Amid the fallout of the cyberattack against Mr. Cooper on October 31st was an inability on the large servicer’s part to report prepayment activity to investors.
According to Freddie Mac, the incident “resulted in [Mr. Cooper’s] shutting down certain systems as a precautionary measure. As a result, Freddie Mac did not receive loan activity reporting, which includes loan payoffs and payment corrections, from Mr. Cooper during the last few days of the reporting period related to October loan activity.”
Owing to Mr. Cooper’s size, were curious to measure what (if any) impact its missing days of reporting might have on overall agency speeds.
Not a whole lot, it turns out.
This came as little surprise given the very low prepayment environment in which we find ourselves, but we wanted to run the numbers to be sure. Here is what we found.
We do not know precisely how much reporting was missed and assumed “the last few days of the reporting period” to mean 3 days.
Assuming 3 days means that Mr. Cooper’s reported speeds of 4.5 CPR to Freddie and 4.6 CPR to Fannie likely should have been 5.2 CPR and 5.4 CPR, respectively. While these differences are relatively small for to Mr. Cooper’s portfolio (less than 1 CPR) the impact on overall Agency speeds is downright trivial — less than 0.05 CPR.
| Fannie MBS | Freddie MBS | |
| Sch. Bal. | 195,221,550,383 | 168,711,346,228 |
| CPR (reported) | 4.6 | 4.5 |
| CPR (estimated*) | 5.4 | 5.2 |
Fannie Mae and Freddie Mac will distribute scheduled principal and interest when servicers do not report the loan activity. Prepayments that were not reported “will be distributed to MBS certificateholders on the first distribution date that follows our receipt and reconciliation of the required prepayment information from Mr. Cooper.”
