MBS

Plutus Analytics offers a set of agency prepayment models for MBS valuation. These models provide accurate prepayment predictions for a variety of collaterals, e.g. TBA, spec, vintages, new prod, etc. under various macroeconomic conditions. Users may choose to solve for OAS given price or compute price given OAS. In addition to MBS, users can also use these models to price PO, IO or MSR.

For fixed rate mortgages, there are four models to choose from. To price UMBS with origination maturity longer than 15 years, UMBS30 should be used. For UMBS with origination maturity equal to 15 years or less, UMBS15 should be used. Similarly for Ginnie securities, GN30 is used for collaterals with origination maturity longer than 15 years while GN15 is used for collaterals with origination maturity equal to 15 years or less.

Users are provided with an option to specify their own SCurve to price MBS. Please go to Customized SCurve..

Customized functionalities can be made available upon request. Please contact us for inquiries.