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Model Performance
Prepayment Analysis
by Dan Szakallas
Prepayments rose sharply in March, as expected. Low rates during the March refinance window coupled with the seasonal rise in home sales caused speeds to jump significantly. FNMA 30-year prepayments for 5.0’s, 5.5’s, and 6.0’s rose by 41%, 39%, and 32%, respectively; the largest increase seen in a long time. FNMA 15-year prepayments also posted large increases from February, moving by 36% and 31% for 4.5’s and 5.0’s, respectively. Large jumps were also seen in the GNMA sector, especially in the 4.5 coupon bucket, which increased by 36% from February. The coupon range of 4.5 to 5.5 continued to remain noticeably faster than the FNMA counterparts. Actual pool CPR speeds of selected coupon buckets along with corresponding model forecasts are shown in the table below.
FNMA 15 |
FNMA 30 |
GNMA 15 |
GNMA 30 |
|||||
Coupon |
Actual |
Model |
Actual |
Model |
Actual |
Model |
Actual |
Model |
4.5 |
10.7 |
9.6 |
9.2 |
3.3 |
12.6 |
11.6 |
14.5 |
11.6 |
5.0 |
15.1 |
17.4 |
14.9 |
11.4 |
16.0 |
18.5 |
17.6 |
19.6 |
5.5 |
19.6 |
21.4 |
22.6 |
23.5 |
20.1 |
22.4 |
23.9 |
32.1 |
6.0 |
24.4 |
21.7 |
32.3 |
36.6 |
24.6 |
25.1 |
32.6 |
37.2 |
6.5 |
26.1 |
22.8 |
36.2 |
35.0 |
24.3 |
24.4 |
38.0 |
40.3 |
7.0 |
26.4 |
25.8 |
38.0 |
34.1 |
24.2 |
23.7 |
37.4 |
40.3 |
7.5 |
26.9 |
28.2 |
37.1 |
32.4 |
24.2 |
25.2 |
37.0 |
37.4 |
