BAM: Bloomberg Agency Prepayment Model Update, V1.43 – APAC
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
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
Pablo Castro
Product Manager, Structured Finance
Bloomberg L.P.
Joji Hiratsuka
Sellside Risk, Asia-Pacific
Bloomberg L.P.
Joji Hiratsuka joined Bloomberg after 20+ years as a derivatives trader with various institutions covering IR derivatives, options and FX product. He joined Bloomberg as a Fixed Income Derivatives specialist and his current role is the sales and development of the Risk Product (Multi Asset Risk System-MARS) and derivatives data.