 |
 |
Model Performance - June '06
Prepayment Analysis
by Dan Szakallas
Prepayments rebounded for the month of May after the sizeable drops seen in April. We saw increased speeds across the board, with most coupons posting gains in the 6-12% range. FNMA 30-year discounts (4.5's to 5.5's) rose by 14%, 13%, and 9%, while the burnt out premiums (7.0's to 8.0's) increased by 7%, 5%, and 6%, respectively. This pattern was consistent for the FHLMC collateral as well. Prepayments for the GNMA's rose also, especially in the 4.0-5.0 range, where we saw increases of 19%, 20%, and 15%, respectively. Discount GNMA's continue to outpace almost all of the FNMA and FHLMC coupons. Below, we show actual pool CPR speeds of selected coupon buckets, along with corresponding model forecasts.
v4.3.4a
