April was the highest prepayment month on record. According to JPMorgan Securities fixed-rate agency paydowns hit nearly $160 billion, a 16% increase over March. The paydowns have led to an $18 billion decline in outstanding fixed-rated collateral. In addition, JPMorgan reports that net issuance in 30-year paper was negative $27 billion - the largest one-month decline on record.

In the April prepayment reports, speeds on unseasoned and lightly seasoned Fannie Mae 6s and 6.5s generally came in faster than consensus was predicting. For example, 2002 6s prepaid at 49% CPR versus expectations of 47%, and 2001 issues prepaid at 64% CPR versus 62%. In 6.5s, 2002 vintages prepaid at 63% CPR versus 62%, and 2001 vintages at 72% CPR versus expectations of 71%. Other coupons and vintages prepaid at or lower than consensus was forecasting.

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