mbs-analytics

Generate scenario/assumption-dependent cash flows and calculate price, yield, WAL, and other risk measures on MBS.

Technology:

Code is developed using standard C++ and STL libraries. The front-end CLI is developed in C# on .NET Core 2.2. All code should be largely cross-platform, but non-Windows and non-Linux environments have not been tested.

Quick Start:

• Clone and/or fork the repository, cd to the project root
• make to build the C++ library
• cd ./src/frontend
• dotnet run

Features:

The cash flow engine is designed to support most of the common loan structural features and scenario specification parameters typically used in mortgage credit/prepayment analysis. While the API is extensible and allows customization of virtually any type of mortgage and/or deal structure, the ultimate constraint is data availability, as only a few asset classes have publicly available issuance and ongoing data that can underlie an accurate cash flow projection. This engine is of limited use to any potential market participant without the corresponding ETL layer that can acquire transaction information and loan-level input data. Of note, the agency RMBS/CMBS sectors (FHLMC, FNMA, GNMA) do have publicly available data sets on the web that can be used in this application. To date, these asset classes have been targeted for first-class integration:

• Freddie Mac "STACR" Credit-Risk Transfer (CRT)
• Fannie Mae "CAS" Credit-Risk Transfer (CRT)
• Fannie Mae DUS Multifamily Pools

To-Do List:

This is a work-in-progress, and many things have yet to be implemented. Basic amortization functionality has been implemented, but major work remaining includes a proper interface for parameterizing scenarios and loans, and full support of all market-standard cash flow functionality. Additionally, interfacing with freely available data portals (such as GSE web sites) is planned for the future.

• Create C# wrapper for DLL library + marshal a struct type storing cashflows returned from C++ layer
• Add regression test for cash flow generation
• Calculate periodic + cumulative VPRs/CDRs during projection
• Delinquency and advancing - confirm correct calculations and check behavior w/r/t lags
• Distribute all recoveryPrincipal and realize all losses at maturity depending on extendLagsPastMaturity
• Yield curve (CMT tenors + spot/par rates) for YM calculations
  • Basic yield maintenance calculations for FNMA YM type
  • Basic yield maintenance calculations for standard CMBS present value method
• Acquire factor data and loan terms directly from GSE web sites
• Use real first payment and maturity dates and derive loan age instead of an input
• Proper payment date calculation logic
• CSV output options
• Other prepayment speeds (SMM, CPJ, CPB, CPY, CPP)
• Other default speeds (MDR, PLD)
• Separate term and balloon default assumptions (speed, lag, and severity)
• Support forward rates, resets and recasts, and other features of ARM loans
• Support true user inputs and scenario specification
• Proper WAL calc which supports each accrual basis, settlement dates
• Calculation of all risk measures, including price-to-yield and back and duration