This month the model was just slightly slow for most coupon buckets across collateral types. Looking at the different pools, the model performed the best for the FNMA 15-year pools, off by a balance-weighted average of just -0.4. For the FNMA 30-year pools, the model was slow by a balance-weighted average of -3.1 CPR across coupons. The GNMA models were also only slightly off, as the 15-year model was slow by a balance-weighted average of -1.0 CPR, and the 30-yr model was actually fast by a balance-weighted average of 1.6 CPR across coupons, mostly due to the fast speeds seen on premiums. We are currently working on some new features for this model and hope to release a new version next month.

The March speeds jumped about 10% more than expected. This could be because there are 4 more business days in March compared to February, giving lending institutions more time to process refinance applications. Also, the pick-up in seasonal home sales is evident when looking at the increases seen in the discounts, as they jumped about 30% to 35% in March. However, we do not expect this spike to continue, as rates have risen consistently since the March refi period. From mid-March into the first couple weeks of April, 30-year rates rose to 5.50%, so we should see a drop in the prepayments for the month April for the low premiums and current coupon loans, while there should be almost no change in the discount sector as seasonal home sales should drive these prepayments.