Thirty-year conventional prepayment speeds got 22% slower than they were
The firm’s researchers found that speeds dropped by about 7% on core Fannie Mae and Freddie Mac HARP cohorts, which it defined as 2006-2008 vintage 5s through 6.5s.
The overall drop in 30-year sector speeds was driven by 30%-35% declines in 3.5% through 4.5% coupons in line with expectations.
More surprising were faster-than-expected speeds in seasoned 5s and a “modestly larger than expected slowdown in 5.5s.”
In the 30-year Ginnie Mae sector, Ginnie I speeds dropped 18% and Ginnie II speeds were 20% slower. Lower coupons and grandfathered mortgage insurance premium cohorts were slightly faster than expected.
