Mortgage Backed Securities

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Hi -

I'm wondering if there's a section dedicated to prepayment analysis on mortgage backed securities and if there's any automated trading around them?

Thanks,

Evan

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Welcome to QuantConnect Evan! We don't have support for mortgage-backed securities yet but we are able to support fairly complex derivatives. If you have time next week let's chat about your requirements. I'll send you a direct email to schedule.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Sure thing; we can chat briefly. Loan level mortgage data is freely available from freddie mac, fannie mae and ginnie mae but the datasets are raw and extremely unprocessed. Additional HARP based loans and multi-family data sets can also be downloaded to enhance those datasets further. If you look at the post GFC drop off circa 2008, there's a big shift of emphasis on single family homeowner ship to multi-family and rentership. There's a smaller contribution to GDP, there's an estimate from the NAHB that 1000 single family homes contribute to the creation of 2900 jobs and generates ~$110 million in taxable revenue. Multifamily homes contribute about half that, 1250 jobs and $57 million in taxes. These fundamentals don't really drive the MBS market on a day to day basis, that's going to come from federal reserve MBS purchasing policies and interest rate levels but they're interesting to look at in conjunction with loan level data. I'd like to take a closer look at building out some surival rate models on those data sets, for example the cox-proportional hazard rate model and get some initial results. But again, these datasets are difficult to manage, so I don't expect any one place to have it perfect

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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