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PREPAYMENT ANALYSIS OF RESIDENTIAL MORTGAGE BACKED SECURITIES FOR INDIAN SECURITIZATION MARKET

K.C. Iyer 1

G.C. Tripathi 2

ABSTRACT

Residential Mortgage Backed Securities are gaining momentum in India, as the same are likely to be listed and traded in public domain. This has prompted the analysis of different aspects of pricing its products. Various risk elements control the prices of these products and prepayment is one of the most critical of them. This paper attempts to identify and analyze two factors i.e seasonality and seasoning, contributing to the prepayment risk associated with the residential mortgage backed securities in Indian market where the underlying asset is based on retail housing loans to the individuals in India. The data collected pertained to existing pools securitized in recent past. Unlike the pattern observed in the developed economies, this study indicates that the prepayment does not significantly change in different months or seasons of a year. However, the ageing of pools (seasoning) has significant impact on prepayments, which is in consonance with the developed economies. The prepayments have shown a declining trend with age.

Key Words: Prepayment, Securitized Instruments, Residential Mortgage Backed Securitization

1. Introduction

Securitization is a process, which infuses efficiency in the distribution of capital of an

economy. It generates channels for capital market funds to such sectors where funds are

required the most and this has led to innovative instruments like ‘Pass Through Certificates’

(PTC) and ‘Pay Through Certificates’. These are based on mortgage-backed securitization

(MBS), or asset backed securitization (ABS), or collateralized debt obligations (CDO). These

1 Associate Professor, Department of Management Studies, Indian Institute of Technology, Delhi (India) - 110016. Ph: +91 11 26591209; Fax: +91 11 26862820 E-mail: kciyer@dms.iitd.ac.in

2 Doctoral Student, Department of Management Studies, Indian Institute of Technology, Delhi (India) - 110016. Ph: +91 9811460746; Fax: +91 11 26862820 E-mail: girish.tripathi@igsm.in

instruments have a vital role in real estate and infrastructure sectors of economy and have

therefore been gaining popularity among institutional investors.

Securitization process started as early as in 1990 in India, but it remained almost dormant for

almost a decade. However, this process evidenced considerable activity in the last six years,

particularly in the area of asset backed securitization where car loans and personal loans have

been securitized by a number of lending institutions (Kothari, 2006). This has led to increased

interest and awareness among various stakeholders of this process. The volume in the primary

market of securitized instruments has increased from 36 Billion Indian Rupees (INR) to 260

Billion INR in the four years from 2002 to 2006 marking an increase by almost 725%. Even

here the other modes of securitization such as MBS and CDO could not see so much of growth

primarily

due

to

absence

of

policy

framework

in

place

pending

legal

clearance

on

Securitization Act, 2002 and thereby lack of confidence in the minds of investors. Besides,

there does not exist any secondary market for securitized instruments till date. Only in the

month of June 2007, the Indian capital market regulator has initiated some steps in the

direction of public issues of securitized instruments whereby India is likely to see these

instruments listed and traded on the exchanges in the near future. As a result, analysis and

subsequently pricing of these instruments is expected to take the center stage.

The pricing of these instruments is subjected to various risks, like interest rate risk (also

known as basis risk), default risk, co-mingling risk, market risk and prepayment risk.

Prepayment arises due to the existence of the option embedded in mortgage. A typical

mortgagee makes a commitment to pay the mortgagor in equal payments on a monthly basis

for the term of a loan, commonly termed as equal monthly installment (EMI). The mortgage

contract also provides right to the mortgagee to payoff (or prepay) the loan (full or part) at any

point of time. There are multiple reasons for the mortgagee to exercise the prepayment option

of the mortgage including some significant factors like changes in interest rates, changes in

income status, family size, marital status and relocation. This option is typically exercisable

with either nil or meager financial penalties. A mortgage loan is also prepaid due to the sale of

the underlying property or due to refinancing into another loan. The mortgagor may also

terminate the mortgage loan, when the mortgagee defaults on the required payments by legal

acquisition and subsequent liquidation of the asset.

Since securitized instruments are generated after integrating these individual mortgages into

pools and subsequently disintegrating them into securities, the pool characteristics also

contribute to prepayment risk. Some of these characteristics are age of the pool, seasons of the

year and pool burnout factor.

As these instruments are relatively new in India and still in a nascent stage, this paper presents

a study on the variation of prepayment with months of the year (seasonality) and the age

(seasoning) of the pools. The scope of study is however limited to only residential mortgage

based securities. The rest of this paper is arranged as follows. Section 2 gives a detailed survey

of the existing literature, section 3 introduces the methodology and data, analysis of the data

and the subsequent findings has been detailed in section 4, section 5 discusses the results and

the paper ends with conclusions and suggestions in section 6. Section 7 has all the references

and section 8 has the appendices.

