August 29, 2016
CPR Report: 7(a) Prepays Down, But Stay Above 8%
By Bob Judge
Editor, CPR Report
In June, prepays fell by 7%, but stayed above CPR 8% for the third month in a row.
A fall in both defaults (CDR) and voluntary prepayments (CRR) was the cause of the decrease.
Specifically, defaults fell by 29% while voluntary prepayments moved down by 3%.
For the record, defaults have remained below CDR 2% for 34 months in a row.
Turning to the details, overall prepayments fell by 7% to 8.16% from 8.74% the previous month.
In comparing YOY prepayment speeds for 2016 versus 2015, the YTD is currently 2.54% higher than last year, CPR 7.68% versus CPR 7.49%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds fell by 2% to 8.55% from 8.70%.
Regarding the CPR breakdown, the CDR decreased to 0.91% from 1.29% while the CRR fell to 7.26% from 7.45%.
Preliminary data for next month suggests that prepayments will stay above 8% for a fourth month in a row.
Regarding our maturity buckets, prepayment speeds fell in three out of six categories.
Decreases were seen in the <8 year sector (-69% to CPR 5.71%), 10-13 (-26% to CPR 6.82%) and 20+ (-2% to CPR 8.55%).
Increases were seen, by order of magnitude, in the 13-16 year sector (+108% to CPR 1.93%), 16-20 (+44% to CPR 9.91%) and 8-10 (+39% to CPR 13.10%).
This month offers continued evidence that prepayments have reached the 8% to 9% range.