mbs market strategies - the baker group · mbs market strategies january 2015 page 1 drew simmons...
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Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
January 2015 Page 1
Drew SimmonsVice President
dsimmons@gobaker.com405.415.7226January 2015 - Prepayment Summary
December SpeedsAgency MBS speeds increased for most terms and coupons in December with the biggest gains in 30yr collateral. Fannie 30yrs experienced a 1.9 CPR increase to 13.5 while Freddie 30yrs were up 1.6 CPR to 13.8. Fannie and Freddie 15yrs reached double digits for the first time since July to 10.3 and 10.1 CPR respectively. Within 10yrs, Fannies increased 1.2 CPR to 11.3 and Freddies inched up 0.6 CPR to 10.5. Twenty-year terms increased 1.5 CPR to 10.6 for Fannie while Freddie 20yrs increased 1.4 CPR to 10.7. Ginnie I 30yrs gained 1.1 CPR on the month to 16.7 and Ginnie II 30yrs increased 1.7 CPR to 17.1. Fifteen-year Ginnie Is increased 1.3 CPR to 13.2 while Ginnie II 15yrs notched up 0.6 CPR to 12.6. Hybrid Ginnie 3x1s experienced a 4.6 CPR spike to 23 CPR with aggregate 5x1s up 2 CPR to 22.4.
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14FNMA 9.2 8.4 10 10.5 11 12.3 12.7 12 11.9 11.9 11.5 13.5FHLMC 9.9 8.9 10.5 10.9 11.5 12.6 13 12.4 12 12.4 12.2 13.8GNMA I 12.5 12.6 13.7 16.2 17.3 17.5 17.9 16.9 16.5 16.5 15.6 16.7GNMA II 8.6 8.9 10.1 11.6 12.8 14 14.3 14.1 14.1 14.5 15.4 17.1
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1-mo CPR
30-Year Fixed MBS Historical Prepayment Speeds
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
FNMA 6.7 6.3 7.7 8.2 8.6 10.1 10.8 9.8 9.9 9.9 9.1 10.6FHLMC 7.5 6.9 8.1 8.6 9.2 10.6 10.8 10.2 9.9 10.4 9.2 10.7
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20-Year Fixed MBS Historical Prepayment Speeds
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14FNMA 7.7 7 8.3 8.8 9.4 10.2 10.7 9.9 9.7 9.8 8.8 10.3FHLMC 8 7.3 8.5 9 9.6 10.5 10.7 10.3 9.3 10 9.2 10.1GNMA I 10.2 9.1 11 12.2 13 13.4 13.7 13.1 13.6 13.3 11.9 13.2GNMA II 7.2 7.4 8.9 10.5 10.6 11.5 12.8 11.4 11.8 12.4 11.9 12.6
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15-Year Fixed MBS Historical Prepayment Speeds
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
FNMA 9.1 8.2 9.8 10 10.3 11.3 11.7 11.2 10.8 11 10.1 11.3FHLMC 9.2 7.5 9.1 10 10.5 10.9 10.9 11.1 9.9 11 10 10.5
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10-Year Fixed MBS Historical Prepayment Speeds
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15-Year by Issuer
FNMA FHLMC GNMA I GNMA II
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30-Year by Issuer
FNMA FHLMC GNMA I GNMA II
January 2015 Page 2
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies Specified Pools
Loan SizeDecember’s speeds showed a continued increase in higher loan balances. For Fannie 15yr 4s of 2010, the $225K+ group increased the most, up 2.6 CPR to 17.5. The $225K+ group also led the way within Fannie 30yr 4.5s of 2010, up 3.7 CPR to 19.8. All loan size groups within these cohorts were up on the month with the exception of $175K-$225K pools which fell 3 CPR to 11.5 for 15yrs while 30yrs fell 6 CPR to 10.5.
