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Model Performance
Prepayment Analysis
by Dan Szakallas
Prepayments posted slight increases from July to August, with the most notable gains actually being seen in the premium sector. Mortgage rates remained relatively stable during the August refi window, and this was shown in the discount and current coupon sector, as prepayments changed by less than 10% in the FNMA 30-year collateral. There were few noticeable changes in the GNMA market as well, as the lower coupons remained almost unchanged from July, and the premiums saw a slight increase. 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 |
13.2 |
12.2 |
12.5 |
6.1 |
16.9 |
11.8 |
19.4 |
12.8 |
5.0 |
16.7 |
18.2 |
16.0 |
13.7 |
19.2 |
18.3 |
20.5 |
19.8 |
5.5 |
21.6 |
22.1 |
23.6 |
26.1 |
21.1 |
22.3 |
27.0 |
31.1 |
6.0 |
25.1 |
23.8 |
33.6 |
37.6 |
24.6 |
23.5 |
34.6 |
35.7 |
6.5 |
24.6 |
25.1 |
37.4 |
35.6 |
23.1 |
23.4 |
39.0 |
35.6 |
7.0 |
26.9 |
27.8 |
37.0 |
35.6 |
24.7 |
23.6 |
37.3 |
34.3 |
7.5 |
26.4 |
30.3 |
35.6 |
35.6 |
22.7 |
25.7 |
35.7 |
33.5 |