2. Literature Review

Stanton (1995) has specified that prepayment in the mortgage contract can be viewed as a call

option, and default in the mortgage contract can be viewed as a put option. Pricing for

mortgage

and

mortgage-backed

securities

is

complicated

due

to

the

stochastic

and

interdependent nature of prepayment and default risks. (Downing, Stanton and Wallace, 2001)

While the typical mortgage-backed security appears to be just a collection of principal and

interest cash flows, the ability of the owner of a mortgage to prepay or refinance at current

rates has some monetary value, as the holder has the right but not the obligation to exercise

this put option. From the viewpoint of the investor of the mortgage-backed security, this

option can be considered as a liability, as its exercise would force the prepayment of the loan

and an end to a portion of principal included in the investment.

There are a few main driving forces behind the prepayment and subsequent pricing of

mortgage-backed securities (Richard and Roll, 1989). The first factor that influences the

modeling of prepayment is seasonality (Schorin and Gordon, 1995). In developed economies,

prepayments and refinancing occurrences tend to increase during the spring and summer due

to the weather and school year (Davidson and Herskovitz, 1994). Most agency mortgage-

backed deals exhibit the slowest exercise of the prepayment option during February, while the

months of May through September initiate higher housing turnover due to refinancing

(Patruno, 1995).

The second major influence of prepayments is called burnout. Burnout may be defined as the

decrease in marginal utility to refinance for a borrower of housing loan. (Kalotay et al, 2003).

For example, if one has refinanced a number of times prior to the level of present mortgage

rates, the desire to capitalize on new lower rates decreases. Every refinancing results in extra

cost for the borrower, which mainly becomes the reasons for this sort of behavior of the

homeowner. The extra costs include the paperwork and costs involved in each mortgage

refinancing and the overall willingness of each homeowner to re-enter the prepayment

process. (Kothari, 2006)

Seasoning is another important factor that plays important role in the prepayment behaviors of

the pools and subsequent securitized instruments issued on the basis of these pools. (Davidson

and Herskovitz, 1994) After living in a home for a number of years, a family is usually less

inclined to move to another home because of stability at the workplace and at local schools.

Thus, the age of each mortgage loan plays a dramatic part in the valuation of these

investments. (Kothari, 2006)

The Public Securities Association, or PSA, benchmark reflects this assumption concerning the

stability of homeowners in the long run, as the seasoning ramp levels off after the initial 30

months of the mortgage contract. While each mortgage-backed security is a percentage of this

PSA index, the relative flattening of this ramp illustrates the normal behavior of homeowners

after living in the same shelter for a considerable period of time. (Richard and Roll, 1989)

Most prepayment and pricing models for securitized instruments are rather sophisticated, as

they attempt to consider both the principal and interest payments of the mortgage loan as well

as the prepayment option embedded within the contract. This option is not like other options in

the fixed income arena, as analysts often try to incorporate the other factors mentioned above

and include an Option Adjusted Spread (OAS) calculation. The main idea is that mortgage

rates have a greater bearing than any other market factor, and the other influences are not

independent of the present level of these rates. (Stanton, 1995)

PPrreeppaayymmeenntt MMooddeellss

Mortgages have the unique characteristic of giving the borrower the right to prepay a

mortgage at any time during the life of the loan. This right means the investor in a mortgage

cannot know the maturity of the loan or the amount of interest that will be received with

absolute certainty. There are three basic reasons for prepayment: moving, refinancing, and

default. Defaults are not actually prepayments but most MBSs have credit guarantees that

transform borrower defaults into prepayments to investors. One of the difficulties in pricing

MBSs and CMOs is being able to quantify this prepayment risk. (Davidson and Herskovitz,

1994)

Financial Literature is full of prepayment models. (Ronald and Sunderman, 1992). The models

may be divided in two categories i.e. rational prepayment models and empirical prepayment

models. There are many rational prepayment models like Dunn and McConnel (1981), Dunn

and Spatt (1986), Timmis (1985). There are many empirical prepayment models as well. The

popular ones are detailed here

Asey, Giillaume and Mattu Model (1987):

In this model the conditional prepayment

rate (CPR) is expressed as an arctangent function of the spread or the refinance

incentive.

Chinloy Model (1991): Based on Tobit specifications, this model incorporates the

existing mortgage rates and coupon rates of the pool as two separate explanatory

variables along with the age as the age or seasoning as the third variable.

Schwartz and Torous Model (1989): This a proportional hazard model and based on

the

maximum

likelihood

specifications

and

includes

refinancing

incentive,

heterogeneity in mortgages and seasonality as explanatory variables.

Richard and Roll Model (1989) later enhanced to be known as Modified Goldman

Sach Model (1989): This is multiplicative model having refinance incentive, pool

burnout factor, age (seasoning) and moths of the year (seasonality) as the explanatory

variables.

