By Brian Rosenlund, CFA
Senior Analyst, Structured Products
Projecting Home Prices – We show that despite its shortcomings, the Chicago
Mercantile Exchange’s Housing Futures contracts can be used to model investors’
expectations of future home prices.
> Deal Analysis – We recommend using a combination of the all-in OFHEO
Metropolitan Statistical Area (MSA) data and the Case-Shiller MSA level indices to
analyze the built up home price appreciation/depreciation in residential
mortgage backed securities (RMBS).
> Return Expectations – Using MetWest’s Loan Level database, proprietary Loan
Level Prepayment, Default and Severity models and the market’s future home
price expectations, we show why MetWest believes there are great return
opportunities in the RMBS Asset Backed Securities Market.