Performance Report: Agency MBS, February 2022

dv01 has released its Agency MBS Performance Report today, offering a monthly overview of the market.

Some quick updates:

• Prepayments continue to decline, with 1-month CPR falling 11% to 12.2 and 3-month CPR dropping 14% to 14.7 (page 4).

• The pace of decline in higher coupons stalled, suggesting that borrowers are locking in rate incentives now in anticipation of future rate increases (page 6).

• dv01 showcases the top and bottom 10 states with incentive to refinance based on a percentage of total unpaid balances (page 8).

Download the latest report to stay up-to-date on the latest market trends.