In India, the housing finance sector has been regulated by a subsidiary of the Indian central

bank. This is known as National Housing Bank (NHB). This regulator has pioneered the

introduction and growth of Residential Mortgage Backed Securities in India. NHB has

conducted some research on the applicability of these prepayment models in Indian context.

But no conclusive evidence of acceptability of any of the models has been found so far.

Hence there is a need to develop a suitable prepayment model for Indian conditions.

3. Methodology

This paper analyses two factors (Seasonality and Seasoning) affecting prepayment behavior of

structured finance instruments in India. As discussed earlier, the focus has been only on the

securitized instruments based on Residential

Mortgage Backed Securitization. Forming

hypotheses and testing them on the data achieve the objectives of the study.

3.1 Hypothesis Formation

Taking the clue form the experiences of the developed economies as presented in the literature

review in Section 2 above, the following two hypotheses were formed.

Hypothesis

1:

Months

of

the

year

(i.e.,

prepayments observed from mortgage pools.

seasonality)

have

a

significant

influence

on

Hypothesis 2: Age (i.e., seasoning) of the pools has a significant influence on prepayments of

the pools.

3.2 Data Collection

For the study data has been collected from secondary sources i.e. the credit rating agencies,

servicing and paying agents and also from the originators of the mortgage pools. Data on ten

RMBS pools is collected from the public domain and their basic features are summarized in

Table 1. The features include pool size, ratio of size of senior securitized instruments (PTC A)

and the total size of the pool, weighted average coupon rate of the pool and average seasoning

of the pool before Securitization. Since the pools have been formed at different points of time,

their age at the time of study is not the same. The standard feature the pools have been that

they all are based on the retail residential housing loans, securitized in a par structure, and the

credit enhancement technique used includes senior – subordinate structure.

Table 1: Basic Features of the Pools

Pool

Pool Size

PTC A size/ Pool Size

Weighted Average Coupon (in %)

Seasoning before Securitization in months

in Million

INR

 

Pool 1

883

0.68

14.9

15

Pool 2

475

0.92

15.7

18

Pool 3

742

0.63

14.8

18

Pool 4

634

0.71

15.5

18

Pool 5

853

0.68

11.78

12

Pool 6

772

0.71

9.13

24

Pool 7

641

0.93

9.77

26

Pool 8

698

0.89

9.86

18

Pool 9

504

0.85

9.2

17

Pool 10

437

0.99

9.09

19

Data on the monthly prepayment measure, Single Monthly Mortality (SMM), is collected from

the data source and the Conditional Prepayment Rate (CPR) was calculated using the

following relationships (Davidson and Herskovitz, 1994, Fabozzi, et al 2007).

CPR= 100 x (1-(1-SMM) 12 )

3.3 Data Analysis: The calculated CPR averaged over different months and all ten pools are

plotted in the form of a histogram (Fig1) to understand seasonality.

Average CPR

0.3 0.25 0.2 CPR 0.15 Series1 0.1 0.05 0 1 2 3 4 5 6
0.3
0.25
0.2
CPR
0.15
Series1
0.1
0.05
0
1
2
3
4
5
6
7
8
9
10
11
12

Months of the Year

Fig 1: Average CPR for all the pools for months of the year.

One way Analysis of Variance (ANOVA) is used to test the hypotheses on the data of all the

ten pools. Since some features of the data are camouflaged in estimating the averages, Two

way Analysis of Variance (ANOVA) is used to bring out the same. But for this purpose, a

subset of six pools has been carved out of the data set of ten pools, by excluding pools 6, 8, 9

and 10.

For analyzing the effect of seasoning of the pools on their prepayment behavior, the variations

CPR with the age after Securitization have been plotted for all the pool individually. A typical

plot looks like the following figure (Figure 2).

Pool 1

0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 CPR 1 5 9 13
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
CPR
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
61
65

Time in Months

Series1
Series1

Fig 2: The Variation of CPR with the Age of the Pool (Seasoning)

The above figure shows the actual CPR calculated on the observed SMM. Here the

prepayment rate of the pool increases as the age increases, attains a maximum value and then

reduces. Hence the variation with time is evident, the significance of these variations are tested

by ANOVA.

4. Findings

4.1 Seasonality: The extract of the data is shown in the table below (Table 2). The bar graph

had been shown in the fig 1 earlier.

Table 2: CPR of Different Months of the Year

Year Jan Feb March April May June July August Sept Oct Nov Dec Mean 0.26
Year Jan
Feb
March April May June July
August Sept Oct
Nov
Dec
Mean
0.26 0.22
0.23 0.22 0.29 0.22
0.20
0.22 0.19 0.19
0.20 0.22

It may be observed from the fig 1 and table 2, that the month of May is having the highest

average CPR and the month of September is having the lowest value. In order to test the

significance of these differences, ANOVA (one way) has been applied with the output as

depicted in the following table (Table 3).

