Coruscation

The Bond Market Association's Mortgage Prepayment Projection Tables
provide "street consensus" long-term prepayment projections, based
upon a survey of Association members, for TBA securities that are
traded widely in the MBS market.

Where does the association get its data?

Twice each month, participating Association members firms submit
long-term prepayment projections for the securities in the table.
Each contributing dealer submits projections based upon the yield
curve at close of business on the day prior to the submission date.

What data is included?

The Mortgage Prepayment Projection Tables contain long-term
projections for the most widely traded coupon and issues year
cohorts in the following sectors:

* Conventional (Fannie Mae and Freddie Mac 30-Year)
* Ginnie Mae I 30-Year
* Conventional 15-Year
* Ginnie Mae II 30-Year

The sectors, as well as the coupons and issue years included for
each sector, are reviewed every three months by the Association's
MBS Research, Strategy and Analysis Committee in order to stay
current with what securities are widely traded in the secondary
MBS market.

For each cohort, the tables include base case consensus
projections as well as consensus projections assuming immediate
and sustained parallel shifts in the yield curve of -300, -200,
-100, -50, 50, 100, 200 and 300 basis points. They also provide
the highest and lowest individual dealer base case projections
for each cohort and a listing of contributing dealers for each sector.

The Association's tables include long-term PSA and CPR consensus
projections calculated using both a median and a simple average.

How are mortgage prepayment projections used?

As opposed to other types of bonds where the investor receives
interest over the life of the bond and is repaid the principal (or
"face value") upon maturity, investors in mortgage-backed securities
(MBS) receive payments of both interest and principal throughout
the life of the security as the underlying mortgage loans are paid off.

These payments can vary widely because of the timing and speed
with which people pay off their mortgages. For example, when
mortgage rates are low homeowners often pay off and refinance
their mortgages in order to secure a lower interest rate and
decrease their monthly payments.

Projecting prepayments, therefore, is a vital step in MBS analytics.
Prepayment projections reflect what analysts anticipate mortgage
prepayment rates will be based on complex modeling procedures.
The Bond Market Association's Mortgage Prepayment Projection
tables provide "street consensus" long-term prepayment rate
projections that are based on an aggregate of the projections
produced by Wall Street's top prepayment models.

TBMA on MBS/ABS/CDO .