Fannie Mae Benchmark CPR™ Commentary – Mar 2021

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Key highlights:

• This month, we highlight prepayment trends observed in February. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 1.3% to 31.2 CPR. On the other hand, the 15-Year Benchmark CPR3 for the Fannie Mae cohort increased 2.5% to 25.0 CPR.
• We also introduce the ability to filter on seller and servicer in the Cohort Analyzer tool in Data Dynamics.
• We compare trends in the 30-year and 15-year historical BCPR data, focusing on the shifting composition of seller UPB across various Note Rate Adjusted BCPR3 cohorts.
• We introduce the BCPR Component Profile table, which summarizes the collateral profile of BCPR component months, as well as sub-populations that differentiate component months from one another.
• Lastly, we utilize the Cohort Analyzer tool in Data Dynamics to feature select S-curves on various Fannie Mae 30-year cohorts.

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