Table 3: ANOVA (one way) Results

ANOVA

Source of Variation

SS

df

MS

F

P-value

F crit

Between Groups

0.050252

11 0.004568

0.3979 0.951087 1.967546

Within Groups

0.631462

55 0.011481

Total

0.681714

66

The ANOVA result shows that differences in the average CPR values over different months of

the year are not significant as the calculated F value is lower than the critical F value at 5%

significance level and also the P value is very high. So the null hypothesis (that the

prepayment level for the months the year is the same) cannot be rejected.

4.2 Seasoning: The following table (Table 4) shows the results of the variation of prepayment

rates for all the pools. The pattern of pool 1 has already been given in figure 2, for the other

pools the same are shown at the end this section.

Table 4: Result of Prepayment Behavior on Seasoning of Pools

No

 

Pattern

 

Peaks

in

 

month no

1

Increases initially and then comes down, remains high in the centre

 

37

2

Increases

initially

and

then

comes

down,

attains

high

values

36

intermittently in the middle.

 

3

Similar to pool 2

 

28

4

Does not show any regular pattern. Seems to be cyclic.

 

24

5

Difficult to trace any pattern. Almost flat in nature.

 

26

6

Similar to pool 4

 

12

7

Similar to pool 2 and 3

 

16

8

Similar to pool 4

 

4

9

Similar to pool 4 except for an abnormal ignorable peak

 

9

10

Similar to pool 6

 

14

The pictorial patterns of half of the pools analyzed, are not able to depict any clear pattern and

hence require statistical analysis. The following table (Table 5), details of the ANOVA result.

Since the longest pool was having the 67 months age, the degree of freedom has been 66. As

observed from the table, the calculated F value is more than the critical value at 5%

significance level and hence the null hypothesis (that the prepayment level for all the ages or

seasoning) is rejected.

Table 5: ANOVA (one way) Results of Seasoning Effect on Prepayments

ANOVA

Source

of

Variation

SS

df

MS

F

P-value

F crit

Between Groups

2.571524

66

0.038962

2.402488

1.30032E-07

1.340034

Within Groups

6.065366

374

0.016218

Total

8.63689

440

4.3. Combination of Seasonality and Seasoning: In order to further probe the statement of

the hypotheses, two way ANOVA test has been done. For this purpose the data has been

arranged in the form of a matrix (Attached in the appendix). As mentioned in 3.3 above, the

number of pools, which have been taken for this part, is six. The data for 6 pools and 12

months and 3 years has been analyzed and the result of the same is shown in the following

table (Table 6).

Table 6: Two Way ANOVA Result of Seasoning and Seasonality Effect on Prepayments

ANOVA

Source

of

F crit

Variation

SS

df

MS

F

P-value

 

3.0461

Years

0.0134

2

0.00672

11.6337 1.8E-05

 

1.8422

Months

0.0087

11

0.00079

1.37605 0.18747

 

1.6017

Interaction

0.0131

22

0.00059

1.02983 0.43033

Within

0.1039

180

0.00058

Total

0.1391

215

As seen from the above AVOVA table, the P value for the variation across years is very low

(less than our significance level of 5%) and hence the null hypothesis is rejected. However, the

same is not valid for variations across different months of the same year and also for the

interaction between months and years as the P values are 0.18 and 0.43 which are higher than

the maximum acceptable limit of 0.05 (5%).

Hence we can conclude that there is no statistically significant seasonality observed in the

prepayment behavior of mortgage pools in Indian context. However there exists a statistically

significant impact of seasoning on the prepayments levels of the securitized pools. On further

investigation, it is observed that the average prepayments (CPR values) are reducing with

respect to age. On fitting a curvilinear model, on the quarterly data of average prepayments,

the best fit has been observed to the power equation with negative exponent coefficient. The

data along with the fitted equation and the fitted curve has been shown in the following

diagram (Fig 3). As we can see the goodness of fit is excellent with R 2 =0.92. But the caution

here is that the quarters have not been starting from the beginning of the pools.

0.06 0.05 0.04 y = 0.0486x -0.4935 0.03 R 2 = 0.9191 0.02 0.01 0
0.06
0.05
0.04
y
= 0.0486x -0.4935
0.03
R 2 = 0.9191
0.02
0.01
0
Q1
Q2
Q3
Q4
Q5
Q6
Q7
Q8
Q9
Q10
Q11
Q12

(Fig 3: Plot of the Average CPR variations with different quarters)

5. Discussions:

5.1 Seasonality:

Even though statistically insignificant, the prepayment levels of the pools are showing a

tendency of being higher than the average in the early half of the year with May having the

highest value. Generally the prepayment is expected to be higher in the months of January to

March (Goodarzi et el, 1998), however Indian pools have not shown the same levels in these

months. This may be attributed to the fact that India follows a financial year from April to

March and most of the annual taxes are due in these months. Hence the disposable income of

the borrowers of the loans of the pool reduces at this time of the year. Hence might generate

lower prepayments.

