MIAC - ALM/VAST™ is
an asset/liability model principally designed to evaluate
the performance of MSR, Whole Loans, Subprime Residuals,
and their hedge instruments. Hedge instruments modeled
are extensive such as CMT Floors, Swaps, Swaptions, CMT
and Libor Caps, POs, PO Swaps, CPCs, Amortizing Swaps,
UST Futures and Options, and nearly every hedge type
employed in hedging MSR and whole loan assets.
MIAC - ALM/VAST™ can
analyze the expected total return performance in instantaneous
rate shocks or over any time horizon and rate change.
MIAC - ALM/VAST™ will incorporate the anticipated cash
flows of the assets and hedges and the future value
of the assets and the hedges to create a total return
measure.
An
important part of a successful hedging strategy requires
that users also incorporate the accounting impact in
the analysis. MIAC - ALM/VAST™ allows users a simulated
view of not only the economic behavior of the balance
sheet but also the accounting behavior including simulated
impairment testing.
- Unparalleled
user control over total rate of return of the asset
and hedges. Users can specific any rate scenario
and four different methods of forward valuation.
- Multidimensional
hedge and portfolio optimization tools.
- Balance
Sheet Simulation including Impairment Testing simulation.
- Un-hedged
and Hedged portfolio of hedge instruments.
- Senior/Sub
Residual Cash Flows, Pricing, and Hedging including
forward pricing simulation.
- Tranche
or Pool Level Price Risk Measurements.
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