Overall prepayment rates for mortgage-backed securities declined 6.0% in April from a constant prepayment rateof 16.8 CPR to 15.8 CPR, according to Credit Suisse.
Writing in the "April 2008 Fixed Rate Prepayment Commentary," Credit Suisse researchers Mahesh Swaminathanand Chandrajit Bhattacharya reported that the speeds of 30-year vintage 2006 and 2007 5.5s and 6.0s fell by 15%to 20%, while those of vintage 2007 6.5s (backed by "weak borrowers") remained unchanged.
Meanwhile, the speeds of 15-year mortgage pools remained higher than those of their 30-year counterparts, theysaid.
"The speed differences persisted this month as speed declines on 2007 and 2006 vintage 15-year pools weresmaller than their 30-year counterparts, due to pristine credit on the 15-year borrowers," the analysts said.
The Credit Suisse analysts reported that the estimated net issuance of fixed-rate MBS rose from $38 billion inMarch to $48.5 billion in April, an increase of 28%. The net issuance of 30-year Fannie Mae and Freddie Mac MBSrose from $28 billion to $34 billion, they said.
***
Fitch Ratings has announced that it will now analyze resecuritizations, or Re-REMICs, backed by alternative-Aresidential mortgage-backed securities classes.
Fitch said in March that it would not analyze such resecuritizations until a review of the sector was completeddue to the "rapidly deteriorating performance" of U.S. alt-A RMBS.
Fitch said that review is still under way, but that it has conducted sufficient analysis to amend the originalapproach. The rating agency said it will analyze resecuritizations backed by alt-A classes on Rating Watch Negativeas long as the new transaction incorporates a senior/subordinate structure.
"Fitch is able to rate the resecuritization if the size of the subordinate class and the structure of theresecuritization ... means the senior class would not be affected by the Rating Watch Negative status of the underlyingclass at the closing of the resecuritization," the rating agency said.
For resecuritizations backed by alt-A classes not on Rating Watch Negative, a straight pass-through of the underlyingclasses' rating to the new structure will generally be possible, Fitch said.
However, it added the caveat that some such transactions may require a Rating Watch Negative designation "afterfurther analysis and applying updated collateral information."
The policy will also apply to resecuritizations backed by prime RMBS classes.
