Agency MBS – Relative Value Using the BAM Model
In this session, Bloomberg mortgage specialists will explore tools to analyze relative value in the Agency MBS market.
Selected workflow topics include:
Selected workflow topics include:
- Bloomberg Agency Prepayment Model (BAM)
- Option-adjusted and single path spreads and duration
- Full demonstration of the new Mortgage Relative Valuation screen, MTRV
- Excel functionality for analyzing a list of securities
- Tickerized cohorts for specified pools and generic collateral
- Core Mortgage Premium API (CMP)
Speakers
Robert Pratt
Mortgage Market Specialist
BLOOMBERG/ 731 LEX
Rob Pratt has been a Mortgages market specialist at Bloomberg since May 2000, covering all sectors within securitized products. From 1987-2000, he worked in treasury sales and trading at Schroders.
Paul Sorbo
Mortgage Market Specialist
BLOOMBERG/ 731 LEX
Paul Sorbo has been a Mortgages market specialist at Bloomberg since January 2021. Previously, he held roles in Bloomberg core sales and analytics, where he also focused on securitized products.