Fannie Mae Benchmark CPR™ Commentary – June 2021

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Key highlights:

• This month, we highlight prepayment trends observed in May. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 15.2% to 23.5 CPR. The 15-Year Benchmark CPR3 for the Fannie Mae cohort also declined this month to 20.9 CPR, a decrease of 12.9%.
• 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 the continued shifting seller composition out of 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 explore the two reference rates that can be used to calculate the incentive for the MBS Cohort Analyzer s-curve tool, focusing on the Actual rate.
• We expand the BCPR Heatmap view to highlight monthly prepayment changes by adding several loan attribute cuts.
• 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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