CLEAN - Coupled Lattice Efficiency Analysis - determines refinancing based on mortgagor credit and then discounts the resulting cash flow using the MBS issuer’s credit. This approach allows for exceptional speed —14000 securities per minute, or roughly 100 times faster than conventional routines — without compromising accuracy.

By tracking mortgages with a higher propensity to refinance, CLEAN automatically captures “burnout (refinance fatigue following period of low interest rates). In addition, the approach ensures consistency with the valuation of callable agency debentures, said the company.

The CLEAN prepayment model is truly market-implied. It calibrates to current TBA (To Be Announced) prices and mortgage rates, in contrast to the conventional backward-looking models.

Leading trading and risk management platforms have integrated CLEAN to take advantage of its accuracy, speed, internal consistency and external consistency.

The methodology is described in An Option-Theoretic Approach to MBS Valuation, which appears in the 6th edition of Frank Fabozzi’s The Handbook of Mortgage-Backed Securities.

• CLEAN Overview
• Getting Started - CLEAN API Overviews (C++ C# Java)
• CLEAN Java API Details