Fannie Mae Benchmark CPR™ Commentary – Sep 2020
Following four months of steady increases, the Benchmark CPR3 (BCPR3) metric declined for the second straight month as August speeds dipped modestly. The Fannie Mae cohort BCPR3 came in at 35.0 CPR for August, a 1.4% decrease from the 35.6 CPR observed in July. The slowdown continues despite the significant and persistent rate incentive; using a 2.93% driving 30 year mortgage rate, we estimate that 64% of all mortgages are at least 50 bps in the money, and this rises above 77% when looking at conventional mortgages only. We believe that this dynamic may reflect current capacity constraints faced by originators.