OTC Derivatives Pricing Models

TOPS MBS

Handles GNMA, FNMA, FHLMC and Conventional mortgage-backed securities, as well as adjustable rate mortgages. In addition, Interest Only (IOs), Principal Only (POs), and swaps designed to mimic MBS securities are also valued. Prepayments may be entered as standard PSA, SMM or CPR speeds, or as prepayment functions based on interest rate movements. Calculates prices, average life, duration, convexity, and where applicable, the full range of greeks. Yield tables, sensitivity analysis, and total rate of return analysis may be easily produced.

All models satisfy requirements for ASC 815, FASB 133, FAS 157, IAS 39 and CICA 3865. Customized TOPS deal entry and deal valuation screens come with the purchase of each model. Models may be purchased separately, as an entire suite, or as a partial suite. Ask about our generous Multiple Model Discount Program.

TOPS MBS Model List:

Interest and Principal Cash Flow Generator, One Dimensional Interpolator, Two Dimensional Interpolator, Interest Only / IO, Principal Only / PO, Fixed Rate Indexed Amortizing Swap / Indexed Principal Swap, Floating Rate Indexed Amortizing Swap/ Indexed Principal Swap, Mortgage Backed Security / MBS, Ratchet IO_PO, IPS, IPSFit, MBSVal, Ratchet