It seems that revisions on several Street prepayment models, as well as the prior week's Freddie Mac report, adequately prepared the MBS market for the Fannie Mae and Ginnie Mae prepayment reports it received last week.
In the end, speeds on 2000 vintage premiums were slightly lower than Street estimates, while Ginnie Maes were slightly higher. Prepayment rates for Fannie Mae mortgage-backed securities increased across the board in the latest report, surpassing the recently reported speeds of comparable Freddie Mac MBS by 1-5 CPR, according to the Bear Stearns Prepayment Commentary.
The biggest jumps in constant prepayment rates among 30-year MBS were in the 2000 vintage 7.5% coupon (from 23.1 CPR to 38.8 CPR) and the 2000 vintage 8.0% coupon (from 33.2 CPR to 50.4 CPR). Differences in weighted average coupon between vintages "continue to play a large role" in speeds, with higher-WAC 2000 vintage paper paying "significantly faster than 1999 production, even after adjusting for seasoning," said Bear Stearns analysts Dale Westhoff and Bruce Kramer.
Among Ginnie Mae 30-year MBS, the 2000 production recorded "uniformly slower" speeds than conventionals through the 8.0% coupon, they said, adding that servicer buyouts of delinquent loans "continue to have an impact" in the premium sector. "Although speeds were fast in this report, they were still well below the doomsday 60+ CPR scenario predicted by many market participants," the analysts noted.
The Street is mixed with some anticipating further gains over the next two months based in part on last week's MBS Refi Index, which jumped almost 19% from the prior week and is over the 2500 level. Others expect unseasoned vintages have mostly peaked with seasoned originations predicted to see stronger gains in the next report.
Furthermore, last week's Freddie Mac's weekly mortgage rate survey report proved worthy of a headline notice, with rates dipping below 7% for the third time this year. The real' refi wave is yet at hand, according to some dealers, and may be just around the corner.
Also last week, traders mentioned that the Carolina banks were busy in mortgage land, as Banc of America and First Union have been massive buyers of conventional 6.5s these last few sessions They have definitely been buyers in size - about a few billion in volume, the sources noted.