Mortgage Bankers:
Rate Shock Modeling

CompassPoint™ provides the following capabilities in modeling rate shocks:

• User-Defined Rate Shock Magnitude and Number of Steps
• TBA OAS Duration/Convexity:
  • User-Defined # of Paths
  • Mean Reversion
  • Constant or Dynamic OAS
  • Agency/Coupon OAS Reporting
• Structured and Whole Loan Cash Flow Duration, Convexity
• Observed Cash Pricing Duration, Convexity
• Dynamic Convexity Overlay
  • Note Rate Spreads
  • Agency AOT Par Rate Adjustors