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Technical Note - Updates to the BarraOne Fixed-Rate Agency MBS Prepayment Model - November 2013

categories: Americas, Risk Management Analytics, Risk Management, RMA, BarraOne, Fixed Income, BarraOne, Research Paper, VOROS Miklos, SUN James, general

BarraOne uses the Barra Prepayment Model for Agency Mortgage-Backed Securities. On October 26, 2013, we updated the parameters of the fixed-rate MBS model to better capture evolving prepayment speeds and analytics. In this Technical Note we compare old and new tunings and look at collateral behavior, concentrating on the resulting risk analytics for mortgage indexes, index constituents, and the TBA coupon stack.


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