The Emperor's New Clothes


12/15/2012 SIFMA Prepay Speeds
December 18, 2012, 10:26 am
Filed under: Mortgage Servicing Rights, MSRs, Prepay Speeds

December 15th prepay speeds have been uploaded to the L1A valuation site. Speeds seem to have leveled off for the current coupon 30s. The 15 speeds have ameliorated somewhat (see graph below). Let’s hope this trend continues into year-end.

15 year conforming PSA

15 year conforming PSA



9/30/2012 MSR Values
December 5, 2012, 4:17 pm
Filed under: Mortgage Servicing Rights, MSRs, Valuation Tools

The third quarter MSR values for several of the larger servicing companies have been published in each of their respective 10Qs.  The results are summarized below:

10q_2012_09

As you can see, MSR values have continued there inexorable slide, but at a slowing rate. The weighted average value was 109 basis points as of year-end 2009, it dropped to 99bps at year-end 2010, 68 at 12/31/2011, and now it has declined to 61 basis points. The good news is that 61 is only 3 bps lower than it was in June. Maybe we are approaching, or have hit, bottom.