FHFA Prepayment and Issuance Reports–Powered by RiskSpan

Last month, the Federal Housing Finance Agency’s (FHFA) Division of Conservatorship published An Update on the Single Security Initiative and the Common Securitization Platform.  This report features several vintage and prepayment reports generated by RiskSpan’s RS Edge platform. Each month RiskSpan uses this platform to generate a wide range of prepayment and issuance reports for the FHFA using the Fannie Mae and Freddie Mac MBS pool- and loan-level data.

Here are descriptions and the most recent examples of each of these reports.

Report A: Annual Vintage Prepayment Comparison    

This report shows historical prepayment speeds by vintage and coupon for all 30-year TBA (To Be Announced) cohorts with an outstanding balance (Fannie Mae + Freddie Mac) greater than $10 billion. Fannie and Freddie speeds are broken out.

For the three largest cohorts (3%, 3.5%, and 4%, all vintages), Fannie Mae pools consistently prepaid faster than comparable Freddie Mac pools in December 2017 by an average of 0.3%.

Report B: Annual Vintage Comparison by Issuer

This report uses the same coupon/vintage cohorts as Report A, but divides the universe into the twenty largest issuers ranked based by the current month’s 30-year TBA issuance.

Fannie 3.5% and 4% pools issued by Chase have prepaid noticeable faster (0.8% and 1.1% respectively) than Freddie pools over the past three months

Report C: Decile Analysis

Prepayment speeds from the most recent twelve months are broken out by coupon and GSE. The monthly CPRs are then rank-ordered and arranged into deciles. This report only uses data for 30-year TBA pools.

Although the first decile (fastest 10% of the pools for a coupon) prepay much faster than the other deciles in any month, it is interesting to see how quickly the gap narrows for the multi-period CPRs. For example, in January 2018 the first decile paid 15.2% CPR faster than the second decile. However, the difference for the three-month CPR narrowed to 4.9% and the six-month CPR gap was only 2.2%.

Report D: Prepayment Charts

Using the coupon/vintage cohorts from Report A, historical speeds are plotted for each cohort and GSE.

Although there are some slight differences in the prepayment rates between Fannie and Freddie for 2017 vintage pools, speeds for other vintages are nearly identical.

Report E: Origination Comparison

This report analyzes origination characteristics by coupon and GSE. The totals shown are for the preceding three months and are further broken out by 30-year and 15-year TBAs.

When it comes to total 30-year issuance, the most striking difference between Fannie and Freddie is with the percentage of loans being made to borrowers with FICO scores under 680. While these low-FICO borrowers accounted for 12% of Fannie issuance, only 8% of Freddie’s issuance went to this group.

Report F: Origination Comparison by Issuer

This report analyzes the same characteristics as Report E, but at the issuer level. The report shows the volume for each of the twenty largest issuers during the three-month window.

US Bank is unusual in that almost 62% of its 30-year issuance is with Freddie Mac. Likewise, there are some material differences between its Fannie and Freddie securities.

o   US Bank’s Fannie loans carry a significantly higher weighted average note rate (4.41%) than its Freddie loans (4.24%) – a 17 bps difference.

o   Whereas 11% of US Bank’s Fannie loans had low FICO scores (below 680) and high LTV ratios (above 80%), this was true of only 3% of US Bank’s Freddie loans.

o   Conversely, just 1% of the bank’s Fannie loans were for investment properties, compared with 6% of the bank’s Freddie loans.

Report G: Origination Summary

This report summarizes Report F showing the 30-year and 15-year TBA totals by GSE for each of the 20 largest issuers.

This report highlights the dominance of Wells Fargo, even among the largest issuers. Wells Fargo’s Fannie volume, 34% of the top-twenty total, is more than twice that of the next largest issuer (Quicken).

Report H: Servicer Comparison

This report analyzes the prepayment rates by GSE and coupon broken out by issuance half-year (e.g., 2017 H2 or 2017 H1) for the twenty largest servicers, as well as everyone else. The servicers are ranked based on the outstanding balance of all 30-year TBA coupons. Coupons meeting the $10 billion (Fannie + Freddie) outstanding balance threshold are shown. The report considers only the last seven years of issuance.

By narrowing the origination window to six months, those servicers with demonstrably faster or slower prepayments become more apparent.

o   For the 2017 H1 vintage, Bank of America, Provident Funding, Caliber, and Nationstar experienced faster-than-average prepayments.

o   For the same cohort, BB&T, Wells Fargo, and PennyMac are at the slow end of the spectrum.