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MSR Pricing Trends

MIAC's Generic Servicing Assets (GSAsTM)
Sample GSAs05/22/2013 Price in BPsMultipleOASDurationConvexityWACAge05/21/2013 Price in BPs% Change from 05/21/2013April Month EndChange from April Month EndChange from March Month EndChange from February Month End
AGENCY_ARM_CMT1Y_NEW 95.36 2.543 1484 -3.98 0.58 2.63 0 95.36 0.00 95.31 0.05N/A 75.64
AGENCY_FRM_C15_4.5_2010 63.74 2.125 1906-16.20 8.38 4.90 26 63.74 0.00 63.39 0.57N/A 27.41
AGENCY_FRM_C30_4.5_2010 73.82 2.461 1981-26.54 5.52 4.95 27 73.82 0.00 71.19 3.68N/A 4.87
GNMAI_FRM_C30_5.5_2009 79.80 1.814 1789-23.31 9.55 6.00 38 79.80 0.00 78.53 1.62N/A -6.89

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.

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