APPENDIX I

Abstract

within-sample comparisons of the overall goodness-of-fit of the binomial logit models for claim and prepayment probabilities. Separate comparisons given for each of the six mortgage product types. The compare the average value by mortgage age of the observed and predicted conditional claim and prepayment probabilities. The large fluctuations in the observed probabilities at higher values of mortgage age are the result of sampling variation due to the small numbers of surviving loans. Exhibits A-16 to A-21 present comparisons of observed and estimated claim and prepayment frequencies for all mortgages by origination year, termination year, and the age of the loan.