Webinar - Agency RMBS Experimental Model Release Update

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Presented by

Hui Ding, London Stock Exchange Group & Joseph Reel, Citigroup, Inc.

About this talk

On April third Yield Book released the Experimental Version (v99) of the agency prepayment model, as well as Experimental Version (v98) where all COVID-19 related adjustments are replaced by pre-COVID-19 expectations but is otherwise identical to v99. The webinar will cover the following model release updates: •COVID-19 pandemic impact •Introduction of multiple economic scenarios into the Monte Carlo simulation •Primary/secondary spread model update •Refinance response recalibration •TBA definition update •Upcoming model release schedules Please join us on May 4th at 4:00 PM ET for the live webinar with Q&A presented by: Hui Ding, Director, Senior Agency RMBS Prepayment Modeler, Yield Book Mortgage Research and Joseph Reel, Managing Director, MQA Mortgage Analysis, Citigroup, Inc.
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