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Model Performance - March '07
Prepayment Analysis
by Dan Szakallas
Prepayments continued to decline in February as expected. The combination of the seasonal slow down and the short month resulted in drops across the coupon stack for both FNMA and FHLMC 30-yr pools. We saw a balance weighted average decrease of 11.0% for FNMA’s and 9.5% for FHLMC’s. The decrease for FNMA and FHLMC 15-yr collateral was not as drastic, at a balance weighted average of 5.7% and 2.3%, respectively. Looking at GNMA’s, we saw a balance weighted decrease of only 1.8% for 15-yr collateral, and only 1.3% for 30-yr collateral. In the FHLMC hybrid ARMs data, we observed balance weighted drops between 5%-11% in Libor and Treasury indexed 5/1’s, 7/1’s, and 10/1’s (all during their initial reset period), while 3/1’s posted an increase of about 10%.
v5.2b Fixed Rate
FNMA 15 |
FNMA 30 |
FHLMC 15 |
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Coupon |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
Actual |
Model |
Current Balance |
| 4.0 | 5.89 | 4.62 | $24,650,928,817 | 5.12 | 4.14 | $539,635,528 | 6.29 | 4.55 | $37,829,961,254 |
| 4.5 | 7.51 | 5.62 | $97,259,749,812 | 5.67 | 5.17 | $38,809,579,831 | 7.21 | 5.36 | $122,823,043,311 |
| 5.0 | 9.45 | 7.25 | $101,667,203,413 | 7.47 | 6.82 | $325,980,550,011 | 8.65 | 6.57 | $123,274,571,632 |
| 5.5 | 10.3 | 7.68 | $45,208,367,787 | 9.53 | 8.38 | $455,360,049,991 | 10.29 | 6.68 | $60,473,635,034 |
| 6.0 | 12.61 | 10.72 | $24,701,301,922 | 11.72 | 12.94 | $279,834,062,688 | 12.2 | 9.06 | $29,032,591,416 |
| 6.5 | 14.83 | 12.12 | $6,280,383,326 | 16.02 | 22.06 | $104,177,608,829 | 15.28 | 11.51 | $6,976,851,449 |
| 7.0 | 15.8 | 14.98 | $1,914,144,911 | 19.84 | 23.33 | $27,382,244,969 | 18.06 | 13.39 | $2,126,493,275 |
| 7.5 | 17.83 | 17.19 | $680,264,071 | 21.26 | 25.88 | $7,176,041,326 | 19.36 | 15.75 | $861,421,078 |
| 8.0 | 18.31 | 19.18 | $232,455,075 | 22.03 | 29.08 | $3,198,769,467 | 20.07 | 18.63 | $270,447,401 |
