Prepay Commentary

March MBS Prepayment Speeds

Fundamental factors overcame February’s short day count as MBS prepayments increased in February save the most premium coupons. Even with last month’s overall slowdown, most vintages are at or above their historical 3mo CPR.

Notables and Thoughts


Based on the Freddie Mac Primary Mortgage Market Survey, 30 and 15 year fixed-rate mortgage rates are down 10 and 16bps, respectively, from the beginning of 2019. Along with seasonal factors, this could point towards quicker speeds next month as well.


 (WSJ) Hot ETF Play of 2019 Is Betting on Home Loans

“An iShares exchange-traded fund that invests in mortgage-backed securities has raised $3.1 billion since the start of 2019, making it the third-most popular ETF so far this year, according to FactSet. Reasons for the surge in popularity: stock market mayhem and the Federal Reserve.”

FNMA Speeds by Vintage Year

FGLMC Speeds by Vintage Year

GNMA Speeds by Vintage Year

Non-Generic Collateral Comparison Tables

Kevin A. Smith, CFA

SVP, Director Investment Product Strategies

Vining Sparks

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