Mortgage-backed securities prepayment speeds in January held some surprises, including what some saw as an unexpected slowdown in relatively lower coupons.
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Barclays Capital researchers said 5% and lower coupons slowed more than they projected. Credit Suisse researchers also said lower coupon speeds were slower than expected and added that they found a large slowdown in new vintage cuspy coupons particularly surprising.
Thirty-year conventional speeds overall decreased 28% from December to 20.1 CPR, according to Credit Suisse. Both Wall Street firms pegged Fannie Mae 30-year prepayment speeds at 19.5 CPR during January. Credit Suisse said Freddie Mac 30-years prepaid at 21.1 CPR.
