CLEANMBS

Patented, extremely fast, prepayment model and valuation library for MBS

  • 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