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CPR
FNMA 15-Year 2010 4s by Loan Size
<85K 85K-110K 110K-150K 150K-175K 175K-225K 225K+
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FNMA 30-Year 2010 4.5s by Loan Size
<85K 85K-110K 110K-150K 150K-175K 175K-225K 225K+
<85K 85K-110K 110K-150K 150K-175K 175K-225K 225K+ Cohort3mo 12.3 12.9 12.9 14.4 11.5 16.1 15.16mo 12.6 13.1 13.4 14.9 15.3 16.5 15.612mo 12.2 12.8 13.2 14.8 15.3 15.8 14.912mo Prepay Ratio 0.82 0.86 0.89 0.99 1.03 1.06 1.00
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FNMA 15-Year 2010 4s by Loan Size - Avg CPRs (left) | 12mo Prepay Ratio (right)
<85K 85K-110K 110K-150K 150K-175K 175K-225K 225K+ Cohort3mo 10.5 11.3 12.7 13.1 13.2 17.6 16.56mo 11.1 11.8 13.1 13.9 14.1 17.3 16.412mo 10.4 11 11.8 12.5 13.4 15 14.312mo Prepay Ratio 0.73 0.77 0.83 0.87 0.94 1.05 1.00
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FNMA 30-Year 2010 4.5s by Loan Size - Avg CPRs (left) | 12mo Prepay Ratio (right)
January 2015 Page 3
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Investor PoolsFannie 15yr and 30yr 2010s with 50-100% concentrations in investor collateral increased slightly more than their respective cohorts last month. The 15yr investor pools increased 6.6 CPR to 18.7 and 30yr investor collateral were up 4.6 CPR to 18.2. Prepay ratios within this cohort rounded out 2014 with investor pools paying 1.18x and 1.14x for 15yr and 30yr pools respectively.
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FNMA 15-Year 2010s 50%-100% Investor
Cohort 50-100% Investor
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CPR
FNMA 30-Year 2010s 50%-100% Investor
Cohort 50-100% Investor
50-100% Investor Cohort3mo 18 13.76mo 16.6 14.112mo 15.8 13.412mo Prepay Ratio 1.18 1.00
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FNMA 15-Year 2010s Investor %- Avg CPRs (left) | 12mo Prepay Ratio (right)
Cohort 50-100% Investor
50-100% Investor Cohort3mo 16.3 14.96mo 16.5 1512mo 15 13.212mo Prepay Ratio 1.14 1.00
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FNMA 30-Year 2010s Investor % - Avg CPRs (left) | 12mo Prepay Ratio (right)
January 2015 Page 4
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Geographic DistributionThe 1mo lag in Geo speeds showed most state pools falling in November with a few exceptions. The fastest 30yr state speeds in 2014 came from Nevada with the slowest in Puerto Rico.
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FNMA 15-Years by Geographic Distribution
CA FL NY TX US
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FNMA 30-Years by Geographic Distribution
CA FL NY TX US
NY TX CA FL US3mo 9.3 12.0 13.4 11.9 11.76mo 9.6 13.3 13.2 12.5 12.012mo 9.2 12.5 11.5 12.5 11.112mo Prepay Ratio 0.83 1.13 1.04 1.13 1.00
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FNMA 30-Years by Geographic Distribution
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PR HI NY DE MN CT PA MD WI VA Avg GA MO WV TN KS FL TX AZ MI NV
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FNMA 30-Year Speeds by State
Slowest 10 Fastest 10
January 2015 Page 5
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Origination ChannelAfter 3 months of increasing speeds, Third-Party Originated pools fell within Fannie 15yrs of 2010 while retail pools slightly increased. Fannie 30yrs of 2010 showed both TPO and retail pools inch up slightly.
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CPR
FNMA 15-Year 2010s by Origination Channel
100% TPO 100% Retail
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FNMA 30-Year 2010s by Origination Channel
100% TPO 100% Retail
Servicer ConcentrationQuicken picked back up in December at 23.6 CPR within Fannie 15yr 4s of 2010. Their average 6mo and 12mo CPRs have converged, indicating the servicer has yet to let up with solicitation efforts of their servicing book.
0 5 10 15 20 25
QUICKEN LOANS INC.
PNC BANK, N.A.
ROUNDPOINT MORTGAGE SERVICING CORPORATIO
FIFTH THIRD BANK
BANK OF AMERICA, N.A.
WELLS FARGO BANK, N.A.
OCWEN LOAN SERVICING, LLC
PHH MORTGAGE CORPORATION
JP MORGAN CHASE BANK, NA
SUNTRUST MORTGAGE INC.
