Mortgage (ARM) Indexes
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Mortgage (ARM) Index Variability
Measuring the variability of an index around a mean value over a given period of time.
To determine how volatile is an index over time on an absolute basis (regardless of the level of rates) we calculate it's Annualized Absolute Variability by adding the absolute deviations of the previous 12 monthly values of the index from their arithmetic mean together and dividing the result by 12.
On a proportional basis, we compute the ratio, expressed as a percentage, of the Annualized Absolute Variability to the 12-month average of the index: Variability Relative to the Level of Rates.
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ARM Index Variability Table
Variability (A) - Annualized Absolute Variability
Variability (R) - Variability Relative to the Level of Rates
| Index | Current Value | As Of | 1-Year Average | Variability (A) | Variability (R) |
| 1-Year Constant Maturity Treasury | 0.29 | Jul.2010 | 0.37 {Aug.2009-Jul.2010} | 0.04 | 10.81% |
| 3-Year Constant Maturity Treasury | 0.98 | Jul.2010 | 1.40 {Aug.2009-Jul.2010} | 0.14 | 37.84% |
| 5-Year Constant Maturity Treasury | 1.76 | Jul.2010 | 2.30 {Aug.2009-Jul.2010} | 0.17 | 45.95% |
| 3-Month Treasury Bill | 0.16 | Jul.2010 | 0.12 {Aug.2009-Jul.2010} | 0.04 | 33.33% |
| 6-Month Treasury Bill | 0.21 | Jul.2010 | 0.20 {Aug.2009-Jul.2010} | 0.03 | 15.00% |
| 3-Month Secondary Market CD | 0.41 | Jul.2010 | 0.29 {Aug.2009-Jul.2010} | 0.09 | 31.03% |
| 6-Month Secondary Market CD | 0.62 | Jul.2010 | 0.42 {Aug.2009-Jul.2010} | 0.13 | 30.95% |
| 11th District COFI | 1.753 | Jul.2010 | 1.691 {Aug.2009-Jul.2010} | 0.20 | 11.83% |
| 1-month LIBOR (monthly) | 0.3361 | Jul.2010 | 0.2669 {Aug.2009-Jul.2010} | 0.04 | 14.99% |
| 3-month LIBOR (monthly) | 0.5140 | Jul.2010 | 0.3418 {Aug.2009-Jul.2010} | 0.09 | 26.33% |
| 6-month LIBOR (monthly) | 0.7224 | Jul.2010 | 0.5734 {Aug.2009-Jul.2010} | 0.13 | 22.67% |
| 1-year LIBOR (monthly) | 1.1240 | Jul.2010 | 1.0864 {Aug.2009-Jul.2010} | 0.14 | 12.89% |
| Certificate of Deposit Index (CODI) | 0.2933 | Jul.2010 | 0.5974 {Aug.2009-Jul.2010} | 0.31 | 51.89% |
| 12-Month Treasury Average (MTA) | 0.3700 | Jul.2010 | 0.4817 {Aug.2009-Jul.2010} | 0.08 | 16.61% |
| Prime Rate: Monthly Value* | 3.25 | Jul.2010 | 3.25 {Aug.2009-Jul.2010} | 0.00 | 0.00% |
| Prime Rate: Current Value | 3.25 | ||||
| Prime Rate: Date of Change** | 12/16/2008 | ||||
* Average of business days.
** The prime rate changes irregularly.
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