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Recursion In News

MSCI Uses Recursion Data in Study of MBS Duration Dynamics

8/3/2021

 
MSCI
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

A New COVID-19 Regime for MBS?

2/17/2021

 
MSCI
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

​Can MBS Duration Turn Negative?

9/29/2020

 
MSCI
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

MBS prepayment in 2020: Looking back, looking ahead

1/21/2020

 
MSCI
Structural changes taking place over many years in U.S. mortgage finance, along with the massive rate rally since the end of 2018, led in part to 2019’s refinancing wave. Read More

Are you ready for uniform MBS? (Part 2)

4/26/2019

 
MSCI
Aligning prepayment speeds of Fannie Mae and Freddie Mac securities presents a major challenge to the success of uniform mortgage-backed securities (UMBS), which the two government-sponsored enterprises will launch on June 3. Read More

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