Deutsche Bank and Bloomberg Collaborate to Launch Mortgage OAS Model
NEW YORK -- October 7, 2013
Deutsche Bank announced today its collaboration with Bloomberg on a new option
adjusted spread (OAS) model. The OAS model combined with Deutsche Bank's
Prepayment Model seeks to provide market participants a standard, accurate way
to value agency mortgage backed securities (MBS) and collateralized mortgage
obligations (CMOs) in today's low interest rate environment.
Available to more than 315,000 Bloomberg Professional service subscribers, the
Bloomberg OAS model enables users to generate future interest rate paths using
methods that significantly reduce the risk of negative rates. Using advanced
mathematical techniques, it allows users to preserve a wide range of possible
outcomes while using only 256 interest rate paths, providing real-time results
“Deutsche Bank is pleased to have helped Bloomberg’s technical design and
implementation group develop this innovative model through close
collaboration,” said Steven Abrahams, Head of MBS and Securitization Research
at Deutsche Bank.
The resulting interest rate paths are input into the Deutsche Bank Prepayment
Model – already available via Bloomberg – through which analysts, portfolio
managers and traders are able to better analyze bond value and risk. Together,
the two models produce OAS valuations for agency MBS and CMO securities.
“Our new OAS model combined with Deutsche Bank's Prepayment Model provides
subscribers a robust framework to value their mortgage investments," said
Russel Parentela, Bloomberg's Head of Structured Products. "Bloomberg is
committed to working with industry participants like Deutsche Bank to provide
even more value to our clients."
Bloomberg Professional services subscribers can access the Deutsche Bank
Prepayment Model and the OAS model through several Bloomberg analytics, such
as, OAS1<GO>, YT NEW<GO>, and CFT<GO>.
About Deutsche Bank
Deutsche Bank is a leading global investment bank with a substantial private
clients franchise. Its businesses are mutually reinforcing. A leader in
Germany and Europe, the bank is continuously growing in North America, Asia
and key emerging markets. With more than 100,000 employees in 73 countries,
Deutsche Bank offers unparalleled financial services throughout the world. The
bank competes to be the leading global provider of financial solutions,
creating lasting value for its clients, shareholders, people and the
communities in which it operates. www.db.com
Bloomberg, the global business and financial information and news leader,
gives influential decision makers a critical edge by connecting them to a
dynamic network of information, people and ideas. The company’s strength –
delivering data, news and analytics through innovative technology, quickly and
accurately – is at the core of the Bloomberg Professional service, which
provides real time financial information to more than 315,000 subscribers
globally. For more information, visit www.bloomberg.com.
The Bloomberg Professional service is owned and distributed by Bloomberg
Deutsche Bank AG
Oksana Poltavets, 212-250-0072
Mike Marinello, 212-617-2383
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