Fannie Mae Benchmark CPR™ Commentary – Nov 2020
The October 30-year Benchmark CPR3 (BCPR3) for the Fannie Mae cohort increased slightly coming in at 34.8 CPR, a 0.9% increase from the 34.5 CPR observed in September. This reverses three straight months of modest declines. The most recent one-month component increased 1.4% (from 35.0 to 35.5). There continues to be significant and persistent rate incentive in the market; using a 2.78% driving 30-year mortgage rate, we estimate that 65% of all mortgages are at least 50 bps in the money, and this rises above 78% when looking at conventional mortgages only. Prepayment speeds should remain elevated as the industry continues to hire more staff to manage the elevated demand.