机构MBS短期提前还款预测：7月速度预计增长11%

Agency MBS Short-termFIGURE 2. Estimated primary driving rate6.96.86.76.6Note: Assumes 20-day lag.Source: Mortgage Bankers Association, Barclays Research EstimatedPrimaryRate (%)spread (RHS)Apr-25Jun-25 Michael Khankin, CFA+1212526 3945michael.khankin@barclays.comBCI, USPratham Saxena, CFA+12125268640pratham.x.saxena@barclays.comBCI, USEstimatedP/S spread130(bps)120110100Mar-25May-25Jul-25 Conventionalpremiumsexpectedtospeedupon lowerratesThe surprise on the slower side in the May report was likely driven by originators running out ofrefinance candidates after pushing through everyone in the October and April episodes (seeAnother slow print). Continuing to assume the 20-day lags , we do not expect the S-curves tomove significantly for generic collateral in July ( Figure 3).FIGURE 3. June S-curve flattened further as originators run out of refi prospects701m CPR6050403020101252025心10049-199-74224149126101-Incentive (bps)Mar-21Oct-24Feb-25Mar-25Apr-25FNCL Non-spec 6-18 WALA collateral.Source: Barclays ResearchTurnoverisexpected to stay in line withseasonals similartothe June print and in line withstable existing home sales and purchase indexreadingsin recent months.For Ginnies and 15ycohorts, the trend should be similar to conventionals but with higher baseline turnover levels.Following thedrops in Marchand April,we expect home pricesto recover in the second half andproject 3% HPA for 2025 (see Well well well).Conventional 5s hd 5.5s, being out of the money, should move in line with turnover seasonals,with somg of the noise from the smaller pools fading out ( Figure 4, Figure 5). Peak speeds in 6sand @5s should increase to 17 and 25 CPR, respectively ( Figure 6, Figure 7). While August rateGnd refi index data are largely unavailable at this time considering the 20-day lag, the latestlevels remain quite close to the July rate levels and that leads us to expect speeds to be largelybeholden to turnover and daycount for August and September.FIGURE 5.FN 5.5Major speed projections10987620101112131415Aug (Projection)JunJul (Projection)Source: Barclays Research 1502002252176-201May-25Jun-25101112131415Aug (Projection)2 G2 5.5, 6.0, and 6.5 Majors expected to peak at 11, 50, and 76 CPR in July,respectivelyGinnie refi indices are higher as well for July, with the FHA and VA indices showing a 15% and19% increase, respectively, assuming a shorter 20-day lag ( Figure 8, Figure 9). The VA WACdifferential toconventionals has expandedin recent months,leadingto thebinary VA ramptoshowing to some extent as far out of the money as 4.5s and 5s ( Figure 10),FIGURE9.VAindex showsa19%increase for July220200normalized180seasonally16014012010080604014-May14-Jun2014-Feb14-Mar14-Apr14-May14-JunJuninrMarAprMayJunNote: Assumes 20-day lag. VA RefiIndex,andadjustedinr PeakspeedsamongG25sand5.5sarelowerinJulydespite lowerdrivingrates,owingtosignificantly less VA share in the respective 8 WALA pools versus their 9 WALAcounterparts ( Figure 11, Figure 12). The 9 WALA G2 5 and 5.5 pools are 63% and 62% VA whileVA share in the 7 WALA pools then will likely lead to higher peak speeds in the August reportcompared with July. For G2 6s and 6.5s, driving rates are the determining factor, with VA sharesamong 7-9 WALA pools not too dissimilar ( Figure 13, Figure 14).Beyond the August report, we will again see a sharp increase in VA shares of pools peaking atthat time. The instances of higher shares generally coincide with episodes of high refi activitywith the high VA shares among 3-6 WALA major pools corresponding to the March-April refiepisode.FIGURE12.G25.5Major ramps1412108610111234569101112131415Aug (Projection)JunJul (Projection)Aug (Projection)Source: Barclays Research Analyst(s) Certification(s):We, Pratham Saxena, CFA and Michael Khankin, CFA, hereby certify (1) that the views expressed in this research report accurately reflect our personalviews about any or all of the subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will bedirectly or indirectly related to the specific recommendations or views expressed in this research reportImportant Disclosures:Barclays Research is produced by the Investment Bank of Barclays Bank PLC and its affiliates (collectively and each individually,"Barclays").the local time where the report was produced and may differ from the release date provided in GMT.Availability of Disclosures:For current important disclosures regarding any issuers which are the subject of this research report please refer to https://publicresearch.barclays.com or alternatively send a written request to: Barclays Research Compliance, 745 Seventh Avenue, 13th Floor, New York, NY10019orcall+1-212-526-1072.Barclays Capital Inc. and/or one of its affiliates does and seeks to do business with companies covered in its research reports. As a result, investorsshould be aware that Barclays may have a conflict of interest that could affect the objectivity of this report. Barclays