2025-06-11-花旗集团-美国机构抵押支持证券策略_短期提前还款预测_12页_258kb

Short-term Prepayment Projections: Citigroup expects June speeds to decrease by 2% for conventional MBS and by 6% for GSE 2009 MBS (G2SF). This decline is attributed to a slowdown in refinancing activity, offset somewhat by increased turnover. Based on limited data, July speeds are projected to rise by 4-5% initially, but these are preliminary as refinancing rates may shift. August speeds are forecast to decrease by 6-7% due to ongoing prepayment behavior trends.

Projection Methodology: The analysis uses three approaches: index-based, leveraging MBA purchase indices and Fannie Mae RALI index, model-based using Yieldbook prepay models, and origination-based using TBA originations. Each method incorporates factors like driving rates, day count, and seasonal patterns, with adjustments for market conditions.

Peak Speed Changes: For conventional MBS (FNCL), peak speeds in June are projected to decline significantly across various coupons (14-29%), specifically to 14 CPR for 5.0 coupons and 24 CPR for 6.5 coupons. Similarly, for G2SF, peak speeds are expected to decrease, reaching 37 CPR for 6.0 coupons and 72 CPR for 6.5 coupons.

Factors Influencing Change: June's prepayment slowdown is linked to rising mortgage rates (up 8bp with 5-week lag) and reduced refinancing activity, while turnover increases slightly. July projections remain tentative pending further data. August declines await more information, but patterns suggest steady easing in prepayment rates.