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 |
|||||||
FNMA 15 |
FNMA 30 |
FHLMC 15 |
|||||||
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 |
FHLMC 30 |
GNMA 15 |
GNMA 30 |
|||||||
Coupon |
Actual
|
Model
|
Current Balance
|
Actual
|
Model
|
Current Balance |
Actual
|
Model
|
Current Balance
|
4.0 |
5.77 |
5.95 |
$543,435,828 |
11.27 |
8.65 |
$1,066,723,283 |
17.17 |
6.51 |
$2,406,059,348 |
4.5 |
6.63 |
4.39 |
$44,670,016,118 |
12.61 |
8.55 |
$3,829,779,756 |
16.03 |
6.91 |
$9,247,565,744 |
5.0 |
8.14 |
4.29 |
$362,961,249,713 |
12.96 |
9.34 |
$6,349,013,611 |
13.44 |
6.64 |
$66,547,339,180 |
5.5 |
10.57 |
5.23 |
$397,428,646,932 |
13.52 |
9.93 |
$2,748,491,941 |
14.75 |
11.18 |
$111,003,279,561 |
6.0 |
11.4 |
6.83 |
$195,711,491,616 |
15.45 |
12.44 |
$1,801,874,898 |
15.63 |
13.78 |
$66,643,258,329 |
6.5 |
16.73 |
12.89 |
$71,312,888,190 |
18.13 |
14.07 |
$791,614,460 |
21.03 |
17.58 |
$25,531,617,098 |
7.0 |
20.47 |
17.02 |
$18,153,138,096 |
20.4 |
14.69 |
$484,278,147 |
21.89 |
18.92 |
$11,760,381,475 |
7.5 |
19.36 |
22.03 |
$6,672,456,565 |
19.85 |
17.42 |
$185,702,048 |
22.57 |
20.42 |
$4,886,253,138 |
8.0 |
18.64 |
27.11 |
$3,167,570,092 |
19.5 |
20.39 |
$95,949,522 |
21.74 |
25.49 |
$2,966,960,316 |
v5.1e
FNMA 15 |
FNMA 30 |
FHLMC 15 |
|||||||
Coupon |
Actual
|
Model
|
Current Balance
|
Actual
|
Model
|
Current Balance |
Actual
|
Model
|
Current Balance
|
4.0 |
7.62 | 7.32 | $26,300,174,762 | 4.75 | 8 | $551,345,904 | 7.72 | 7.37 | $40,216,339,503 |
4.5 |
8.4 | 7.57 | $104,319,311,189 | 7.16 | 8.02 | $40,157,558,504 | 8.71 | 7.37 | $128,717,010,457 |
5.0 |
10.52 | 8.97 | $108,638,498,500 | 8.73 | 9.28 | $334,048,327,456 | 10.33 | 8.09 | $125,255,371,311 |
5.5 |
11.97 | 10.58 | $43,846,321,535 | 11.39 | 11.29 | $439,793,456,229 | 11.38 | 8.96 | $53,760,741,967 |
6.0 |
14 | 11.95 | $22,451,904,328 | 13.31 | 12.63 | $220,627,911,031 | 14.63 | 11.19 | $24,742,588,746 |
6.5 |
17.73 | 15.2 | $7,038,180,408 | 17.7 | 14.57 | $82,236,840,051 | 17.55 | 14.5 | $7,533,257,828 |
7.0 |
18.76 | 17.55 | $2,291,320,300 | 22.25 | 19.71 | $25,012,971,038 | 20.3 | 16.14 | $2,627,057,762 |
7.5 |
20.52 | 19.62 | $857,961,290 | 22.85 | 25.59 | $7,453,003,218 | 20.61 | 18.13 | $1,082,316,699 |
8.0 |
20.97 | 21.59 | $300,875,572 | 21.45 | 29.5 | $3,413,728,170 | 19.29 | 20.89 | $347,507,495 |
FHLMC 30 |
GNMA 15 |
GNMA 30 |
|||||||
Coupon |
Actual
|
Model
|
Current Balance
|
Actual
|
Model
|
Current Balance |
Actual
|
Model
|
Current Balance
|
4.0 |
5.77 |
8.16 |
$543,435,828 |
11.27 |
12.3 |
$1,066,723,283 |
17.17 |
7.89 |
$2,406,059,348 |
4.5 |
6.63 |
7.95 |
$44,670,016,118 |
12.61 |
12.29 |
$3,829,779,756 |
16.03 |
9.45 |
$9,247,565,744 |
5.0 |
8.14 |
8.78 |
$362,961,249,713 |
12.96 |
13.29 |
$6,349,013,611 |
13.44 |
12.5 |
$66,547,339,180 |
5.5 |
10.57 |
10.46 |
$397,428,646,932 |
13.52 |
13.58 |
$2,748,491,941 |
14.75 |
14.56 |
$111,003,279,561 |
6.0 |
11.4 |
10.86 |
$195,711,491,616 |
15.45 |
14.2 |
$1,801,874,898 |
15.63 |
15 |
$66,643,258,329 |
6.5 |
16.73 |
14.08 |
$71,312,888,190 |
18.13 |
16.29 |
$791,614,460 |
21.03 |
18.44 |
$25,531,617,098 |
7.0 |
20.47 |
19.56 |
$18,153,138,096 |
20.4 |
16.82 |
$484,278,147 |
21.89 |
20.92 |
$11,760,381,475 |
7.5 |
19.36 |
23.6 |
$6,672,456,565 |
19.85 |
16.69 |
$185,702,048 |
22.57 |
21.83 |
$4,886,253,138 |
8.0 |
18.64 |
27.91 |
$3,167,570,092 |
19.5 |
17.04 |
$95,949,522 |
21.74 |
22.81 |
$2,966,960,316 |
The increase in prepays in August was in line with expectations after the drop seen in July. Overall, mortgage rates rose during the refinance window, but because of the seasonal effect, prepayments rose. Going forward, we will expect that same seasonal effect to slow down prepayments heading into the fall and winter months. Since we have also now experienced a major leveling off of home prices and existing home sales, we should see prepayments fall to lower levels than at this same time last year. Prepayments should drop in September by about 10-12%, but stay at about the same levels from September to October if rates remain relatively constant.
Please note that for this month’s evaluation, we used v5.1e of the prepayment model. Starting October, we will assess the model’s performance with the just-release v5.2a model, which includes a new model for Agency and Non-Agency ARMs.
