Trade Ideas, Market News & Research / The 2024 S-Curve is approaching historically fastest levels. If rates rally, expect a rapid increase in prepayments.
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The 2024 S-Curve is approaching historically fastest levels. If rates rally, expect a rapid increase in prepayments.

November 20, 2024


The conventional 2024 S-Curve is much faster than in 2023 and is approaching the fast speeds we observed in 2021 (see Fig. 1). It has steepened each quarter in 2024 (see Fig. 2). This diverges from the usual relationship observed between 2019 and 2023, where the S-Curve flattened during PMMS sell-offs (see Table 1). This quantitative data analysis aligns with the MBS market's prepayment expectations and highlights the limitations of current prepayment models in accurately predicting prepayments (see Fig. 3).



Source: IVolLive
(Source: IVolatility MBS Data Insights)


Source: IVolLive
(Source: IVolatility MBS Data Insights)


Source: IVolLive
(Source: IVolatility MBS Data Insights)

Fig 3. Inside Mortgage Finance Publications. Nov-22, 2024

Source: IVolLive
(Source: IVolatility MBS Data Insights)


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