Fannie Mae Benchmark CPR™ Commentary – July 2021

July 15, 2021

Download

Key highlights:

  • This month, we highlight prepayment trends observed in June. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 17.4% to 19.4 CPR. The 15-Year Benchmark CPR3 for the Fannie Mae cohort also declined this month to 17.5 CPR, a decrease of 16.3%.
  • We compare trends in the 30-year and 15-year historical BCPR data, focusing on the seller UPB exhibiting a MoM decrease of more the 10% in the BCPR3 and observe a rebound in share of seller UPB in the >130% Note Rate Adjusted BCPR3 cohort.
  • 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.

Click here to read the full commentary