BAM: Bloomberg Agency Prepayment Model Update, V1.43
- 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.