By Donald van Deventer on
5/24/2013 10:32 AM
Today’s forecast for U.S. Treasury yields is based on the May 23, 2013 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Daylight Time May 24, 2013. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.
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By Donald van Deventer on
5/21/2013 2:40 PM
This blog provides a general framework for determining the response of asset values (and net income and capital ratios) to changes in key risk factors that takes advantage of the insights of Prof. Robert Jarrow (2013) in his recent paper “A Generalized Multiple-Factor Asset Pricing Model.”
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By Donald van Deventer on
5/17/2013 10:38 AM
Today’s forecast for U.S. Treasury yields is based on the May 16, 2013 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Daylight Time May 17, 2013. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.
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By Donald van Deventer on
5/10/2013 11:15 AM
Today’s forecast for U.S. Treasury yields is based on the May 9, 2013 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Daylight Time May 10, 2013. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.
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By Donald van Deventer on
5/3/2013 10:27 AM
Today’s forecast for U.S. Treasury yields is based on the May 2, 2013 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Daylight Time May 3, 2013. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.
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