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Model Performance - February '06
Prepayment Analysis
by Dan Szakallas
Prepayment speeds decreased from December to January. The drop was the largest of the previous few months and was also a sharper decline than many in the MBS industry anticipated. However, the Andrew Davidson & Co., Inc. prepayment model forecasts were extremely close to the January speeds, coming in around 1-2 CPR below the actual speeds. FNMA 30-year pools showed large drops across the 4.5 to 8.0 coupon spectrum, with most coupons falling by more than 20% from December. This pattern was also true for FHLMC 30-year pools, as well as for both FNMA and FHLMC 15-year pools. The drops were consistent from discounts to premiums, as FHLMC 5.0’s fell by about 24% and 7.0’s fell by about 22%. GNMA 15-year and 30-year pools also posted sizeable declines from December, as prepayments fell mostly in the 15-20% range across the coupons. The largest drop for GNMA’s (22%) was in the 15-year 4.5’s. We show actual pool CPR speeds from selected coupon buckets and corresponding model forecasts in the following tables.
v4.3.4a
FNMA 15 |
FNMA 30 |
FHLMC 15 |
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Coupon |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
4.0 |
5.6 |
5.8 |
$28,294,425,063 |
4.2 |
2.7 |
$553,718,089 |
5.7 |
4.2 |
$37,341,108,980 |
4.5 |
7.2 |
6.2 |
$112,403,846,483 |
4.8 |
2.4 |
$42,058,838,690 |
6.8 |
4.5 |
$111,038,269,159 |
5.0 |
9.4 |
7.9 |
$115,699,503,387 |
6.8 |
2.6 |
$341,272,364,067 |
8.7 |
5.9 |
$93,950,575,902 |
5.5 |
11.7 |
10.3 |
$41,734,193,325 |
10.3 |
6.2 |
$426,822,185,927 |
11.1 |
8.3 |
$29,454,208,646 |
6.0 |
15.4 |
14.4 |
$21,459,577,180 |
15.2 |
13.9 |
$161,857,769,714 |
14.5 |
11.2 |
$17,300,324,076 |
6.5 |
17.4 |
16.8 |
$8,380,959,586 |
20.6 |
15.9 |
$61,694,940,281 |
15.9 |
13.4 |
$6,692,406,708 |
7.0 |
19.7 |
18.8 |
$2,910,211,427 |
23.3 |
20.7 |
$24,161,791,767 |
18.2 |
15.3 |
$2,400,373,566 |
7.5 |
20.8 |
21.1 |
$1,137,320,522 |
24.6 |
25.9 |
$8,333,058,319 |
18.1 |
17.3 |
$980,267,161 |
8.0 |
23.6 |
23.8 |
$409,200,108 |
22.3 |
29.8 |
$3,850,999,023 |
19.6 |
20.0 |
$345,798,083 |
