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