RT Journal Article SR Electronic T1 Anatomy of Prepayments JF The Journal of Fixed Income FD Institutional Investor Journals SP 19 OP 49 DO 10.3905/jfi.2000.319236 VO 10 IS 1 A1 Lakhbir S. Hayre A1 Sharad Chaudhary A1 Robert A. Young YR 2000 UL https://pm-research.com/content/10/1/19.abstract AB Prepayment models have come to be widely used in the mortgage market. Effective models are based on fundamental relationships that are likely to persist over time, but allow time-varying values of key inputs in order to capture environmental changes over time. The authors explain the major causes of prepayments, and describe how the modeling framework deals with them through turnover, refinancing, default, and curtailment sub-models. They applied the model to five applications covering a range of borrower demographics and mortgage terms, including home equity loans, hybrid ARMs, and prepayment penalty mortgages. A “user's guide” cautions readers about the conditional nature of projections and prepayment model error.