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MORTGAGE RISK MANAGEMENT SOFTWARE

Milliman Mortgage Secondary Markets Solution (MS2)

Advanced hedging software for mortgage capital markets teams facilitating enhanced risk management and attribution analysis.

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THE CHALLENGE

Articulate the value of hedging

Financial risk is complex, and without clear attribution, it is difficult to demonstrate the success of secondary markets. Market volatility and limited reporting capabilities make it even more challenging to communicate the value and performance of hedging strategies effectively.

THE SOLUTION

Transparent attribution calibrated to the market

MS2 is built to think like the market, not follow it. Calibrated daily and grounded in first principles, it calculates prices independently and reveals how and why portfolio and hedge positions shift from day to day. MS2 delivers daily, risk-neutral attribution analysis that decomposes profit and loss into market movements, changes in pull-through rates, and hedge execution. Unlike lookup-based systems, it uses full stochastic modeling aligned with observable market data to uncover insights that simpler tools cannot match. This rigor supports more effective hedge strategies and gives managers the clarity and confidence to explain results.

BENEFITS

Benefits of MS2

Communicate hedge effectiveness

Use daily attribution reports to clarify the proper drivers of P&L and present results clearly to senior management.

Automatically calibrated to markets

Stochastic simulations are calibrated daily with risk-neutral market inputs for more accurate valuations when compared to static grid tools.

Capture convexity risk

Move beyond duration hedging to optimize protection across mortgage asset types. MS2 supports various futures and derivative contracts to improve hedge effectiveness.

Leverage cloud delivery

Access advanced modeling and reporting without on-premise infrastructure or IT overhead.

FEATURES

Features of MS2

Hedge pipeline and MSRs

Support for servicing rights for conventional mortgages, government-sponsored-enterprise loans, and non-qualifed mortgages—within a single platform.

Recalibrate models daily

Interest rate and pricing models are updated daily to reflect implied volatility surfaces, market expectations for prepayment speeds, and future interest rate paths.

Analyze attribution in detail

Break down period-to-period changes in P&L into market, pull-through, and hedge execution effects.

Generate integrated reports

Produce dynamic, detailed attribution outputs to guide strategy refinement and executive communication.

Main dashboard overview

Dynamic Reporting

Dynamic Reporting

 

Dynamic Reporting screen view

Create custom views and reconcile data across systems.

We’re here to help

Ask the tough questions. We’re ready for them.