Barclays Capital said late on Monday it will make changes to the model that predicts prepayment on the fixed-rate loans that back mortgage-backed securities, effective at the close of business on September 22. This means the duration, or measure of sensitivity to interest rates, for several of its widely followed bond indexes will increase sharply later this month. “Because one of the key effects of the new model will be longer durations, we have been asked how different types of investors will need to react,” Barclays’ mortgage analysts wrote in a note on Tuesday.
Barclays to make mortgage bond model changes
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