Bloomberg Transition Model Update to V2.9/1.0
The Bloomberg Transition Model (BTM) sits at the core of Bloomberg’s RMBS credit risk valuation platform. Please join us for a review of recent enhancements to the BTM model & Core Mortgage Premium (CMP) tool along with a discussion of current issues in the Non-Agency market and how they are treated in our latest model version.
Discussion Topics:
1) Review of select BTM v2.9 model updates and impact:
- New modification models for CRT securities: Term Mods, Rate Mods, Forbearance Mods, and Balance Recap Mods
- Enhancements to BTM that better capture the effects of borrower assistance programs including: Temporary Forbearance, Trial Mods, and Repayment Plans
- New model to project COVID-19 payment deferral for loans in temporary forbearance plans
- Enhancements that better distinguish between self-cures, deferred payment plans, and loan modification
- Updated HPA/Unemployment assumptions
- Impact of model changes on risk metrics
2) Review of the CMP tool, including examples of how to use BTM v2.9 to analyze the impact of alternative economic scenarios and government programs.
Speakers
Gary Effman
Mortgage Application Specialist
Bloomberg
Gary Effman is a Structured Products and Credit Market Specialist at Bloomberg. Prior to joining Bloomberg, Gary spent 10 years at Bank One in Chicago managing a $1 billion ABS portfolio along with various other proprietary investment portfolios focused on CLOs, ABS and non-agency MBS. He also worked in the credit risk management group hedging the Bank’s financial services portfolio. He subsequently worked at two mortgage/structured products hedge funds in CT. Gary received his undergraduate degree from Brown University and earned an MBA from the University of Chicago. He also holds the CFA designation.
ARJUN RAO
Team Lead, Bloomberg Transition Models
Bloomberg L.P.
Arjun leads the Bloomberg Transition Model (BTM) team, covering the predictive modeling of Non-Agency and Credit Risk Transfer deals. He has worked in quantitative mortgage research since 2010, primarily on credit modeling and quant development. Prior to joining Bloomberg in 2017, Arjun led the Quant Development team at BlackRock Solutions, focused on building high performance and scalable models. Prior to that, Arjun worked at Motorola Inc (2006-2008). Arjun received a B.E. degree in Computer Engineering from Vanderbilt University and a Master’s degree in Operations Research & Financial Engineering from Cornell University.
Kai Wang
Senior Quantitative Analyst, Bloomberg Transition Models
Bloomberg L.P.
Kai Wang is a senior quantitative analyst in the Bloomberg Transition Model (BTM) team. He works on developing and maintaining prepayment, delinquency, and loss severity models for GSE Credit Risk Transfer (CRT) securities and Non-Agency RMBS. Kai has been with Bloomberg for 11 years. Prior to joining Bloomberg, he worked at Countywide Capital Markets and OneWest Bank for 4 years, where he developed Non-Agency credit models for proprietary trading and portfolio management. Kai holds a Ph.D. in Biostatistics from the University of North Carolina at Chapel Hill, and a B.S. in Mathematics from Temple University.