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Model Performance - May '06
Prepayment Analysis
by Dan Szakallas
Prepayments took a noticeable dive in April; more so than we expected. The drop was consistent across the board, with the only exception being an increase in GNMA 4.0's. FNMA 30-year discounts (4.5’s to 5.5’s) fell by 10%, 12% and 16% respectively, while the burnt out premiums (7.0’s to 8.0’s) dropped by 12%, 15% and 10%. This pattern was consistent for the FHLMC collateral as well. Prepayments for the GNMA’s fell, but the lower coupon buckets did not experience as much of a drop compared to the current coupons and premiums. For example, GNMA 5.0’s fell by only 7% while GNMA 7.0’s fell by 15%. We show actual pool CPR speeds of selected coupon buckets and corresponding model forecasts in the tables below.
v4.3.4a
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FNMA 15
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FNMA 30
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FHLMC 15
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Coupon
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Actual
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Model
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Current Balance
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Actual
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Model
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Current Balance |
Actual
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Model
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Current Balance
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4.0
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6.62 | 8.71 | $27,511,093,769 | 3.87 | 3.94 | $562,340,181 | 6.73 | 8.72 | $36,071,791,478 |
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4.5
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8.32 | 9.09 | $109,340,792,155 | 6.44 | 3.59 | $41,326,466,591 | 8.23 | 9.05 | $107,090,892,174 |
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5.0
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10.23 | 10.3 | $113,241,228,588 | 8.17 | 3.84 | $341,576,194,413 | 10.20 | 10.24 | $90,438,878,908 |
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5.5
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11.96 | 11.96 | $43,067,820,976 | 11.21 | 7.55 | $437,544,263,276 | 12.21 | 12.43 | $28,614,763,732 |
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6.0
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14.88 | 16.45 | $20,961,650,138 | 14.77 | 14.74 | $180,450,290,757 | 15.32 | 15.78 | $16,238,439,962 |
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6.5
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17.93 | 19.29 | $7,740,220,673 | 18.72 | 17.92 | $64,334,874,281 | 16.6 | 18.23 | $6,151,572,265 |
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7.0
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19.6 | 21.48 | $2,624,764,744 | 23.69 | 23.36 | $23,826,359,759 | 18.07 | 20.75 | $2,152,080,297 |
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7.5
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19.63 | 23.48 | $1,010,600,789 | 23.29 | 27.56 | $7,865,136,151 | 18.61 | 22.36 | $871,437,768 |
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8.0
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17.86 | 26.06 | $360,029,524 | 22.99 | 31.83 | $3,634,016,628 | 23.27 | 24.65 | $301,830,646 |
