Managing Agency MBS Market Volatility with Advanced Securitized Products Models and Analytics

The Agency MBS market underwent high volatilities, driven by macro-economic uncertainties, new interest rates, prepayment regimes, and potential policy changes.

This resulted in an increasing need for market-relevant models and analytics.

We made significant updates to our securitized products analytics suite to help our clients navigate this market. Our prepayment models successfully navigated the new housing and turnover regimes and provided a solid foundation for investment analysis across the agency MBS sectors. The OAS model suite managed the high mortgage rate volatilities and provided accurate market risk measures. We also released an Excel add-in which enabled portfolio managers to not only run MSCI’s broad analytics capabilities within Microsoft Excel but also access the same analytics as their middle office team, thus increasing collaboration between the front and middle office.

Watch David Zhang and Yihai Yu, who lead securitized products and agency MBS Research at MSCI, and Xin Miao, Head of Banking Consultants, as they discussed MSCI agency MBS models and analytics, with a live demonstration and information on the latest model updates.

Agenda:

• Agency MBS market and MSCI models
• Agency MBS market volatility
• MSCI model performance review
• Prepayment outlook
• MSCI 2.1 model update
• Demonstration in MSCI securitized products API
• MSCI RM API