Fannie Mae Benchmark CPR™ Commentary – Feb 2021

February 12, 2021


Key highlights:

  • This month, we highlight prepayment trends observed in January. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 5.7% to 31.6CPR. A similar decrease is observed in the 15-year Benchmark CPR3metric.
  • We also observe key trends in the 30-year and 15-year historical BCPR data, focusing on the shifting composition of seller UPB across variousBCPR3 percentage change buckets.
  • Using our MBS Forbearance and Delinquency Dashboard, we analyze cohorts with higher-than-average concentration of loans in active forbearance across both vintage/coupon and vintage/spec story.
  • We review transition rates between workout status categories using our MBS Transition Matrix.
  • Lastly, we utilize the Cohort Analyzer tool in Data Dynamics to feature select S-curves on various Fannie Mae 30-year cohorts.

Click here to read the full commentary