Prepay Commentary

April 2022 MBS Prepayment Speeds



April factors were released last evening (reflecting activity in March), and prepayment speeds are now available. Despite the continued bond market sell off and rising mortgage rates, prepayment speeds increased for the first time in six months. This marks the sixth consecutive monthly increase in mortgage rates. Among 30-year UMBS, 3.0% and 3.5% cohorts bucked the trend with declining prepayments, albeit marginal decreases. Otherwise, lower (1.5% – 2.5%) and higher (4.0%+) coupon buckets saw increases from 7% – 19% month-over-month. 15-year UMBS cohorts printed faster prepayments across the coupon stack except for 1.0% pools, which saw a fractional slowdown, but not a meaningful change.

Data trends for GNMA pools were mixed. G2SF collateral largely followed 30-year UMBS with broad increases in prepayments, however current coupons experienced slight decreases. Prepayments on Jumbo collateral were largely slower with 2.0% pools being the one exception.


Moving Forward – 15- and 30-year Mortgage rates reach new highs since 2020

Looking ahead to next month, mortgage rates during the refi-window were once again higher than this period. Freddie Mac’s most recent reading was 4.72%, up 96 bps from 3.76% last month. The lowest ever recorded rate was 2.65% in January 2021. The most recent reading on 15-year mortgage rates is 3.56%, up 55bps from 3.01% last month.




Prepay speeds largely stop a running 5-month decline

W2D means “worst-to-deliver” – these speeds do not include collateral such as loan balance, New York, 100% Investor, etc.



Prepay Friction – 30-Year 2.5s of 2020


Prepay Friction – 15-Year 2.5s of 2020


Jumbo Comparison – 2.0s remain subdued, 2.5s slower, 3.0s slower


Primary/Secondary Spread – Leveled Off After 2020 Blowout and Subsequent Tightening


Mortgage Rates – Almost 1% higher than last month



What We’re Reading

CNBC: Mortgage Rates Continue to Rise

“Over the past three months, the rate has increased by 1.5 percentage points, the quickest three-month increase since May 1994, Freddie Mac said. The average rate on America’s most popular home loan was 3.22% at the start of this year. It hit a record low of 2.65% in January 2021 and spent more than half of that year under 3%.”


Upcoming Webinars – (1 hour CPE available, registration opens 2 weeks prior to each webinar)

4/12 Bank: Interest Rate Swaps, Not Just for Hedging (open for registration)

4/14 Credit Union: Interest Rate Swaps, Not Just for Hedging (open for registration)

5/10 Bank: Balance Sheet Management and Your Loan Portfolio

5/12 Credit Union: Loan Participation Market Overview










UMBS Speeds by Vintage Year

GNMA Speeds by Vintage Year



Kevin A. Smith, CFA

SVP, Director Investment Product Strategies

Vining Sparks

KSmith@viningsparks.com


Travis Nauert, CFA

Analyst, Investment Product Strategies

Vining Sparks

TNauert@viningsparks.com


Adam Hofer

Analyst, Investment Product Strategies

Vining Sparks

AHofer@viningsparks.com


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