Webinar

BAM: Bloomberg Agency Prepayment Model Update, V1.43

On Demand
Duration: 62 Minutes
Original Date: February 16, 2022

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The Agency MBS market is a highly sophisticated market that requires advanced models and analytics. With the recent increase in volatility and uncertainty surrounding interest rates, Federal Reserve policy and MBS markets, having a consistent & robust valuation framework for managing market and prepayment risk is increasingly important. The Bloomberg Agency MBS Index Prepayment Model (BAM) sits at the core of Bloomberg’s mortgage valuation platform. Join us for a review of recent enhancements to the BAM prepayment model along with a discussion of current issues in the agency MBS market and how they are treated in our latest model version. Discussion Topics
  • Key updates to the BAM prepayment model including:
    • Updated refinance and burnout functions
    • New appraisal waiver effects
    • Stronger FHA prepayments
    • New conventional buyout model
    • Inclusion of forbearance in involuntary prepayment forecasts
  • Updated HPA assumptions
  • Model durations and impact of model changes on risk metrics

Speakers

William Sarrett

Bloomberg Quantitative Agency MBS Research

Bloomberg L.P.

William is a member of Bloomberg’s Quantitative Agency MBS Research team. He joined Bloomberg in 2016 as part of its acquisition of Barclays Risk Analytics and Index Solutions business. Prior to joining Bloomberg, William was a member of Barclays US Securitized Products Modeling team, focusing on the development of agency MBS prepayment models. Before joining Barclays in 2009, William worked at JPMorgan Chase & Co. (2008-2009) and Bear Stearns & Co. (2004-2008). He was a member of the mortgage data team at Bear Stearns from 2004-2006 before joining the modeling team. William received a B.S.E. in Computer Science and Engineering and a B.A. in Mathematics from the University of Pennsylvania.

Nicholas Strand

Team Lead, Bloomberg Quantitative Agency MBS Research

Bloomberg

Nicholas is the team leader for Bloomberg’s Quantitative Agency MBS Research team. He joined Bloomberg in 2016 as part of its acquisition of Barclays Risk Analytics and Index Solutions business. Prior to joining Bloomberg, Nicholas was a member of Barclays US Securitized Products Modeling team, focusing on the development of agency MBS prepayment models. Before joining the modeling team in 2014, Nicholas was Head of Barclays Agency MBS Strategy. During his time in that capacity he was recognized by Institutional Investor as a top ranked mortgage analyst. Prior to joining Barclays, Nicholas worked at Lehman Brothers Inc. in Fixed Income Research. Nicholas has B.S. degrees in Mathematics and Biochemistry from the University of Arizona, and a M.S. in Financial Mathematics from New York University.

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