market map

Short Term CPR Predictions for Agency MBS: Mar 2022

Introducing Infima's latest Market Map, which provides Short Term Prepayment Projections for Agency MBS. Infima's CPR projections for Agency pools and cohorts harness next-generation deep learning technologies and have been shown to outperform available alternatives even in challenging macro-environments.


Infima predicts conventional 30-year (UMBS) prepayment speeds to decrease by 2% in March relative to February (UPB-weighted average across cohorts). This follows a slowdown of speeds in February of about 9%. Recent 2021 production is expected to continue to ramp or remain largely flat.

The 3s and 4s of 2020 and 2019, along with the 4.5s and 5s, are expected to speed up. The rank order speeds of most cohorts are in line with expectations, with the exception of 2019 2.5’s, which might be an opportunity.

The CPR gaps between 2019 3.5’s and older vintages in that coupon are quite pronounced. Based on the dispersion of predicted CPRs within a cohort, the recent vintages of the 3.5s, 4s and 5s are expected to provide the best opportunities.

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