BondEdge Fixed Rate Mortgage Prepayment Model Update

Kamel Bazizi, Ph.D.

In the early 1990s, Treasury securities were the largest component of the US bond market when the US government was running large deficits. At the end of the 1990s, however, the US government began running large surpluses and consequently retiring Treasury debt. As a result, mortgages took over the lead position in the US bond market. The mortgage-backed securities sector now constitutes the largest component of the US bond market. As of the end of the first quarter of 2001, there was over $5 trillion of outstanding mortgage debt in the US, with over $2 trillion securitized in the form of MBS. In keeping pace with this tremendous growth of the US mortgage market, BondEdge continues to expand our mortgage-backed securities coverage and enhance our mortgage models.