Fannie Mae Benchmark CPR™ Commentary – Feb 2021
February 12, 2021
- 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.