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Model Performance - July '06
Prepayment Analysis
by Dan Szakallas
Prepayments were relatively flat for the month of June, slowing after the increases posted in May. This was expected as mortgage rates climbed to 52 weeks highs during the month. We saw slightly increased speeds from FNMA 30 discounts, about 4-6%, and slightly decreased speeds for premiums, at about -5%. FHLMC 30-year collateral posted decreases across the board at about the same -5% magnitude seen in the FNMA premiums. This pattern was consistent for both FHLMC & FNMA 15-year collateral as well. Prepayments for the GNMAs showed the same behavior, with speeds rising slightly for discounts and falling for premiums. We show actual pool CPR speeds of selected coupon buckets along with corresponding model forecasts in the tables 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 |
7.8 | 11.47 | $26,912,331,958 | 6.66 | 4.95 | $557,504,640 | 8.44 | 11.25 | $40,639,134,184 |
4.5 |
9.42 | 11.66 | $106,805,054,490 | 8.08 | 4.52 | $40,710,395,309 | 9.26 | 11.11 | $130,284,062,345 |
5.0 |
11.09 | 12.54 | $111,230,578,840 | 9.52 | 4.26 | $338,479,277,896 | 10.54 | 10.96 | $126,127,204,721 |
5.5 |
12.59 | 12.91 | $43,885,779,997 | 12.04 | 5.92 | $443,969,507,424 | 11.63 | 10.93 | $51,519,624,150 |
6.0 |
15.88 | 16.8 | $21,168,552,608 | 14.88 | 11.46 | $197,969,210,381 | 15.63 | 16.38 | $21,721,891,062 |
6.5 |
18 | 20.48 | $7,338,120,636 | 19.83 | 15.47 | $70,359,394,426 | 17.87 | 19.4 | $7,770,309,524 |
7.0 |
18.95 | 23.22 | $2,448,171,279 | 24.47 | 21.52 | $23,273,661,620 | 19.23 | 22.34 | $2,827,807,427 |
7.5 |
19.98 | 24.86 | $931,716,173 | 24.21 | 25.54 | $7,640,977,340 | 20.7 | 23.99 | $1,167,603,625 |
8.0 |
22.7 | 27.07 | $328,573,007 | 23.21 | 30.3 | $3,486,877,875 | 21.75 | 25.78 | $377,505,348 |
