MBS prepayments continue amidst continued jaw-dropping plummeting mortgage rates. While it might be academic at this point to continue the exercise of predicting the next month's Treasury purchases (as Brian Sack was kind enough to disclose they would be $30+ billion for the next few months), we have nonetheless pulled out our slide rules and crunched the numbers.
Agency MBS Principal Payments $24,872,870,000
Agency Principal Payments 477,958,000
Agency Maturing 3,188,000,000
Est. Treas. POMO mid-Oct to mid-Nov $28,538,828,000
Last month we were about $1.5 billion shy of the actual $27 billion announced, so a similar margin of error would push this month's estimate above the expected $30 billion. It would appear as though the Fed's model not only incorporates the most recent published Pool Factors (as we do), but also anticipates next month's. We'll find out for sure next Wednesday at 2:00 pm.
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