CITIMORTGAGE, INC.
6mo, 12mo CPRs - FNMA 15-Year 2010 4s by Servicer
6mo CPR
12mo CPR
January 2015 Page 6
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Credit Score
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CPR
FNMA 15-Year 2010 by Credit Score
Cohort 0-699 700-759 760-900
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FNMA 30-Year 2010s by Credit Score
Cohort 0-699 700-759 760-900
0-699 700-759 760-900 Cohort3mo 15.3 15.4 13 13.76mo 15 15.8 13.4 14.112mo 16.3 15.3 12.5 13.412mo Prepay Ratio 1.22 1.14 0.93 1.00
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FNMA 15-Year 2010s by Credit Score
0-699 700-759 760-900 Cohort3mo 16.2 16.8 13 14.96mo 16.8 16.8 13.1 1512mo 15.2 14.8 11.5 13.212mo Prepay Ratio 1.15 1.12 0.87 1.00
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Prepay Ratio CPR
FNMA 30-Year 2010s by Credit Score
January 2015 Page 7
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Loan-to-Value
0-79 80-89 90-99 100-125 Cohort3mo 14.3 18 16.8 16 14.96mo 14.3 18.4 17 15.5 1512mo 12.6 16.3 14.3 13.9 13.212mo Prepay Ratio 0.95 1.23 1.08 1.05 1.00
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Prepay Ratio CPR
FNMA 30-Year 2010s by LTV
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Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
FNMA 30-Year 2010s by LTV
Cohort 0-79 80-89 90-99 100-125
January 2015 Page 8
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
Cpn % Chg CPR Chg Dec CPR Nov CPR % Chg CPR Chg Dec CPR Nov CPR % Chg CPR Chg Dec CPR Nov CPR % Chg CPR Chg Dec CPR Nov CPR10-Year 2.5 12% 1.0 9.3 8.3 1% 0.0 8.7 8.7
3.0 10% 1.1 12.5 11.4 8% 0.9 11.6 10.83.5 13% 1.7 14.6 12.9 10% 1.3 14.9 13.64.0 10% 1.5 16.9 15.4 12% 1.6 14.8 13.2
All 10y 12% 1.2 11.3 10.1 6% 0.6 10.5 10.0
15-Year 2.5 16% 0.9 6.5 5.6 8% 0.5 6.4 5.9 -8% -0.7 7.8 8.5 6% 0.4 7.2 6.73.0 15% 1.3 9.6 8.3 9% 0.8 9.2 8.4 20% 1.9 11.0 9.2 9% 0.9 11.2 10.33.5 19% 2.0 12.2 10.2 14% 1.5 12.3 10.7 -3% -0.4 14.2 14.6 2% 0.4 20.4 20.04.0 21% 2.8 16.4 13.5 11% 1.6 16.1 14.5 15% 2.0 15.3 13.3 3% 0.5 17.4 16.94.5 14% 2.2 17.3 15.1 9% 1.5 17.5 16.0 29% 3.8 17.2 13.4 20% 3.2 19.0 15.85.0 19% 2.7 17.5 14.7 13% 2.0 17.7 15.6 12% 1.6 15.4 13.8 -18% -2.6 11.9 14.55.5 15% 2.4 18.0 15.6 11% 1.7 17.3 15.6 36% 4.5 17.1 12.6 73% 8.6 20.5 11.9
All 15y 17% 1.5 10.3 8.8 10% 0.9 10.1 9.2 11% 1.3 13.2 11.9 5% 0.6 12.6 11.9
20-Year 3.0 15% 0.8 5.8 5.1 4% 0.2 5.4 5.33.5 12% 1.0 10.1 9.0 21% 1.5 9.0 7.54.0 21% 2.4 14.1 11.7 20% 2.3 13.9 11.64.5 28% 4.0 18.6 14.6 20% 2.9 17.9 15.05.0 21% 3.1 17.6 14.6 13% 2.0 17.6 15.5
All 20y 16% 1.5 10.6 9.1 16% 1.4 10.7 9.2
30-Year 3.0 21% 1.0 5.9 4.9 11% 0.6 5.4 4.8 12% 1.1 10.2 9.1 9% 0.8 9.8 9.03.5 15% 1.1 8.7 7.6 8% 0.6 7.9 7.3 12% 1.6 14.9 13.3 17% 2.3 15.3 13.14.0 17% 2.3 15.3 13.0 15% 2.0 15.5 13.6 8% 1.2 16.5 15.3 10% 2.0 21.8 19.94.5 22% 3.3 18.6 15.3 20% 3.1 18.6 15.6 7% 1.2 18.9 17.7 9% 1.7 20.9 19.25.0 14% 2.5 19.9 17.4 14% 2.6 21.1 18.5 6% 1.0 18.8 17.8 5% 1.0 19.6 18.75.5 15% 2.9 21.8 18.9 12% 2.4 22.9 20.5 0% 0.1 19.9 19.8 5% 1.0 20.7 19.86.0 14% 2.7 22.8 20.1 7% 1.5 22.8 21.3 2% 0.4 19.9 19.5 0% 0.1 21.7 21.6
All 30y 17% 1.9 13.5 11.5 13% 1.6 13.8 12.2 7% 1.1 16.7 15.6 11% 1.7 17.1 15.4
