This is the first month of analysis that uses the new Andrew Davidson & Co. Prepayment Model v4.3.4a, with improvements made to both the GNMA 15 and 30 year models. Changes were made to increase prepayment speeds for the lower coupons because of the overall change in prepayment behavior of these GNMA coupons. Looking at model fit across types and coupons, the model was slightly faster than the actual prepayment speeds for FNMA 15’s by a balance weighted average of only 0.3 CPR across coupons. For FNMA 30’s the model was just slightly slow by a balance-weighted average of only -0.3 CPR. The changes in the GNMA 30-year model were noticeable, as the difference between actual and model for the 4.5 and 5.0 coupons decreased from an average of 6.8 CPR in February to just 0.45 CPR in March. This was also the case for the GNMA 15-year model, as the average difference for 4.5’s and 5.0’s dropped from 2.7 CPR in February to 0.75 CPR in March.

Shifting to the new version 5.1 prepayment model, we can see that the model is slightly slow for FNMA 30-year 5.5 and 6.0 pools, but has a better fit for the premiums.