Fannie Mae Benchmark CPR™ Commentary – May 2021

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Key highlights:

• This month, we highlight prepayment trends observed in April. The 30-Year Benchmark CPR3 for the Fannie Mae cohort decreased 8.9% to 27.7 CPR. The 15-Year Benchmark CPR3 for the Fannie Mae cohort also declined this month to 24.0 CPR, a decrease of 7.0%.
• We compare trends in the 30-year and 15-year historical BCPR data, focusing on the increasing share of seller UPB exhibiting a MoM decrease of more the 5% in the BCPR3 and the 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 also use a combination of BCPR Heatmaps and the MBS Cohort Analyzer to dig into this month’s relatively smaller slowdown in speeds for spec, versus non-spec, pools.
• 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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