About CPR & CDR Alpha LLC.

CPR & CDR Alpha LLC. is a silicon valley based TechFin company specializing in the big Artificial Intelligence (AI) data engine driven prepayment analytics for the agency Mortgage-Backed Securities (MBS) market and investors. CPR&CDR Alpha manages the complete spectrum of agency MBS investments which comprise of 1.3+ million constituents securities, Pass-Through (PT) and Structured Derivative Products (SDP), for sellers, buyers, and market participants within the $6T primary and secondary capital markets. We use our patented UBiquitous linear sorted order indeXing engine(UBX™) matrix computing AI data engine to deconvolute a 1037 sparse matrix of combinatorial permutations, consisting of non-linear collateral characteristic interactions derived from 150 million constituents of agency loans, which were originated, securitized and serviced dating as far back as 1984 (the largest data set available in the market). We are using our daily real-time updated agency prepayment scores to power our patented TBA INDEX RETURN and SPECIFIED POOL INDEX RETURN . Furthermore, our Structured Cashflow Waterfall (SCW) engine and vectors are used to calculate SDP pool-level or tranche-level pricing analytics for post-trading and deep-learning adaptive feedback analysis.

The customer can also use UBX™ open standard programming interface for linking customer supplied complied libraries as plugins within this highly-secured validation testing and tuning environment. With these plugins, customer can define and compute their own variables, formula, and prepayment models over their user-friendly slicing-dicing cohorts. This is especially useful for model validation and portfolio evaluation, when combined with UBX™ Static Population Analytics (SPA™) function. For each given iterative custom-tuned prepayment vector, we further run Monte Carlo 3,000 path simulations across macroeconomic volatilities, our HJM interest rate model and daily calibrated forward curves to calculate group tranche cashflow and price interest rate sensitive derivatives.  Our MBS trading Exchange provides 3rd party objective Bid-Ask pricing to achieve transparency, liquidity, maximum risk-adjusted absolute returns.

In summary, We must learn how to collect, analyze and deconvolute massive datasets from social media channels, learn from the insights to transform one-on-one personalization experiences, real-time value at risk creation opportunities of digital engagement, and expand personalized wealth creation offerings in response to an ever-growing customer real-time expectations

Some Cool Facts

5,000

CPU + FPGA in AI Cloud

1,000

Terabytes of Mortgage Data

500,000

LOC in UBX™ AI Engine

U.S. Patent Applications

UBX™ Virtual Pocket Sorting & Indexing

The present invention sorts very large volumes of data records by forming successive lists of sorted record start address by character rank from a LSD ...

QED Options Pricing Model

Option trading makes up a large part of the opportunities to make money. Determining the future market value of these securities and options in an efficient manner is important ...

Unified Differential Economics

Capital markets and global economic behavior have long been studied as disjoint sets of events. In particular, within the broad fields of securities pricing ...

Available TBA-Only MBS Supply (TBA INDEX RETURN)

In the financial world, home loans are usually organized, optimized by groups and structured into mortgage backed securities (MBS) ....

UBiquitous IndeX (UBX™)

Typical data analysis involves ad hoc query, summation, sorting, and linear table scan. The organization of data and metadata greatly affects the performance and ease of use ...

Deconvolution Risk Scores

In the financial world, home loans are usually organized, optimized by groups and structured into mortgage backed securities (MBS). These MBS are bought and sold on the bond market ...

Unified Specified Pool Index Return and Price Algorithms

In the US financial markets residential loans are typically organized by borrower rate, rate type, and loan term for the purpose of securitization into mortgage backed securities (MBS) ...

Risk-Adjustd Yield (RAY) MBS Pricing

Traditional pricing of Mortgage Backed Securities utilizes collateral level data as well as prepayment and default projections to derive cash flows ...

Unified TBA Index Return and Price Algorithms

Home mortgages are usually organized, optimized by groups and structured into mortgage backed securities (MBS). These MBS are bought and sold on the bond market ....

Machine Learning Algorithm for Personal Portfolio Wealth Creation

In the 7x24 global trading market environment, it is critical for an investor to have access to the BIG DATA about the past, present and future cash flow value added or risk-adjusted prices ...

CMO Cashflow Rule-Base Library Builder

A CMO (Collateralized Mortgage Obligation) is a type of mortgage backed securities that consists of multiple collateral groups, the cashflow from which are allocated to a set of tranches based on certain payment rules ...

UBiquitous linear sorted order indeXing engine (UBX™)

In the time of big data there is a need to find and access the data rapidly. When performing ad hoc queries, many existing analytical tools use a combination of indexing of some frequently used fields and linear table scan on non-indexed fields ...