Fannie Mae Benchmark CPR™ Commentary – August 2021

August 13, 2021


Key highlights:

  • This month, we highlight prepayment trends observed in July. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 7.2% to 18.0 CPR. The 15-Year Benchmark CPR3 for the Fannie Mae cohort also declined this month to 16.2 CPR, a decrease of 7.4%.
  • Given the current refinance wave has persisted for some time, we use the MBS Cohort Analyzer to search for evidence of burnout, particularly among higher coupons.
  • We compare trends in the 30-year and 15-year historical BCPR data, focusing on the dramatic shift of seller UPB out of the Share of Seller UPB with >10% MoM BCPR3 Decrease bucket for the BCPR3. We also observe a tightening in the BCPR3 Range for the top 100 sellers.
  • Using 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.
  • We analyze the expanded BCPR Heatmap view and observe continued
    slowdown in the Investor story.
  • Lastly, we feature select S-curves on various Fannie Mae 30-year cohorts using the Cohort Analyzer tool in Data Dynamics.

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