Fannie Mae Benchmark CPR™ Commentary – April 2021

April 15, 2021


Key highlights:

  • This month, we highlight prepayment trends observed in March. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 2.6% to 30.4CPR. On the other hand, the 15-Year Benchmark CPR3 for the Fannie Mae cohort increased 3.2% to 25.8 CPR.
  • We compare trends in the 30-year and 15-year historical BCPR data, focusing on the increasing share of seller UPB exhibiting a MoM decrease of -5 to -10% in the BCPR3.
  • Utilizing the BCPR Component Profile table, we explore the shifting collateral profiles of the component populations underlying the BCPR3 and compare the most recent component profile to the overall Fannie Mae 30-year TBA-eligible universe.
  • Lastly, we feature select S-curves on various Fannie Mae 30-year cohorts using the Cohort Analyzer tool in Data Dynamics.

Click here to read the full commentary