  We consider the problem of identifying current coupons for Agency backed
To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor
based model which allows for prepayment intensities to depend upon current and
origination mortgage rates, as well as underlying investment factors, we
identify the current coupon with solutions to a degenerate elliptic, non-linear
fixed point problem. Using Schaefer's theorem we prove existence of current
coupons. We also provide an explicit approximation to the fixed point, valid
for compact perturbations off a baseline factor-based intensity model.
Numerical examples are provided which show the approximation performs
remarkably well in estimating the current coupon.
