Recursion Data Featured in MSCI Research Regarding MBS Duration

New research by Yihai Yu at MSCI shows that historically high mortgage paydowns and price premia related to the Covid-19 crisis creates a situation where MBS securities could exhibit negative durations.
https://www.msci.com/www/blog-posts/can-mbs-duration-turn-negative/02108224451
​
This unusual situation arises because the extremely fast prepayment speeds can exceed the price impact of lower yields. This nuanced observation relies on careful calculations of the dollar amount of paydowns derived from Recursion data.