Another possible reason for the average CPR to be the highest for the month of May could be

the schooling schedule and the transfer seasons in the country. Generally, the schools start

fresh classes in the months of April to July across the country. Also the government authorities

affect the transfers of their employees at around that time only so that the employees can

manage for the schools of their wards at their new locations. This increases mobility of the

borrowers of the mortgages. Higher mobility generates higher prepayments.

5.2 Seasoning:

The seasoning effect is observed on 5 of the 10 pools chosen for analysis. This shows that, like

other countries having active markets, Indian pools also are likely to have similar effects.

However, some pools have shown no definite patterns. This may be attributed to other

economic variables like the housing markets and the ruling interest rates in the economy.

The slow increase in the CPR value over a period of time is in tune with the Public Securities

Association (PSA) curves, which project that the prepayment rates increase with the age and

remain constant thereafter (Davidson and Herskovitz, 1994). But the similarity ends here as

the observed prepayment curve starts downward journey.

This is observed in 7 out of 10

pools selected for the study. This indicates that there might be considerable effect of pool burn

out factor. The fitted curve suggests the in the later stages, the prepayment behavior is found

to be following a declining power series. In order to exactly project the prepayments, we need

to have models for the entire life of the pool, which necessitates further need of research in

this area.

6. Conclusions

This research investigated the impact of two important factors influencing the prepayment

behavior of mortgage pools. These two factors are seasoning and seasonality. The research

shows that the seasonality phenomenon, which influences the prepayment patterns of pools in

the developed economies, is not significantly evident in India. Seasoning, on the other hand,

significantly influences the prepayment pattern of many but not all the pools. Hence there is

some consonance with what is happening in the other active structured finance markets like

UK, Canada and USA etc. However even in this aspect, Indian pools have shown different

behavior, but the difference is narrower. Since prepayment modeling is the base for pricing of

the securitized instruments, there is a need to develop specific models for developing

economies like India. The model fitted here shows that the prepayments decline with age in

the later part of their life, even though the R 2 value is as high as 0.92, there is still a need for

models, which are valid for the entire life of the pools. This challenge will have to be taken by

academia and industry jointly and also it has it be done quickly because very soon India is

likely to have an active market for securitized instruments.

7. References:

Asey, M., Guillaume, F. H. and Mattu, R. K. 1987. “Duration and Convexity of Mortgage-

Backed Securities: Some Hedging Implications from a Prepayment Linked Present Value

Models” in Fabozzi, F. J. editor “The Handbook of Mortgage Backed-Securities”, Third

Edition, Probus Publishing, Chicago, 269-338.

Chinloy, P. 1991. “The probability of Prepayment”, Journal of Real Estate Finance and

Economics, 1(2), 117-130.

Davidson, A. S. and Herskovitz, M. D. 1994. “Mortgage Backed Securities: Investment

Analysis and Advanced Valuation Techniques”, Probus Publishing, Chicago

Downing, C., Stanton, R. and Wallace, N. 2001. “An Empirical Test of a Two-Factor

Mortgage Prepayment and Valuation Model: How Much Do House Prices Matter” Working

paper, Carnegie-Mellon University.

Dunn, K. B. and McConnell, J. J. 1981. “Valuation of Mortgage-backed Securities”, Journal

of Finance, 36, 599-617

Dunn,

K.

B.

and

Spatt,

C.

S.

1986.

“The

Effect

of

Refinancing

Costs

and

Market

Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts”, Working

Paper, Carnegie-Mellon University

Fabozzi, F. J., Bhattacharya, A. K. and Berliner, W. S. 2007. “Mortgage Backed Securities:

Products, Strcturing and Analytical Techniques”, John Wiley and Sons, New Jersey, USA.

Goodarzi, A., Kohavi, R., Harmon, R. and Senkut, A. 1998. “Loan Prepayment Modeling”,

Journal of American Association of Artificial Intelligence, USA.

Kalotay, A., Yang, D. and Fabozzi, F. J. 2003. “An Option Theoretic Prepayment Model for

Mortgages and Mortgage Backed Securities”, International Journal of Theoretic and Applied

Finance, 11, 108-124.

Kothari, V. 2006. “Securitization: The Financial Instrument of the Future”, Wiley Finance,

John Wiely and Sons, Singapore

Patruno, G. N. 1995. ”Mortgage Prepayment Modeling: II” in Fabozzi, F. J. editor “The

Handbook of Mortgage Backed-Securities”, Fourth Edition, Probus Publishing, Chicago, 143-

168.

Richard, S.F. and Roll, R. 1989. “Prepayment on Fixed Rate Mortgage-Backed Securities”,

Journal of Portfolio Management, Volume 15 (Spring), 73-82.

