Loan-level prepayment models
Proprietary models trained on loan-level data, with each projected speed broken into its components.
Agency MBS
Prepayment analysis for agency MBS
Collateral and prepayment analysis across pass-throughs, on proprietary models trained on loan-level data.
Relative value in agency MBS
Pool screening and relative value by collateral.
Pool screening and relative value
Screen pools and compare relative value by collateral, with S-curves by agency, coupon and cohort.
Portfolio risk
Portfolio risk and scenario analysis.
Custom research
Custom research for your book.
Who it’s for: Agency MBS PMs, traders and analysts, and the risk teams that work with them.
Questions
- What goes into the prepayment model?
- Agency loan-level data, so speeds reflect borrower and loan characteristics rather than pool averages alone. Each projection is broken into its components.
- How do I compare pools?
- By collateral, agency, coupon and cohort, with S-curves for each.
- What market data is included?
- Issuance, speeds and holdings by banks, the Fed, dealers, funds and foreign investors.
- How much does it cost?
- Pricing is set with each team, with enterprise-grade data governance and white-glove onboarding. Request a demo below.