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Distinction is made between induced and autonomous prepayments.
Based on the curvature of the underlying termination pattern, nonparametric methods are derived to estimate the prepayment probabilities and to predict a mortgage life under various scenarios. The findings point to a response asymmetry with respect to the level and trend of interest rates. Non-interest effects reveal the significance of the borrower's characteristics, property age, and regional mobility rates on mortgage termination. Mortgage Portfolio Composition Ling T. He, F.C. Neil Myer, and James R. Webb Previous studies have found that bank stock returns are very sensitive to changes in real estate returns in general. But how the composition and quality of bank real estate portfolios affect the sensitivity of bank stocks to real estate returns has not been rigorously examined.