Ronald, W. S. and Sunderman, M. A. 1992. “The Effect of Prepayment Modeling in Pricing

Mortgage Backed Securities”, Journal of Housing Research, 3 (3), 381-400.

Schorin, C. and Gordon, M. N. 1995. ”Mortgage Prepayment Modeling: I” in Fabozzi, F. J.

editor “The Handbook of Mortgage Backed-Securities”, Fourth Edition, Probus Publishing,

Chicago, 127-141.

Schwartz, E. S. and Torous, W. N. 1989. “Prepayment and Valuation of Mortgage-Backed

Securities”, Journal of Finance, 44, 375-392.

Stanton, R. 1995. “Rational Prepayment and the Value of Mortgage-backed Securities”, The

Review of Financial Studies, 8, 677-708

Timmis, G. C. 1985. “Valuation of GNMA Mortgage-Backed Securities with Transaction

Costs, Heterogeneous Households and Endogenously Generated Prepayment Rates”, Working

Paper, Carnegie-Mellon University, California.

8. Appendices:

Appendix 1. Plots of CPR levels for Pool 2 to Pool 10

 

Pool 2

 
 

1

0.9

0.9  
 

0.8

0.7

0.6

CPR

0.5

Series1
Series1

0.4

0.3

0.2

0.1

0

 

1

3

5

7

9

11

13

15

17

19

21

23

25

27

29

31

33

35

37

39

41

43

45

47

49

51

53

55

57

59

61

63

65

67

 

Time in Months

 
 

Pool 3

 
 

1

  1  
 

0.9

0.8

0.7

0.6

CPR

0.5

Series1
Series1

0.4

0.3

0.2

0.1

0

 

1

3

5

7

9

11

13

15

17

19

21

23

25

27 29

31

33

35

37

39

41

43

45

47

49

51

53

55

57

59

 

Time in Months

 
 

Pool 4

 
 

0.4

 

0.35

0.35  
 

0.3

0.25

CPR

0.2

Series1
Series1

0.15

0.1

0.05

 

0

 

1

3

5

7

9

11

13

15

17

19

21

23

25

27

29

31

33

35

37

39

41

43

45

47

49

51

53

55

57

 

Time in Months

 
 

Pool 5

 
 

0.45

0.4

0.4  
 

0.35

0.3

0.25

0.25

0.2

Series1
Series1
 

0.15

0.1

0.05

0

 

1

3

5

7

9

11

13

15

17

19

21

23

25

27

29

31

33

35

37

39

41

43

45

 

Time in Mont hs

 
 

Pool 6

 
 

0.25

0.2

0.2  
 

0.15

Series1
Series1
Series1

0.1

 

0.05

0

 

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24 25

26

27

28 29

30

31

32

33

 

Time in Mont hs

 
 

Pool 7

 
 

0.3

0.25

0.25  
 

0.2

0.15 Series1

0.15

Series1
Series1

0.1

0.05

0

 

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21 22

23 24

25

26

27 28

29 30

31 32

33

34 35

36

 

Time in Mont hs

 
Pool 8 0.25 0.2 0.15 Series1 0.1 0.05 0 1 2 3 4 5 6
Pool 8
0.25
0.2
0.15
Series1
0.1
0.05
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
Time in Mont hs
Pool 9
0.5
0.45
0.4
0.35
0.3
0.25
Series1
0.2
0.15
0.1
0.05
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
Time in Months
Pool 10
0.03
0.025
0.02
0.015
Series1
0.01
0.005
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
Time in Mont hs
CPR

Appendix 2: ANOVA (one way) for seasonality

Anova: Single Factor

SUMMARY

Groups

Count

Sum

Average

Variance

Column 1

5

0.129503

0.025901

0.000382

Column 2

5

0.106095

0.021219

0.000161

Column 3

5

0.107403

0.021481

5.55E-05

Column 4

5

0.103685

0.020737

6.36E-05

Column 5

5

0.155051

0.03101

0.000614

Column 6

6

0.128613

0.021435

0.000159

Column 7

6

0.109226

0.018204

6.2E-05

Column 8

6

0.127157

0.021193

0.000144

Column 9

6

0.105751

0.017625

7.76E-05

Column 10

6

0.107168

0.017861

7.36E-05

Column 11

6

0.110581

0.01843

5.9E-05

Column 12

6

0.124286

0.020714

9.41E-05

ANOVA

Source of Variation

SS

df

MS

F

P-value

F crit

Between Groups

0.000838

11

7.62E-05

0.495866

0.897773

1.967546

Within Groups

0.008448

55

0.000154

Total

0.009286

66

Appendix 3. ANOVA (Two way) Table

Anova: Two-Factor With Replication SUMMAR

 

