There were a couple of notable items in the June prepayment report. One was that conventional 4.5%s and 5%s prepaid faster than expected. This was because of a 36% jump in refinancing activity on average over the month, which was attributed to the 21 basis point decline in 30-year mortgage rates to below 5%.

For example, speeds on FHLMC Golds 4.5s and 5s were expected to increase 30% and 20%, respectively. However, these jumped 68% and 39%. FNMAs are a bit harder to interpret as a result of their delinquency buyouts in May on 5s. However, the 2009 vintage was expected to increase 17%, but surged 54% to 14.5 CPR. Meanwhile, overall 5s prepaid on average similarly to FHLMC Golds, and 4.5s were up 93% on average versus an expected over 60%.

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