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Model Performance - October '06
Seasonality of the Witch
by Dan Szakallas
Prepayments slowed in September, as expected. Speeds for FNMA 15-year 4.5’s to 7.0’s fell between 9% and 13%, which is right in line with the 10-12% drop we predicted last month. Drops for FNMA 30-yr 5.0’s to 6.5’s also fell between 10-12% from August. We saw similar drops for the FHLMC coupon stack, with 4.5’s leading the way with a decrease of 15.0% from August. GNMA’s also experienced significant drops in September, most notably in the 4.5’s, where speeds dropped 23%. The GNMA premium sector showed sizeable drops as well, as 6.5’s to 8.0’s fell anywhere between 12% and 22%. Below, we show actual pool CPR speeds of selected coupon buckets along with corresponding model forecasts.
v4.3.4a
FNMA 15 |
FNMA 30 |
FHLMC 15 |
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FNMA 15 |
FNMA 30 |
FHLMC 15 |
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Coupon |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
4 |
6.55 | 10.19 | $26,013,381,084 | 6.83 | 5.36 | $547,219,688 | 6.56 | 10.12 | $39,886,087,190 |
4.5 |
7.64 | 10.31 | $103,119,799,675 | 6.03 | 4.95 | $39,900,904,451 | 7.31 | 10.21 | $127,629,205,000 |
5 |
9.49 | 10.52 | $107,314,570,034 | 7.8 | 4.63 | $331,716,572,406 | 8.82 | 10.78 | $126,682,394,163 |
5.5 |
10.78 | 10.53 | $43,555,232,517 | 10.05 | 6.21 | $437,166,609,547 | 9.97 | 12.25 | $55,006,666,786 |
6 |
12.9 | 12.4 | $23,536,113,781 | 11.76 | 9.93 | $231,676,850,077 | 12.66 | 14.97 | $25,988,147,036 |
6.5 |
15.9 | 17.15 | $6,919,510,319 | 15.69 | 13.49 | $90,106,587,739 | 15.86 | 18.94 | $7,470,100,686 |
7 |
16.2 | 20.21 | $2,232,587,838 | 22.61 | 21.08 | $25,923,650,908 | 18.44 | 22.64 | $2,535,033,006 |
7.5 |
18.6 | 22.02 | $824,686,764 | 19.73 | 25.19 | $7,429,406,612 | 17.73 | 25.15 | $1,042,279,191 |
8 |
19.72 | 24.16 | $287,906,562 | 21.09 | 29.74 | $3,405,674,351 | 18.94 | 27.62 | $333,255,172 |
