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Home » Store » Taxable » GSE MBS Disclosures Help Wall Street Fine-Tune Agency Prepayment Modeling

GSE MBS Disclosures Help Wall Street Fine-Tune Agency Prepayment Modeling

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The new disclosures on agency mortgage-backed securities unveiled by the secondary market companies last summer have taken some of the guesswork out of prepayment modeling and affected the way Wall Street has been developing prepayment models. “They help explain prepayment patterns in terms of observed variables,” said Lakhbir Hayre, managing director of fixed-income quantitative research at Citigroup. “They also help in making a prepayment model
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