Short Term CPR Predictions for Agency MBS: June 2022

With some minor exceptions within new production cohorts, the Agency MBS market is forecasted to continue slowing across all coupons as significantly higher mortgage rates and a slowing economy continue to dampen prepayments. More seasoned cohorts within the coupons are slowing the most, with 3.5’s and higher projected to fall as much as 5 to 6 CPR in June. Meanwhile, 2021 production 3’s and 3.5’s are expected to speed up slightly in June.