BAM Prepayment Model Quarterly Update Call
- Recent prepayments across FNMA, FHLMC, and GNMA Collateral
- The latest trends in housing and updated home price projections
- Updates to the GSE property valuation framework
- Driving factors behind discount prepayments
- Recent BAM model performance
Speakers
Nicholas Strand
Head, Agency MBS Quantitative 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.
Wei-Ang Lee
Agency MBS Quantitative Research
Bloomberg
Wei-Ang is a member of Bloomberg’s Quantitative Agency MBS Research team. He joined Bloomberg in 2023. Prior to joining Bloomberg, Wei-Ang was a member of the investment team at Proprietary Capital. During his time on the buy side, Wei-Ang traded agency MBS with a focus on interest-only securities. Prior to joining Proprietary Capital, Wei-Ang was a mortgage strategist at Barclays Capital. He was recognized by Institutional Investor as a top ranked analyst for agency MBS prepayments. Wei-Ang has a B.S. degree from Columbia University and an MBA from NYU Stern School of Business.
Will Sarrett
Agency MBS Quantitative Research
Bloomberg
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.
Steve Bergantino
Structured Product Quantitative Research
Bloomberg
Steve leads Bloomberg’s Structured Products Quantitative Research team, which provides model coverage for the agency MBS and CMBS, residential mortgage credit, auto ABS, and Japanese agency MBS sectors. He has worked in quantitative mortgage research since 1998, joining Bloomberg in 2016 as part of its acquisition of Barclays Risk Analytics and Index Solutions business. Prior to joining Bloomberg, Steve was Head of US Securitized Products Modeling at Barclays Capital, Inc. Prior to that, Steve worked at JPMorgan Chase & Co. (2008-2009), Bear Stearns & Co. (2004-2008), and Lehman Brothers, Inc. (1998-2004). He has been ranked in Institutional Investor’s All-America Fixed Income Survey for his work in agency and non-agency prepayments (2003-2005, 2007). Steve received B.A. and M.A degrees in Economics from Yale University and a Ph.D. in Economics from the Massachusetts Institute of Technology.
Yufeng Tang
Bloomberg Quantitative Agency MBS Research
Bloomberg
Yufeng 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, Yufeng was a member of Barclays US Securitized Products Modeling team, focusing on the development and implementation of Non-agency RMBS credit models and Home Price Appreciation model since joining Barclays in 2010. Yufeng received a B.S. in Electrical and Computer Engineering from Fudan University, and M.S. in Statistics from Rutgers University.