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Model Performance - January '06
Prepayment Analysis
by Dan Szakallas
Prepayments decreased from November to December as we expected, as a combination of the winter decline trend and steadily increasing mortgage rates dampened prepayments by about 10-15% across collateral and coupons. Prepayments for FNMA 30-year pools fell about 12-16% in the 5.0 to 6.0 coupon range. FHLMC 30-year pools followed that trend as well, though for the same coupon groups the drops were about 2% larger. GNMA 30-year pools showed similar drops compared to their conventional counterparts, posting about a 8-10% decrease in the 5.0 to 6.0 coupon range. One interesting feature of December prepayments was that for FHLMC and FNMA 4.5’s, the drop was considerably higher for FNMA, 28% compared to 3% for FHLMC. Drops in prepayment speeds for 15-year pools were very similar to that of the 30-years, with FHLMC decreases being slightly larger than FNMA speeds. We show actual pool CPR speeds of selected coupon buckets and corresponding model forecasts in the table below.
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 |
7.2 |
7.2 |
$28,455,445,556 |
3.2 |
3.5 |
$551,658,453 |
7.5 |
7.3 |
$37,725,574,051 |
4.5 |
8.9 |
8.0 |
$113,122,959,828 |
6.5 |
3.1 |
$42,033,336,109 |
8.7 |
7.9 |
$112,220,007,631 |
5.0 |
11.4 |
10.5 |
$116,054,310,058 |
8.7 |
3.6 |
$336,152,779,889 |
10.9 |
9.9 |
$94,937,594,007 |
5.5 |
14.3 |
13.5 |
$41,576,226,769 |
13.2 |
9.8 |
$420,094,915,618 |
14.0 |
12.8 |
$29,731,430,657 |
6.0 |
18.5 |
17.4 |
$21,774,075,250 |
19.5 |
17.9 |
$158,619,758,996 |
17.8 |
16.3 |
$17,648,936,185 |
6.5 |
20.4 |
19.6 |
$8,609,907,084 |
26.5 |
20.3 |
$61,812,716,191 |
19.5 |
18.7 |
$6,871,281,904 |
7.0 |
21.7 |
21.5 |
$3,010,826,929 |
29.1 |
24.4 |
$24,185,192,060 |
19.7 |
20.8 |
$2,484,441,297 |
7.5 |
22.3 |
24.0 |
$1,181,958,435 |
29.0 |
29.1 |
$8,525,427,701 |
20.3 |
22.8 |
$1,016,830,234 |
8.0 |
23.1 |
26.6 |
$427,255,188 |
29.2 |
31.7 |
$3,932,820,308 |
23.7 |
25.2 |
$360,478,319 |
