FED FUNDS RATE
3.58%
30-YR MORTGAGE
5.92%
CURRENT CPR
9.9%
CURRENT CDR
2%
Fed Funds Rate vs CPR/CDR — 24 Month Correlation
Source: FRED API (DFF, MORTGAGE30US) | Ginnie Mae Disclosure Data
Key Finding: As Fed funds rate decreased from 5.33% to 3.58% (Q2 2024 → Q1 2026), CPR initially rose (refinancing incentive) then stabilized around 10%. CDR steadily increased from 1.4% to 2.0%, suggesting credit stress independent of rate environment.
Rate Shock Sensitivity — CPR & CDR Impact by Basis Point Change
Interpretation: A 200bp rate cut would increase CPR by 4.2% (massive refinancing wave) while slightly reducing CDR. A 200bp rate increase would decrease CPR by 2.3% but increase CDR by 0.6% (more defaults under payment stress).
Refinancing Incentive Curve — Rate Spread vs Refinance Probability
WAC-to-market spread: positive = borrower has incentive to refinance
Key Insight: Refinancing becomes material at +100bp incentive (35% probability) and reaches saturation around +250bp (78%). Current average WAC of 3.84% against 5.92% market rate gives ~208bp incentive — explaining the elevated CPR environment.