Mortgage Strategy Brief

Walt Schmidt, and Alexis Vilimas

Prepayments in the Time of Coronavirus

The Fed has purchased approximately $290bn of agency MBS since it announced the program just two weeks ago. The scale of the Fed purchases is potentially unlimited and unprecedented in its magnitude over such a short period of time. This missive addresses a question we have been asked frequently since the original March 15th announcement: how will prepayments likely perform during this period of crisis and Fed response?

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