Mortgage Solutions

Better relative value decisions

Bloomberg’s mortgage solutions provide fixed income professionals with a rich suite of applications that allow for better relative value decisions.

As a partner to both the buy side and the sell side, we have built a holistic suite of Cash Structured Products, including Agency MBS (Pools/Generics/TBA/CMO), ABS, RMBS, CMBS and CLO solutions that integrate seamlessly from front to back-office.

Complete, accurate and timely data fuels robust analytics which further leverages our predictive models.  Users can access data, cash flows and predictive models in several ways from the Bloomberg Terminal via desktop applications and through various enterprise offerings.

Predictive models

Bloomberg’s suite of world class prepay and credit models power all Bloomberg Cash Structured Product analytics, including price and yield analysis, portfolio analysis, and risk and OAS calculations.

Bloomberg Prepay Agency Model (BAM)
As part of the acquisition of Barclays Risk Analytics and Index Solutions, Bloomberg acquired the Barclays prepayment model along with the team that developed and supports the model. This model was used by Barclays for the Barclays Indices (now the Bloomberg Fixed Income Indices), POINT and Barclays MBS sales and trading operations.

The Barclays prepayment model has been incorporated into the Bloomberg Terminal and rebranded as Bloomberg Agency MBS Index Prepayment Model (BAM). BAM is used to calculate analytics for the Bloomberg U.S. MBS Index.

U.S. Bloomberg Predictive Credit Models (BTM & BCM)
Bloomberg Transition Model (BTM) is a highly sophisticated credit model that can be used to forecast loan-level performance for U.S. RMBS.  Bloomberg Credit Model (BCM) for US Auto ABS combines macroeconomic variables with deal-specific data to predict asset performance.

Non-U.S. Bloomberg Predictive Models
Bloomberg’s prepay and credit models are available for non-U.S. RMBS securities such as:

• Bloomberg Prepayment Model (BPM) for Japanese RMBS
• Bloomberg Credit Model (BCM) for European RMBS

Custom solutions: Core Mortgage Premium (CMP)

Bloomberg’s Core Mortgage Premium (CMP) solution provides everything you need to build custom data and analytical solutions using the same industry standard information relied on every day by cash structured products industry professionals worldwide.

Benefits of CMP:

• Fully automate your analysis on thousands of bonds and scenarios simultaneously
• Provides full access to the Bloomberg prepay and credit models, including model overrides
• Generate investment ideas and identify risks by mining Bloomberg’s loan level database for patterns and trends
• Customize portfolio surveillance by accessing our comprehensive databases, with thousands of historical performance and aggregate statistics

Single Security MBS

Designed to bring additional liquidity and fungibility to the To-Be-Announced (TBA) market, the Uniform Mortgage-Backed Security (UMBS) is a joint security that will be issued by the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) starting in 2019, under the direction of the Federal Housing Finance Agency’s (FHFA) Single Security Initiative.

Preparing for Single Security
In August 2018, Freddie Mac began issuing mirror securities for fixed rate pools to allow investors to prepare for related data changes before actual exchanging begins in 2019.

• March 2019, TBA trading for June settle begins
• May 2019, Exchanging Freddie Mac 45-day for 55-day mirrors begins
• June 3, 2019, Freddie Mac new issue fixed rate pools are 55-day delay
• June 2019, June settle “FNCL” TBAs are Single Security (UMBS)

Uniquely positioned to support UMBS
Bloomberg’s Agency MBS solution offers clients a singular enterprise solution to support mirror pools, generics, TBAs and electronic trading, as well as analytics and pricing valuation.

How is Bloomberg preparing our clients for UMBS?

• Electronic trading screens will prepare for UMBS TBA support.
• Pool Description screens will accommodate Mirror pools details.
• Investors that exchange pools can use Bloomberg’s analytics, OAS1, and our predictive model, BAM, to assess fair 10-day float compensation values.
• Bloomberg’s CMP solution will allow for batch analysis of float valuations which leverage OAS analysis and the BAM model with custom dials.
• Enterprise files are preparing for new data fields and values for Mirrors and UMBS TBAs.
• Bloomberg’s buy-side and sell-side Order Management Systems, AIM and TOMS, will accommodate routing trades to handle exchanged positions.
• Bloomberg Valuations (BVAL) will provide pricing for mirror pools.

Contact

For inquiries and more information, please contact mortgages@bloomberg.net.