The Emperor's New Clothes

August Fannie Mae Prepay Speeds

Annualized one-month prepay speeds on Fannie Mae MBSs seem to support the prepay models high expectations.  The data below is based on the underlying mortgage coupon, not the pass-thru rate.  I also, excluded those tranches that had statistically insignificant volume. 

As you can see, everything above 4.5% is getting hit pretty hard.  The seasoned pools are not quite as bad as the moderately seasoned.  ARM pools (not shown) prepayed at an annualized rate (CPR) of 25%

There is a wide divergence of speeds by state.  The “bubble” states (AZ, CA, FL & NV), interestingly, were all among the highest prepay states.  Puerto Rico was the slowest.

We will be updating this monthly and, hopefully, start to be able to draw conclusions as we gather more data,

8/15/2012 SIFMA Prepay Speeds

Speeds for the 15th have been posted on our site. They appear to have diminished substantially from their 7/31 highs,

MSR 2nd Quarter 2012 10Q values
August 14, 2012, 6:33 pm
Filed under: Uncategorized

After a one quarter respite, MSR values seem to be on the decline once again.  It appears that quantitative easing, Basel III, and HARP2 are weighing heavily on servicing values.