MSCI has just released a report “Managing Against MBS Indexes: A Duration Perspective” that details the reasons that the MBS Index duration extended dramatically even though the 30-year mortgage rate was little changed over the period from June 2020 – June 2021. Six main factors are examined in the article to have impacts on MBS index duration.
One of the main factors, the distribution of coupon drift due to record refinance activity, was documented using Recursion data.
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