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Many investors in the $116.7 billion Ginnie Mae project loan market still use a single projection of prepayments and defaults to evaluate securities. APS has developed a dynamic model of prepayments and defaults that captures the influence of changing rates, prepayment penalties, loan size, property appreciation and a host of other loan features. The model shows significant differences between single-projection and option-adjusted analysis of securities. It also highlights relative value within and across project loan deals. In 30 minutes, the call covers the major influences on project loan prepayment and default, the value of dynamic models in security analysis and current relative value.
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