 14.55 |
| FHSMB228 | 2024.22 | 3.374 | -222 | -15.94 | 8.33 | 6.39 | 78 | 2000.39 | 1.19 | 2028.13 | -0.19 | -5.51 | -6.95 |
| FNMA360 | 1424.61 | 2.849 | -98 | -26.28 | 18.57 | 5.68 | 58 | 1373.44 | 3.73 | 1431.64 | -0.49 | -14.23 | -19.81 |
| FNMA371 | 1606.64 | 2.472 | 615 | -9.84 | 6.13 | 6.92 | 48 | 1583.20 | 1.48 | 1610.16 | -0.22 | -5.75 | -7.82 |
What Are Generic Servicing Assets™?
Generic Servicing Assets, or GSAs™, were created by Mortgage Industry Advisory Company (MIAC) as a way to make market pricing for mortgage servicing assets more transparent. 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 MIAC.
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. 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.
All the information presented here is the sole property of MIAC. As such SourceMedia makes no representation as to the the accuracy or reliability of this information and takes no responsibility for actions that might be taken based on it. For information on a trial subscription to GSAs, visit www.MIACAnalytics.com.
