Economic Factors & Fundamental Drivers
- Fed and ECB tightened 25 bps in September.
- Treasury issuance remained heavy.
- Inflation remained above target, with continued energy pressure.
- Real yields moved higher.
- The Treasury curve experienced a bear flattener midmonth, followed by a bear steepener late in the month.
MSR Market Performance & Risk
Strongest market-driven MSR performance since October 2024
- Current coupon MSRs experienced the greatest impact.
- Nonparallel attribution for the 10-year versus 2-year curve remained unchanged.
- Yields beyond 10 years increased less, with discounting effects outweighing longer cash flows for nonperforming MSRs.
- Volatility and convexity selling contributed to wider mortgage basis spreads.
Source: MIAC Analytics, Refinitiv
Inside the MSR Performance & Risk Effectiveness Tracker
The monthly Tracker brings together rate and spread movements, effective total durations across Treasury, mortgage basis and volatility factors, and MSR risk metrics comparing ex ante and ex post performance attribution.
Understanding the Tracker
Effective Total Duration Heat Mapping
Effective duration extension (more negative) and contraction (less negative) are highlighted in gold and blue for month-over-month change thresholds of 0.35 and 1.0. Stronger color tones indicate larger changes. January 2026 movement reflects CORE™ model recalibrations.
Model & OAS Changes
MIAC updates its Borrower Behavior Model (CORE™) calibrations and specifications as needed based on evolving borrower behavior and market conditions. The impact of OAS spread assumption changes and year-end benchmark constituent changes is also accounted for.
Cross Correlations and Second Order Factors
MIAC’s VAST™ hedging and performance attribution models incorporate the interplay between risk factors and additional lesser factors.
September 2026
Request the Full MSR Tracker
Contact MIAC for the complete September 2026 MSR Performance & Risk Effectiveness Tracker.
K. Daniel Libby, CFA
Director, Hedging and Funding Services
MIAC Analytics
This information shall not constitute a solicitation or an offer to buy or sell any security or service, or an endorsement of any particular investment strategy. Nothing in this material constitutes investment, legal, tax, or other advice nor is it to be relied upon in isolation in making investment decisions.