EVALUATE THE REAL VALUE OF YOUR MORTGAGE SERVICING RIGHTS
MSRKinetics (MSRK) is our first new modular offering under the Kinetics umbrella. It evaluates mortgage servicing rights (MSR) and projects the impact of hedging with mortgage-backed securities (MBS) and TBAs.
MSRKinetics is equipped with other useful functions aimed at explaining the economic value of an MSR asset well beyond a single number. This includes MSR value decomposition, which quantifies the relative contribution of up to seven components of an MSR’s total value – the actual servicing fee and cost to service being just two of the components.
MSRKinetics not only quantifies rate risk factors, but also non-rate risk factors, reporting commonly ignored exposures such as model risk or housing price risk. By combining MSR assets with an MBS/TBA hedge, MSRKinetics quantifies expected returns attributable to bearing prepayment-model risk – an aspect of the servicing business that is frequently overlooked.
Finally, our proprietary and more advanced Comprehensive Capital Analysis and Review (CCAR) model allows for re-pricing MSR assets forward, along each of the required stress scenarios, but without foresight of a particular scenario’s continuation. MSRKinetics artfully restores the market conditions that would exist at each point in the future should any of the CCAR scenarios unfold.
Features and Capabilities
MSRKinetics in Action