In the July prepayment report, many cohorts of GN2 multi-lender pools saw a substantial jump in speeds. These speeds were driven by large delinquency buyouts from banks, mostly Wells Fargo, which we summarized in our most recent analysis. Speeds on moderately seasoned GN2 3% through 4% were especially hard-hit, with increases in involuntary prepayments as high as 25 CBR.

The upcoming August prepayment report, due out August 7th, should be substantially better. Delinquencies for banks with the highest buyout efficiency are significant lower than they were last month, which will contribute to a decrease in involuntary speeds by 5 to 15 CBR, depending on the cohort. In the table below, we show potential bank buyout speeds for some large GN2 multi-lender cohorts. These speeds assume an 80% roll-rate from 60DQ to 90DQ and 100% buyouts from the banks mentioned above. The analysis does not include buyouts from non-banks, whose delinquencies continue to build.July prepay report

We have details on other coupon and vintage cohorts as well as buyout analysis at an individual pool level. Please ask for details.


If you are interested in seeing variations on this theme, contact us. Using Edge, we can examine any loan characteristic and generate an S-curve, aging curve, or time series.