Performance Report: GeoEnriched Agency MBS, Jan 2022

We released the latest GeoEnriched Agency MBS Performance Report today, which offers a monthly overview of the overall market as well as analyzes dv01 Stories.

Some quick updates:

• Mortgages with coupons below 3.5% had the most significant declines, with 1-month CPR declining roughly 23% MoM.
• The large shift into rate-and-term refinances seen in 2020 and 2021 has already shown signs of reversion to the mean and will likely continue as rates rise.
• Despite the clustering of prepayment speeds, dv01 Stories continue to prepay slower than TBA beginning at the 25 bps rate incentive.