Bloomberg’s suite of world class prepay and credit models power all Bloomberg Cash Structured Product analytics, including price and yield analysis, portfolio analysis, and risk and OAS calculations.
Bloomberg Prepay Agency Model (BAM)
As part of the acquisition of Barclays Risk Analytics and Index Solutions, Bloomberg acquired the Barclays prepayment model along with the team that developed and supports the model. This model was used by Barclays for the Barclays Indices (now the Bloomberg Fixed Income Indices), POINT and Barclays MBS sales and trading operations.
The Barclays prepayment model has been incorporated into the Bloomberg Terminal and rebranded as Bloomberg Agency MBS Index Prepayment Model (BAM). BAM is used to calculate analytics for the Bloomberg U.S. MBS Index.
U.S. Bloomberg Predictive Credit Models (BTM & BCM)
Bloomberg Transition Model (BTM) is a highly sophisticated credit model that can be used to forecast loan-level performance for U.S. RMBS. Bloomberg Credit Model (BCM) for US Auto ABS combines macroeconomic variables with deal-specific data to predict asset performance.
Non-U.S. Bloomberg Predictive Models
Bloomberg’s prepay and credit models are available for non-U.S. RMBS securities such as:
- Bloomberg Prepayment Model (BPM) for Japanese RMBS
- Bloomberg Credit Model (BCM) for European RMBS