With discount GNMAs continuing to prepay faster than conventionals, analysts are starting to incorporate the different factors driving the accelerated speeds into their models.

Bear Stearns, for instance, has included the impact of higher GNMA default rates as well as a steeper default ramp. Analysts layered a modified conditional default rate (CDR) ramp into their prepayment model to duplicate the effect of high defaults and servicer buyouts. These changes will be available on Sept. 20, the firm said.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.