MarketShield™: Mortgage Pipeline Risk Management System.

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 (MSR Valuation) MarketShield offers extremely comprehensive best execution analysis, the most accurate measurement of the price sensitivity of pipeline loans, OAS (Option-Adjusted Spread) risk measurements, and mortgage industry leading profitability loan attribution analysis. MarketShield is fully compliant with SFAS 157 and SEC SAB 109. MarketShield is within full compliance with SFAS 140, SFAS 157, SFAS 159 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
• Full Month-End Accounting Support

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)

Execution Tools

• Whole Loan Trading and Pool Allocation Support
  
• 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

MSR Analytics

• Consolidated MSR & Pipeline Risk Profiles
• Base and Excess MSR Sensitivity