Salomon Smith Barney Inc. last week said that it is making several significant updates to its primary mortgage prepayment model, which, along with Lehman Brothers' model, is one of the two most important and widely used analytical tools employed by fixed-income investors for option-adjusted spread (OAS) research.

In addition to routine data updates, including factoring in a more pronounced drop in home turnover for the year-end, the fine-tuning of the model will include incorporation of recently released Ginnie Mae geographical information on pools, a slowdown in 15-year prepayment speeds, and a mechanism to mimic the "lender solicitation effect," which keeps speeds on high-premiums from declining as quickly as is expected with the current model.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.