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Model Performance
Prepayment Analysis
by Dan Szakallas
Prepayments in May increased for discounts and were flat for cusp coupons and premiums. The increases seen in FNMA 30-year 4.5’s, 5.0’s, 5.5’s were 5%, 8%, and 5%, respectively. GNMA 30-year 4.5’s, 5.0’s and 5.5’s increased by 13%, 15%, and 13%, respectively. FNMA 15s as well as the GNMA 15s showed similar trends. GNMA prepayments on discounts remained higher than FNMA, continuing a trend that has been seen over the last year.
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 |
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Coupon |
Actual |
Model |
Actual |
Model |
Actual |
Model |
Actual |
Model |
4.5 |
10.4 |
9.0 |
8.4 |
3.5 |
13.8 |
9.2 |
14.9 |
10.1 |
5.0 |
13.6 |
14.5 |
12.5 |
7.0 |
17.0 |
15.4 |
17.7 |
16.8 |
5.5 |
17.2 |
19.9 |
17.8 |
18.3 |
20.1 |
20.7 |
23.6 |
26.6 |
6.0 |
21.2 |
22.1 |
25.6 |
27.6 |
21.4 |
21.1 |
28.6 |
33.7 |
6.5 |
23.7 |
23.2 |
31.9 |
30.2 |
22.4 |
21.7 |
34.2 |
31.2 |
7.0 |
23.8 |
25.8 |
34.3 |
31.0 |
21.2 |
21.9 |
34.8 |
32.1 |
7.5 |
25.0 |
28.2 |
34.2 |
33.4 |
25.2 |
23.8 |
33.9 |
34.0 |
