 Then the return of the MBS due to a steepening Treasury curve is given by

formula_39

MBS have many more risk factors than are used for vanilla bonds, and an attribution scheme needs to model them all.They include


While all these factors can be important in accounting for changes in MBS returns, in practice a particular user may only select a subset.The reason is that a perturbational analysis requires the provision of risk sensitivity numbers for each factor, and in some cases these may simply not be available.