US Agency Residential Mortgage-Backed Securities (RMBS): Valuation
Interactive

US Agency Residential Mortgage-Backed Securities (RMBS): Valuation

Intuition Publishing
Updated Sep 25, 2020

Valuation of residential mortgage-backed securities involves predicting future cash flows on the underlying mortgage assets. This typically requires the use of prepayment models to predict future prepayment rates and a simulation of the direction of future interest rates. Here we look at different prepayment metrics and the use of interest rate simulation models in MBS valuation.