By the Numbers
Faster turnover in June boosts discount spec pool value
This material is a Marketing Communication and does not constitute Independent Investment Research.
Housing turnover is becoming the dominant driver of prepayment speeds due to the increase in mortgage rates over the past few months. Lower coupon prepayment speeds increased in June while higher coupon speeds slowed. None of the 30-year 2.0%, 2.5% and 3.0% coupon dollar rolls are currently special, making it an opportune time to consider specified pools. Some of the fastest projected breakeven times can be found in 2.5%s in pools like 100% Texas, non-owner occupied, high LTV and seasoning.
The FNCL 2.5% 2021 TX cohort prepaid very quickly in June and would breakeven on its pay-up in only 15 months at that speed (Exhibit 1). However, Yield Book projects a slower speed that extends the breakeven to 29 months. TBA carry is observed in the dollar roll market as of July 7 close. A variety of other cohorts have breakeven times in under two years using both June’s print and Yield Book’s projection for July. For example, the 2.5% 2020 OCC cohort, which is Bloomberg’s label for non-owner occupied, would breakeven in 21.4 months at the June speed or 17.2 months using Yield Book’s projected speed.
Exhibit 1. Top FNCL 2.5% spec pool stories
As of 7/7/2026. TBA carry is from the roll market; TBA CPR is the breakeven speed. Only cohorts with at least $5 billion float (excluding amount in CMOs and owned by the Fed) were considered. “OCC” is non-owner occupied. June cohort speeds provided by Yield Book.
Source: Yield Book, Santander US Capital Markets
There are a handful of 2.0% cohorts that also have relatively low breakeven times using June’s speed (Exhibit 2). The shortest time is the 2020 Texas cohort. Yield Book’s projections, however, are slower than the June print for these cohorts.
Exhibit 2. Top FNCL 2.0% spec pool stories
As of 7/7/2026. TBA carry is from the roll market; TBA CPR is the breakeven speed. Only cohorts with at least $5 billion float (excluding amount in CMOs and owned by the Fed) were considered. “OCC” is non-owner occupied. June cohort speeds provided by Yield Book.
Source: Yield Book, Santander US Capital Markets
Generic seasoned pools performed well in the 3.0% coupon (Exhibit 3). Both the 2021 and 2022 vintage generic pools breakeven in about 1.5 years using the June print and in about two years using Yield Book’s projection. Other spec stories have much longer breakevens.
Exhibit 3. Top FNCL 3.0% spec pool stories
As of 7/7/2026. TBA carry is from the roll market; TBA CPR is the breakeven speed. Only cohorts with at least $5 billion float (excluding amount in CMOs and owned by the Fed) were considered. “OCC” is non-owner occupied. June cohort speeds provided by Yield Book.
Source: Yield Book, Santander US Capital Markets
Overall speeds increased 2% to 8.4 CPR at Fannie Mae and 1% to 8.7 CPR at Freddie Mac, as slower refinancing in higher coupons offset faster turnover. Ginnie Mae II speeds slowed 7% to 10.8 CPR, mostly driven by falling VA refinance activity. VA speeds pick up the fastest when rates drop, so also tend to slow the most when rates increase. Most discount conventional and Ginnie coupons increased around 10%. Conventional coupons 5.0% and above slowed 5% to 10%. Ginnie 5.5%s and 6.0%s slowed 22% and 24%, respectively, but are still prepaying much faster than the conventional counterparts. For example, the FNCL 6.0% 2025 printed 12.5 CPR compared to 26.0 CPR for the G2SF 6.0% 2025.
Exhibit 4. June 2026 Agency Prepayment Speeds, MoM % Change
Source: Fannie Mae, Freddie Mac, Ginnie Mae, Santander US Capital Markets.
Yield Book’s new production model, v26.1, performed well on lower coupons but was notably fast on 6.0%s through 7.0%s. (Exhibit 5). Bloomberg’s latest model fared better in higher coupons, other than 6.0%s, but was too slow in lower coupons.
Exhibit 5. FNCL model predicted vs. actual
Shaded cells are more than 10% different from actual speeds. Blue indicates the model is slower, red indicates the model is faster. Yield Book production is v26.1. BAM is v1.47.1 (current production).
Source: Fannie Mae, Freddie Mac, Yield Book, Bloomberg, Santander US Capital Markets.
Model errors were larger for G2SF collateral than for conventional collateral (Exhibit 6). Yield Book was nearly 60% faster than actual in the 6.0% coupon. Bloomberg’s model was generally too slow, with the worst coupons in the middle of the stack.
Exhibit 6. G2SF model predicted vs. actual, multiple issuer pools
Shaded cells are more than 10% different from actual speeds. Blue indicates the model is slower, red indicates the model is faster. Yield Book production is v26.1. BAM is v1.47.1 (current production).
Source: Fannie Mae, Freddie Mac, Yield Book, Bloomberg, Santander US Capital Markets.
Prepayment outlook
Housing turnover should be the primary driver of prepayment speeds in July. There is one extra business day, but seasonal turnover often dips a little from June to July, so speeds are likely to be roughly flat next month. Refinancing activity should be mostly unchanged in July, although there could be some residual slowing as borrowers that needed longer to close their homes finally do so.
Mortgage rates have been relatively steady over the last couple of months, near levels last observed in summer 2025 (Exhibit 7).
Exhibit 7. Primary mortgage rates
As of 7/8/2026.
Source: Optimal Blue, Santander US Capital Markets.
Lagged mortgage rates should reach roughly 6.40% in July regardless of the lag used (Exhibit 8). That’s roughly the same as in June using a 21-day lag, which applies to most borrowers in higher coupon pools, so refinancing is unlikely to slow much in July. But there could be some residual slowing from the subset of borrowers that needed more time to close, since the 45-day lagged rate increases 20 bp month-over-month.
Exhibit 8. Lagged conventional mortgage rates
As of 7/8/2026.
Source: Optimal Blue, Santander US Capital Markets.
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