NEW YORK, June 3 /PRNewswire/ -- Andrew Kalotay Associates, Inc. has been notified that the US Patent Office will grant a patent for its CLEAN(TM) MBS model.

CLEAN, for Coupled Lattice Efficiency Analysis, determines refinancing based on mortgagor credit and then discounts the resulting cash flows using the MBS issuer's credit. The approach allows for exceptional speed -- 14,000 securities per minute, or roughly 100 times faster than the competition -- without compromising accuracy.

By tracking mortgagors with a higher propensity to refinance, CLEAN automatically captures 'burnout' (refi fatigue following periods of low interest rates). In addition, its option-based approach ensures consistency with the valuation of callable agency debentures.

"A major breakthrough is that our prepayment model is truly market-implied. We calibrate to current TBA prices and mortgage rates, in contrast to the conventional backward-looking models," comments Dr. Kalotay, the firm's founder.

The methodology is described in "An Option-Theoretic Approach to MBS Valuation", which appears in the 6th edition of Frank Fabozzi's The Handbook of Mortgage-Backed Securities and is available on the Kalotay website (http://www.kalotay.com/CLEAN).

Numerous trading and risk management platforms have integrated CLEAN to take advantage of its accuracy, speed, internal consistency, and external consistency.

About Andrew Kalotay Associates

Andrew Kalotay Associates, Inc. (http://www.kalotay.com) is a leading provider of high precision, high speed fixed income analytics and debt management advisory services.

SOURCE Andrew Kalotay Associates, Inc.