March 26, 2014
By Bob Judge
Editor, CPR Report
This reading represents the first one over 8% since last August, and with this print, have matched the number of +8% monthly CPRs we saw all of last year.
Defaults continue to remain low, as January represents the fifth month in a row of sub 2% default CPRs. On the flip side, the voluntary prepay CPR remained above 5% for the eighth month in a row.
As for the detail, overall prepayments rose 24% to 8.09% from 6.50% in December. In comparing prepayment speeds for the first month of 2014 to the same period in 2013, we see that this year is running 3.22% ahead of last year, 8.09% versus 7.84%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 31% to 7.43% from 5.67% in December.
Turning to the CPR breakdown, the default CPR rose by 11% to 1.44% from 1.29%. This level represents the 4th lowest since September, 1999 when our records began.
Regarding voluntary prepayments, they rose by 28%, coming in at 6.65% versus 5.21% in December.
Preliminary data for next month suggests that prepayments should come in very close to this month, with a second month in a row of +8% prepayments as we begin 2014.
Turning to the default/ voluntary prepayment breakdown, the Voluntary Prepay CPR (green line) rose to 6.65% from 5.21%, a 28% increase.
While the VCPR rose back above 6%, the Default CPR (red line) increased by 12% to 1.44% from 1.29% the previous month.
Prepayment speeds rose in four out of six maturity categories. Increases were seen, by order of magnitude, in the <8 year sector (+124% to CPR 14.36%), 8-10 (+67% to CPR 11.74%), 20+ (+31% to 7.43%) and 10-13 (+21% to CPR 9.87%).
Decreases were seen, also by order of magnitude, in the 13- 16 year sector (-51% to CPR 2.59%) and 16-20 (-27% to CPR 7.28%).
While its still early in 2014, it looks like prepayment speeds may increase by single-digit percentages this year.