Prepayment speeds are published in a table format by Bloomberg. The table format shows that prepayment is affected by interest shifting (-300 to +300), age (T, N, M, S), coupon rate, and group (GNMA, FNMA, etc.)
This information is published monthly. To solve the inter-month problem, interest rates are also input for the month end. Therefore, one can find the corresponding speed in the middle of the month by shifting the term structure.
To review a dealer’s speed data stored in the database, click on Market -> Mortagage -> Current. The following dialog box appears.
