Quarterly Update of the SPV Service - First Quarter 2002

This release estimates and analyse a total of six prepayment models. Three of them are standard models, estimated in prior releases of SPV. The remaining three models are new to SPV and they introduce new concepts which are compared to the three standard models.

We have been experimenting with a new way of calculating a poolfactor to account for speculative mortgagors who enter a series only to leave the series again whenever it becomes attractive.

Another model uses an alternative debtor composition. Instead of focusing only on loan sizes or cash and bond loans model 2 of this release uses a composition differentiating on loan size and whether the borrowers belong to the Firm or the Private category

Finally as a precursor for a two factor interest rate model we have investigated a prepayment model in which the slope of the yield curve is used as an explanatory variable.