Prod % Chg CPR Chg Dec CPR Nov CPR % Chg CPR Chg Dec CPR Nov CPR % Chg CPR Chg Dec CPR Nov CPR2014 14% 1.0 8.2 7.22013 33% 7.8 31.6 23.82012 33% 9.0 36.6 27.62011 31% 5.6 23.4 17.8
All 3x1 25% 4.6 23.0 18.3
2014 0% 0.0 18.0 18.02013 3% 0.7 22.0 21.32012 32% 6.2 25.4 19.22011 21% 4.5 25.8 21.42010 11% 2.4 24.5 22.22009 -9% -2.0 19.8 21.8
All 5x1 10% 2.0 22.4 20.4
2008 14443% 57.2 57.6 0.4 -97% -19.3 0.5 19.82007 2523% 13.3 13.8 0.5 14901% 42.6 42.9 0.32006 81% 3.6 8.0 4.4 107% 8.5 16.5 8.02005 13% 0.9 7.9 7.0 48% 4.8 14.8 10.12004 19% 2.0 12.6 10.6 29% 3.5 15.5 12.0
All 7x1 15% 1.6 12.2 10.6 48% 5.0 15.4 10.5
2007 15% 1.9 14.5 12.6 151% 29.6 49.2 19.62006 -92% -57.5 4.9 62.4 -16% -4.5 24.0 28.52005 -59% -30.5 21.5 52.0 16% 4.1 29.3 25.22004 557% 3.5 4.2 0.6 23% 3.1 16.7 13.6
All 10x1 -64% -18.9 10.6 29.5 17% 3.2 21.5 18.3
Hybrid MBS - CPR Change
Fixed MBS - CPR ChangeFNMA FHLMC GNMA I GNMA II
10x1 Treas
FNMA FHLMC GNMA
3x1 Treas
5x1 Treas
7x1 Treas
Prepayment Chart Book
January 2015 Page 9
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
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CPR
10-Year FNMA Historical Speeds by Coupon
2% 2.5% 3% 3.5% 4% 4.5%
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10-Year FHLMC Historical Speeds by Coupon
2% 2.5% 3% 3.5% 4% 4.5%
02468
101214161820
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
15-Year FNMA Historical Speeds by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%
02468
101214161820
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
15-Year FHLMC Historical Speeds by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%
0
5
10
15
20
25
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
20-Year FNMA Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
0
5
10
15
20
25
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
20-Year FHLMC Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
0
5
10
15
20
25
30
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
30-Year FNMA Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
0
5
10
15
20
25
30
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
30-Year FHLMC Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
05
101520253035404550
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
GNMA 3x1 Historical Speeds by Production Year
2014 2013 2012 2011 2010 2009
0
5
10
15
20
25
30
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
GNMA 5x1 Historical Speeds by Production Year
2014 2013 2012 2011 2010 2009
January 2015 Page 10
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
02468
101214161820
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
15-Year GNI Historical Speeds by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%
0
5
10
15
20
25
30
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
15-Year GNII Historical Speeds by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%
0
5
10
15
20
25
30
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
30-Year GNI Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
0
5
10
15
20
25
30
35
Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14
CPR
30-Year GNII Historical Speeds by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%