Y

January Feb

March

April

May

July

August Sept

Oct

Nov

Dec

Total

Year

Count

6

6

6

6

6

6

6

6

6

6

6

72

Sum

0.3461 0.2512

0.19199

0.13472 0.46546 0.19394

0.118 0.1473 0.1181

0.1283

0.143

2.439

Average

0.0577 0.0419

0.032

0.02245 0.07758 0.03232 0.02 0.0246 0.0197 0.0214

0.024

0.034

Variance

0.0035 0.0011

0.00084

0.00019 0.00779 0.00116

3E-04 0.0003 0.0004

0.0003

4E-04

0.002

Count

6

6

6

6

6

6

6

6

6

6

6

72

Sum

0.1484 0.1287

0.14836

0.12168 0.12587 0.10994 0.02028 0.02098 0.01832 9.2E-05 9.8E-05 3.4E-05

0.149 0.0932 0.0804 0.025 0.0155 0.0134

0.0997

0.108

1.442

Average

0.0247 0.0214

0.02473

0.0166

0.018

0.02

Variance

0.0005 0.0003

9.8E-05

2E-04 7E-05 8E-05 0.0001

4E-05 1E-04

Count

6

6

6

6

6

6

6

6

6

6

6

72

Sum

0.0974 0.0809

0.12268

0.09944 0.09484 0.08795 0.01657 0.01581 0.01466

0.084 0.0747 0.0829 0.014 0.0124 0.0138

0.1036

0.093

1.101

Average

0.0162 0.0135

0.02045

0.0173

0.016

0.015

Variance

0.0001

4E-05

3.8E-05

5.5E-05 3.7E-05 5.1E-05 1E-04 3E-05 8E-05 0.0001

1E-04 7E-05

Total

Count

18

18

18

18

18

18

18

18

18

18

18

Sum

0.5919 0.4609

0.46304

0.35585 0.68618 0.39183 0.01977 0.03812 0.02177 0.00011 0.00316 0.00043

0.351 0.3152 0.2815

0.3316

0.344

Average

0.0329 0.0256

0.02572

0.019 0.0175 0.0156 2E-04 0.0002 0.0002

0.0184

0.019

Variance

0.0015 0.0006

0.00031

0.0002

2E-04

Appendix 4: Data for Two Way ANOVA

 

Collection

                       

