July 18, 2017
CPR Report: 7(a) Prepays Stay Above 9%
By Bob Judge
Editor, CPR Report
In May, prepays fell by 5%, but stayed above CPR 9% for a second month in a row, coming in at CPR 9.06%.
An decrease in both defaults (CDR) and voluntary prepayments (CRR) led to the fall in the CPR.
Specifically, defaults fell by 20% to CDR 1.23% while voluntary prepayments decreased by 3% to CRR 7.83% versus April results.
For the record, defaults have remained below CDR 2% for 45 months in a row.
In comparing YOY prepayment speeds for 2017 versus 2016, this year is running 12% (8.45% vs. 7.58%) above last year after five months.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds fell by 1% to 8.94% from 9.05% previously.
Preliminary data for next month suggests that prepayments will only fall by single digits, but go below 9% for the first time since March.
Regarding our maturity buckets, prepayment speeds fell in five out of six maturity categories.
Decreases were seen, by order of magnitude, in the
The lone increase was seen in 13 -16 (+13% to CPR 18.94%).
While we will get some relief next month from 9% prepay speeds, don’t expect it to last very long as voluntaries continue to hover around 8%.