<t>I searched online. It seems very rare people discuss how TBA is valued. Not sure if I could get some high level understanding on this.My current understanding is that since it is essentially a forward on MBS pool. We could use MC to value the MBS pool to the settlement date and then convert it to...

<t>Thanks!I am struggling to understand the OAS and OAD for IO. For example, given two models (1 and 2) and assume model 1 over predict prepayment than model 2. Here is my understanding. The cash flows and number of cash flows from model one will be less than model 2 when pricing. So the OAS1<OAS2 n...

Sorry. what does that mean IO is very rich?

I actually ran into same question for Structured IO. What does negative OAS really mean for Strucutred IO?

Want to establish and deepen my understanding on MBS? not sur if senior memebers could recommend me some references.

Thanks Bearish!It is used as a factor for historical simulation.

When people say TBA ITM 100bps, what does that really mean? How do I understand TBA moneyness?Thanks for your help!

<t>Sorry. Not on purpose. It is from my lacking of related knowledge. Let me try to clarify my question.Say we have perfect models on the MBS (prepayment, default, interest rate model). We could discount the cash flows to get the NPV. Say we have two time stamps t1<t2. The NPV calculated at t1 will ...

Thanks daveangel! you meant given other things the same, amortization will cause market value of MBS decrease?

There are many factors impacting makret price of MBS. overtime, will it tend to derease because of amortization considering just Agency MBS.

Thanks. But I think we have a lot of fun on this posting

That doesn't sounds related to mortgage or fixed income. Are you serious?

I did search over the internet and also wiki here. I don't see obvious answer. It must because it is just super obvious for guru here. Can anyone shed some light? thanks a lot!

Both are full time PhD level in bank.They are on the Risk Management side. Not sure what is "entroll".Is this enough information?

Got opportunity to entroll either modeling on Interest Rates or MBS. I do like both topics and have trouble to make decision. Want to have expert's advice.Thanks so much!!