Months

January

February

March

April

May

June

July

August

September

October

November

December

Year

1

Pool1

0.05104 0.06475 0.08882 0.04649 0.0587

0.1154 0.09731

0.0521

0.05704 0.05789

0.05812

0.06593

Year

1

Pool2

0.09981

0.0832

0.0246 0.02753 0.1551 0.01955 0.02689 0.01257

0.02652 0.01332

0.01738

0.0119

Year

1

Pool3

0.15604

0.06724 0.02678 0.02073 0.2171 0.03397 0.03878 0.01902

0.03099 0.00964

0.01169

0.02341

Year

1

Pool4

0.01865

0.01741 0.02661 0.01722 0.0152 0.01204 0.01313 0.01447

0.01326 0.01407

0.01431

0.01175

Year

1

Pool5

0.01568

0.01377 0.02031 0.01787 0.0141 0.01446 0.01353 0.01328

0.01374 0.01475

0.01631

0.01597

Year

1

Pool7

0.00488 0.00488 0.00488 0.00488 0.0054 0.00653

0.0043 0.00614

0.00575 0.00845

0.01046

0.01382

Year

2

Pool1

0.06891

0.05587 0.04399 0.03413 0.0381 0.05119 0.02782 0.04422

0.03233 0.03034

0.04089

0.02984

Year

2

Pool2

0.01436 0.01261 0.02426 0.01179 0.0252 0.01564 0.00957 0.03735

0.0139 0.01103

0.00991

0.0159

Year

2

Pool3

0.01237

0.01321 0.01847

0.0081 0.0136 0.01166 0.01801 0.02592

0.01298

0.006

0.00736

0.01413

Year

2

Pool4

0.0194 0.01363 0.02465 0.02167 0.0191 0.01654

0.019 0.01123

0.00964 0.01285

0.01502

0.01398

Year

2

Pool5

0.01939 0.01434 0.01713 0.01905 0.0198 0.01428 0.01696 0.01643

0.01013 0.00707

0.01339

0.01505

Year

2

Pool7

0.01401 0.01903 0.01986 0.02695

0.01 0.02006 0.01857 0.01389

0.01424 0.01313

0.01314

0.01866

Year

3

Pool1

0.03711

0.01802 0.03036 0.02898 0.0202 0.02948 0.02754 0.01963

0.01518 0.01619

0.01734

0.02473

Year

3

Pool2

0.0127 0.02034 0.02274 0.02138 0.0252 0.01744 0.01836 0.03553

0.02195 0.03051

0.03939

0.03051

Year

3

Pool3

0.01305 0.01756 0.02261 0.01042 0.0156 0.00342 0.00879

0.0035

0.01273 0.01252

0.01587

0.01626

Year

3

Pool4

0.01116 0.01131 0.01803 0.01432 0.0141

0.0084 0.01189 0.01005

0.0116 0.00921

0.01215

0.00788

Year

3

Pool5

0.01379 0.00821

0.016 0.01504 0.0113 0.00908 0.01121 0.00633

0.00781 0.00957

0.0111

0.00848

Year

3

Pool7

0.00956 0.00548 0.01294 0.00929 0.0085 0.01181 0.01017 0.00885

0.0054 0.00495

0.00778

0.00552

Appendix 5: ANOVA (One Way) for Seasoning

Anova: Single Factor

SUMMARY

Groups

Count

Sum

Average

Variance

Column 1

2 0.023512 0.011756 5.59E-06

Column 2

2 0.023512 0.011756

5.59E-06

Column 3

2 0.031832 0.015916 5.8E-06

Column 4

2 0.019122 0.009561 5.94E-06

Column 5

2 0.023985 0.011992 3.47E-05

Column 6

2 0.022666 0.011333 3.22E-06

Column 7

2 0.020333 0.010167 2.47E-06

Column 8

2 0.017175 0.008588 2.43E-06

Column 9

3 0.031508 0.010503

1.56E-05

Column 10

3 0.040681

0.01356

2.97E-06

Column 11

4 0.075696 0.018924 0.000159

Column 12

4 0.048407 0.012102

5.35E-06

Column 13

4 0.057105 0.014276

2.16E-06

Column 14

4 0.055127 0.013782

2.74E-06

Column 15

4 0.061893 0.015473

3.35E-05

Column 16

4 0.054978 0.013744

3.39E-05

Column 17

4 0.070691 0.017673

8.71E-05

Column 18

4 0.09601 0.024003 3.13E-05

Column 19

4 0.10668 0.02667 0.000108

Column 20

4 0.120849 0.030212 0.000319

Column 21

4 0.096 0.024 0.00025

Column 22

4 0.101147 0.025287 0.000445

Column 23

5 0.169713 0.033943 0.00015

Column 24

5 0.223918 0.044784 0.000417

Column 25

5 0.213951 0.04279 0.000297

Column 26

5 0.12835 0.02567 0.000249

Column 27

5 0.224579 0.044916 0.000841

Column 28

5 0.167706 0.033541 0.000338

Column 29

5

0.17158 0.034316 0.000321

Column 30

5 0.153237 0.030647 0.000242

Column 31

5 0.183253 0.036651 0.000584

Column 32

6 0.3461 0.057683 0.003514

Column 33

6 0.251241 0.041874 0.001126

Column 34

6 0.191989 0.031998 0.000842

Column 35

7 0.146458 0.020923 0.000177

Column 36

7 0.4772 0.068171 0.007112

Column 37

7 0.21369 0.030527 0.001477

Column 38

7 0.211644 0.030235 0.000997

Column 39

7 0.138039 0.01972 0.000226

Column 40

8 0.175868 0.021983 0.000266

Column 41

8 0.145935 0.018242 0.000262

Column 42

8 0.151092 0.018886 0.000259

Column 43

9 0.190138 0.021126 0.0003

Column 44

10

0.197653 0.019765 0.000313

Column 45

10

0.173228 0.017323 0.000193

Column 46

10

0.208792 0.020879

8.92E-05

Column 47

10

0.171333 0.017133

8.1E-05

Column 48

10

0.175601

0.01756

7.76E-05

Column 49

10

0.177558 0.017756 0.000148

Column 50

10

0.16282 0.016282

3.59E-05

Column 51

10

0.19664 0.019664 0.000151

Column 52

10

0.140588 0.014059

5.28E-05

Column 53

10

0.139464 0.013946

5.7E-05

Column 55

10

0.152774 0.015277 0.172304 0.013254 0.161148 0.012396 0.203821 0.015679 0.165911 0.012762 0.161646 0.012434 0.149594 0.011507 0.149512 0.011501 0.149086 0.011468 0.167202 0.012862

3.47E-05

Column 56

13

5.42E-05

Column 57

13

2.7E-05

Column 58

13

4.11E-05

Column 59

13

4.1E-05

Column 60

13

2.76E-05

Column 61

13

4.6E-05

Column 62

13

3.81E-05

Column 63

13

8.93E-05

Column 64

13

2.64E-05

Column 65

13

0.14298

0.010998

4.62E-05

Column 66

13

0.153986 0.011845

8.39E-05

Column 67

13

0.187133 0.014395

0.00016

ANOVA

Source of Variation

SS

df

MS

F

P-value

F crit

Between Groups

0.05772

66

0.000875 2.680477

1.61E-09

1.33679

Within Groups

0.133768

410 0.000326

 

Total

0.191488

476