CLEANMBS™
Patented, extremely fast, prepayment model and valuation library for MBS
A Patented Approach to MBS Valuation
Coverage- Agency and non-Agency pass-thrus
- Interest-only and Principal-only Strips
- Mortgage Servicing Rights
Required inputs:
- Terms and conditions of the MBS
- Interest rate environment
- Benchmark yield curve
- Volatility
- Mean reversion
- Prepayment parameters
- Mortgagor credit spread
- Turnover speeds
- Curtailment speeds
- Refinancing distribution
Output valuation and risk measures:
- MBS OAS, given MBS price
- Following valuation and risk measures, given MBS OAS
- Price
- Effective duration
- Effective convexity
- OAS duration
- OAS convexity
- PV of projected cash flows
- Fair value of refinancing option
- Average CPR
- Yield
- Modified duration
- Modified convexity
Related Research: MBS and Mortgages
