Fannie Mae Benchmark CPR™ Commentary – September 2021

September 14, 2021


Key highlights:

  • This month, we highlight prepayment trends observed in August. The 30-Year Benchmark CPR3 for the Fannie Mae cohort increased 5.6% to 19.0 CPR. The 15-Year Benchmark CPR3 for the Fannie Mae cohort also increased this month to 17.5 CPR, an increase of 8.0%.
  • Given the lack of consensus on the appropriate lag to assume between a decline in interest rates and the resultant increase in prepayments, we explore lag differences between Bank and non-Bank lenders.
  • We compare trends in the 30-year and 15-year historical BCPR data, focusing on the narrowing range of the BCPR3 for the Top 100 Sellers.
  • 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.
  • Lastly, we analyze the expanded BCPR Heatmap view and feature select S-curves on various Fannie Mae 30-year cohorts using the Cohort Analyzer tool in Data Dynamics.

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