MarketShield™ is an integral part of MIAC’s mortgage industry leading secondary marketing risk management software solution. MarketShield provides FAS 157 – Level 1 best execution price discovery for interest rate lock commitments and closed pipeline loans and their allocated hedges. MarketShield seamlessly integrates the SEC SAB 109 compliant WinOAS MSR (Mortgage Servicing Rights) values in the loan pricing procedures. MarketShield offers extremely comprehensive best execution analysis, the most accurate measurement of the price sensitivity of pipeline loans, OAS (Option-Adjusted Spread) risk measurements, fully configured Agency delivery tools, and mortgage industry leading profitability loan attribution analysis. MarketShield is licensed to some of the largest players in the mortgage industry and is used internally by MIAC to support MIAC’s own Secondary Solutions Group Pipeline Hedge Advisory business. MarketShield is fully compliant with SFAS 157 and SEC SAB 109.
Models
and Analytics
Multi-factor
Fallout and Option-based Models
OAS (Option Adjusted Spread) Pricing, Duration and Convexity
Prepayment Modeling (including user-defined and third-party support)
Pipeline OMSR and SRP Sensitivity and Duration Weighting
Multiple Interest Rate Models and Inputs
Hedge Templates and Valuation (including mortgages: TBA’s, cash and options;
treasuries: cash and exchange; swaps, swaptions, floors, caps, others)
Best
Execution, Gain/Loss Reporting and Accounting
Best
Execution Pricing including Expanded AOT/Cash Capabilities
Daily Loan Level Mark-to-Market and Expected Gain/Loss
Hedge Valuation
Hedge Position (including product type, trader or legal entity) Subtotals
Counterparty P&L Summaries
Data
Management and Reporting
Price,
Yield and Statistic Loads from Bloomberg and Telerate
(Bridge)
File Extract or Data Mapping to ODBC Compliant Databases
Data and Price Audits and Reporting
User-Defined Reporting
Best Execution, Price & Pullthrough Loan Level Debugger
Reconciliation Reporting (including position and gain/loss changes from previous
day)
Hedge
Execution Tools
Position
Reporting (including product, coupon, delivery month
subtotals and detail)
Proxy Instrument Definition (ability to derive ITM without buy price)
Duration Ratio Weighted Loans and Hedges
Intraday Position Analytics
Intuitive Hedge Activity Input and Maintenance
FAS
133 Reporting and MSR Analytics
FAS
133 Accounting, Bucketing and Hedge Effectiveness
Testing
Consolidated MSR & Pipeline Risk Profiles
Base and Excess MSR Sensitivity |
