Agency prepayments
UMBS · Fannie Mae · Freddie Mac
UMBS 30yr speeds by coupon
1-month CPR, this month vs last month. Under each coupon: change in CPR, then % change. Hover a bar for balance and multi-month CPRs.
Coupon aggregates
TBA-deliverable FN + FH collateral. CCR is the curtailment CPR. Click a coupon to open its origination-year breakdown.
Prepayments by coupon and origination year
Shaded cells scale with CPR. The highlighted row in each coupon is the coupon aggregate. Click any row to chart its 13-month history.
Cohort history
1-month CPR for the selected cohort against its coupon aggregate. Bars show balance outstanding ($bn).
Spec pool speeds relative to non-spec
UMBS 30yr. Each cell is spec CPR ÷ non-spec CPR for the same coupon (and vintage, when one is picked). Blue is slower than TBA, orange faster. Click a cell to chart it.
Spec vs non-spec history
1-month CPR, 13 months.
Servicer speed ranking
Servicers within a cohort
3-month CPR ratio to all servicers in the same coupon and vintage, so coupon mix doesn't distort the comparison.
Retail vs third-party origination
1-month CPR split by origination channel for the selected servicer. Click a servicer in the ranking to change it.
UMBS 30yr S-curves
1-month CPR by refi incentive (WAC minus lagged primary rate, 25bp buckets), loans aged 6–24 months. Pick a pre-canned comparison; every view is pre-calculated at publish.
Speeds and curtailments by WAC and loan age
Latest month, UMBS 30yr, 25bp WAC buckets (upper bound). Left value is CPR, right value is curtailment CPR.
State speeds relative to the nation
UMBS 30yr, 3-month CPR ÷ national 3-month CPR for the same coupon and vintage selection. States under $100mm are left blank.
State table
Largest 25 states by balance for the selected coupon and vintage. Click a header to sort.
Freddie ÷ Fannie 3-month CPR
30yr TBA-deliverable cohorts with at least $1bn in both programs, so only significant relationships show. Outlined cells are cohorts over $10bn combined. Values above 1.0 mean Freddie is paying faster, which matters for UMBS cheapest-to-deliver.
Methodology
- Data. Fannie Mae and Freddie Mac monthly loan-level MBS disclosures, loaded into RiskSpan's agency loan table and aggregated into additive cohort cubes. Speeds for the activity month use the following month's factor date.
- Speeds. SMM = (scheduled balance − current balance) ÷ scheduled balance, summed over all loans in the cohort; CPR = 1 − (1 − SMM)12. Multi-month CPRs compound the monthly SMMs. Speeds are not daycount adjusted unless stated.
- Curtailments (CCR). Curtailment amount ÷ scheduled balance, annualised the same way.
- UMBS. FN + FH 30, 20 and 15-year TBA-deliverable collateral, excluding jumbo, reperforming, high-LTV refinance and relocation pools. Spec types follow RiskSpan's origination spec-pool classification.
- Refi incentive. Loan WAC minus the lagged primary mortgage rate, in basis points.
- Ratios. Spec, servicer and state ratios divide the group's CPR by the comparable aggregate for the same coupon (and vintage, where shown).
Disclosures
Placeholder. Compliance to supply the standard RiskSpan research disclosures before external distribution.