2% 2.5% 3% 3.5% 4% 4.5%Dec-14 6.3 8.3 11.4 12.9 15.4 15Nov-14 6.8 9 12.3 14 17.1 19.9
0
5
10
15
20
25
CPR
Monthly Change - FNMA 10-Year by Coupon
2.5% 3% 3.5% 4% 4.5%Dec-14 6.4 9.2 12.3 16.1 17.5Nov-14 5.9 8.4 10.7 14.5 16
02468
101214161820
CPR
Monthly Change - FHLMC 10-Year by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%Dec-14 6.5 9.6 12.2 16.4 17.3 17.5 18Nov-14 5.6 8.3 10.2 13.5 15.1 14.7 15.6
02468
101214161820
CPR
Monthly Change - FNMA 15-Year by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%Dec-14 6.4 9.2 12.3 16.1 17.5 17.7 17.3Nov-14 5.9 8.4 10.7 14.5 16 15.6 15.6
02468
101214161820
CPR
Monthly Change - FHLMC 15-Year by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 5.1 9 11.7 14.6 14.6 15.2 16.3Nov-14 5.6 8.8 12.7 17.3 18.1 18.5 18.8
02468
101214161820
CPR
Monthly Change - FNMA 20-Year by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 5.3 7.5 11.6 15 15.5 14.8 13.7Nov-14 5.5 7.6 13 18.4 18.5 18.4 15.8
02468
101214161820
CPR
Monthly Change - FHLMC 20-Year by Coupon
January 2015 Page 11
INTENDED FOR INSTITUTIONAL INVESTORS ONLY. The data provided in these reports is for informational purposes only and is intended solely for your private use. Information herein is believed to be reliable but The Baker Group LP does not guarantee its completeness or accuracy. Opinions constitute our judgment and are subject to change without notice. Past performance is not indicative of future results. The investments and strategies discussed here may not be suitable for all investors; if you have any doubts you should consult your Baker representative. The investments discussed may fluctuate in price or value. Changes in rates of exchange may have an adverse effect on the value of investments. This material is not intended as an offer or solicitation for the purchase or sale of any financial instruments.
Oklahoma City, OK | Austin, TX | Birmingham, AL | Indianapolis, IN | Salt Lake City, UT | Springfield, IL | www.GoBaker.comThe Baker Group | 1601 Northwest Expressway, 20th Floor | Oklahoma City, OK 73118 | 800.937.2257 | Member FINRA and SIPC
MBS Market Strategies
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 5.9 8.7 15.3 18.6 19.9 21.8 22.8Nov-14 4.9 7.6 13 15.3 17.4 18.9 20.1
0
5
10
15
20
25
CPR
Monthly Change - FNMA 30-Year by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 5.4 7.9 15.5 18.6 21.1 22.9 22.8Nov-14 4.8 7.3 13.6 15.6 18.5 20.5 21.3
0
5
10
15
20
25
CPR
Monthly Change - FHLMC 30-Year by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%Dec-14 7.8 11 14.2 15.3 17.2 15.4 17.1Nov-14 8.5 9.2 14.6 13.3 13.4 13.8 12.6
02468
101214161820
CPR
Monthly Change - GNMA 15-Year by Coupon
2.5% 3% 3.5% 4% 4.5% 5% 5.5%Dec-14 6.7 10.3 20 16.9 15.8 14.5 11.9Nov-14 7.5 11.7 17.7 17.7 15.1 17.4 26.5
0
5
10
15
20
25
30
CPR
Monthly Change - GNMAII 15-Year by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 10.2 14.9 16.5 18.9 18.8 19.9 19.9Nov-14 9.1 13.3 15.3 17.7 17.8 19.8 19.5
0
5
10
15
20
25
CPR
Monthly Change - GNMA 30-Year by Coupon
3% 3.5% 4% 4.5% 5% 5.5% 6%Dec-14 9.8 15.3 21.8 20.9 19.6 20.7 21.7Nov-14 9 13.1 19.9 19.2 18.6 19.8 21.6
0
5
10
15
20
25
CPR
Monthly Change - GNMAII 30-Year by Coupon
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