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Model Performance - September '06
Prepayments Increase in August
by Dan Szakallas
Prepayments posted decent increases in August after taking a downturn in July. Speeds for FNMA 30 -yrs rose across the board, ranging from an increase of 3.0% of 4.5s to 10% for 7.5’s. The same pattern was seen for the FHLMC coupon stack, with 5.5s leading the way with an increase of 10.4% from July. GNMAs also showed increases this month, especially in the premium sector. Speeds for GNMA 30-yr 7.0s and 7.5s rose 11.3% and 13.4%, respectively. These increases were expected, since we usually see accelerated prepayments in August, as home buyers try to close before the beginning of the school year in September. Below, we post 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 |
7.62 |
11.86 |
$26,300,174,762 |
4.75 |
5.93 |
$551,345,904 |
7.72 |
11.62 |
$40,216,339,503 |
4.5 |
8.4 |
12.02 |
$104,319,311,189 |
7.16 |
5.43 |
$40,157,558,504 |
8.71 |
11.45 |
$128,717,010,457 |
5 |
10.52 |
12.39 |
$108,638,498,500 |
8.73 |
4.95 |
$334,048,327,456 |
10.33 |
10.81 |
$125,255,371,311 |
5.5 |
11.97 |
12.04 |
$43,846,321,535 |
11.39 |
6.42 |
$439,793,456,229 |
11.38 |
10.15 |
$53,760,741,967 |
6 |
14 |
14.5 |
$22,451,904,328 |
13.31 |
9.57 |
$220,627,911,031 |
14.63 |
13.64 |
$24,742,588,746 |
6.5 |
17.73 |
19.15 |
$7,038,180,408 |
17.7 |
13.88 |
$82,236,840,051 |
17.55 |
18.03 |
$7,533,257,828 |
7 |
18.76 |
22.22 |
$2,291,320,300 |
22.25 |
20.32 |
$25,012,971,038 |
20.3 |
21.09 |
$2,627,057,762 |
7.5 |
20.52 |
24 |
$857,961,290 |
22.85 |
25.01 |
$7,453,003,218 |
20.61 |
23.05 |
$1,082,316,699 |
8 |
20.97 |
25.9 |
$300,875,572 |
21.45 |
29.5 |
$3,413,728,170 |
19.29 |
24.83 |
$347,507,495 |
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