Looking at the results of the Andrew Davidson & Co. Prepayment Model v4.3.4a for August, we can see that the model was overall slightly slow for deep discounts, but accurate for current coupons and premiums. Across model types and coupons, the model was slightly faster than the actual prepayment speeds for FNMA 15s by a balance weighted average of only 0.2 CPR across coupons. For FNMA 30s, the model was a little fast by a balance-weighted average of 0.6 CPR, almost entirely due to low discounts. The GNMA 30-year model had a balance-weighted average error this month of 0.8 CPR, but was also slow on discounts and a little faster for premiums. The GNMA 15-year model performed reasonably well, being slow by a balance weighted average of -1.5 CPR across coupon buckets, again mostly due to discounts.
Shifting to the new version 5.1 prepayment model, we can see that the model performed well across all collateral types, with speeds being slightly slower than actuals.
|
FNMA 15 |
FNMA 30 |
GNMA 15 |
GNMA 30 |
Coupon |
Actual |
Model |
Actual |
Model |
Actual |
Model |
Actual |
Model |
4.5 |
13.2 |
11.7 |
12.5 |
12.7 |
16.9 |
12.1 |
19.4 |
13.9 |
5.0 |
16.7 |
14.1 |
16.0 |
15.5 |
19.2 |
14.1 |
20.5 |
16.0 |
5.5 |
21.6 |
18.2 |
23.6 |
22.6 |
21.1 |
17.9 |
27.0 |
24.1 |
6.0 |
25.1 |
22.9 |
33.6 |
33.1 |
24.6 |
20.9 |
34.6 |
32.7 |
6.5 |
24.6 |
23.7 |
37.4 |
35.9 |
23.1 |
22.2 |
39.0 |
38.6 |
7.0 |
26.9 |
23.3 |
37.0 |
36.0 |
24.7 |
22.4 |
37.3 |
38.2 |
7.5 |
26.4 |
23.7 |
35.6 |
35.3 |
22.7 |
22.4 |
35.7 |
35.0 |
Looking at the different pools, the model performed the best for the FNMA 15-year pools, off by a balance-weighted average of just -2.3 CPR. The FNMA 30-year model also performed reasonably well, as it was off by a balance weighted average of -0.7 CPR across coupons, and was very good on the discounts. The GNMA 15-year model was slow overall, off by a balance-weighted average of -4.1 CPR. This mostly had to do with prepayments for the 4.5’s and 5.0’s continuing to prepay relatively fast. The GNMA 30-yr model was also slightly slow by a balance-weighted average of -2.6 CPR across coupons, also due to relatively fast speeds seen on discounts.
>>>
