Refinancing model

Details Refinancing model Refinancing model

2005-06-22

2008-12-23

Trammell, James P. (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

07469225

ABSTRACT:
A method for modeling a current expected prepayment spread for a mortgage-backed security (MBS) as a function of a current refinance activity is disclosed. According to various embodiments, the method comprises the steps of computing a historical MBS prepayment spread value and determining a historical refinance activity value for each of a plurality of historical time value. The historical MBS prepayment spread value and the corresponding historical refinance activity value define a data pair. The method further comprises the step of processing the data pairs corresponding to the plurality of historical time values to determine terms of a multiple-term mathematical formula that is used to calculate the current expected prepayment spread, wherein the terms of the formula include as a variable the current refinance activity.

REFERENCES:
patent: 7003491 (2006-02-01), Starkman
patent: 2002/0052836 (2002-05-01), Galperin et al.
patent: 2003/0105696 (2003-06-01), Kalotay et al.
patent: 2004/0128232 (2004-07-01), Descloux
patent: 2005/0182702 (2005-08-01), Williams
patent: 2005/0273429 (2005-12-01), Deckoff
Jimmy Hilliard et al, Valuing Prepayment and Default in a Fixed Rate Mortgage: A bivariate binomial options pricing technique, Journal of Real Estate Economics, pp. 431-442, http://www.areuea.org/publications/ree/articles/V26/REE.V26.3.3.PDF.

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