CASE STUDY
Mortgage-backed Securities (MBS) Pricing and Analytics platform
Mactores modernized Cello’s analytics platform to resolve the expanding challenges of assessing the creditworthiness of MBS (mortgage back securities) bonds, risk assessment, and pricing analysis.
About
The Customer
Cello Analytics provides deep insights into the Mortgage Back Securities (MBS) market.
Since 2010, Cello’s MBS strategy has provided clients access to prepayment alpha in the $6 trillion Agency MBS market, focusing on Collateralized Mortgage Obligations (“CMO”). Cello’s Agency MBS strategy focuses on monetizing mispriced prepayment risk. Prepayment risk has an inherently low correlation to other major asset classes, and Cello’s disciplined approach to managing prepayment beta through interest rate cycles has reduced this further. The Fund’s correlation with the S&P since inception has been negligible. Cello actively seeks to reduce the interest rate and convexity risk through hedging with interest rate futures, options, or other Agency MBS.
“Mactores was able to deliver what Cello needed for our analytics platform. They could work with our teams whenever issues arose to resolve the challenges.”
Customer Situation
Cello Capital Management needed to modernize its analytics platform with a data lake to address the challenges of assessing the creditworthiness of a mortgage back securities bond (MBS), access risk, and evaluate the price. Collateralized debt obligations are a very complex process of evaluating the risk of a bond and providing detailed predictions for the performance of that bond in the MBS market.
Cello wanted to build a data lake to support their analytics platform to ingest terabytes of data each day from eMBS transactions to calculate pre-payments of the loans in each pool of tranches.
Thus they approached Mactores to strategize, design, and build an analytics environment to support their trade analysts and strategists.
Getting
Started
Without a defined problem statement, the Mactores data engineering team conducted an ideation workshop to find possible solutions to their industry-specific challenges.
During the workshop, the problem statement became articulated so clearly, that Cello agreed to move directly to a POC (proof of concept). Mactores collaborated with Cello to define the scope and deliverables and performed the project within five weeks.
The results of the POC provided the evidence needed to convince the executive leaders to move forward with a production solution delivered within three months.
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