MSCI has just released a report “Managing Against MBS Indexes: A Duration Perspective[1]” 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. Read More

An extremely volatile 2020, with historically high prepayment rates and price premium in mortgage-backed securities (MBS), posed unprecedented challenges to MBS investors. Read More

Historically high mortgage paydowns and price premium amid the current COVID-19 pandemic may lead to negative duration for mortgage-backed securities (MBS). Read More