Off 2012 Low, 7(a) CPR’s Rise 37%

In November, prepays bounced off 2012 lows, rising above CPR 6% for the third time this year.

As for the detail, prepayments rose 37% to 6.24% from 4.52%, creating a new 2012 high. The previous high was 6.20% seen in January.

In comparing prepayment speeds for the first eleven months of 2012 to the same period for 2011, 2012 is currently spot on with last year. Both years show a 5.54%YTD CPR for all outstanding pools. Next month will decide the winner.

As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 52% to 5.56% from 3.67%. Turning to the CPR breakdown, the default CPR rose by 46% to 2.26% from the 12-year low of 1.54% last month. While on a percentage basis this increase seems high, one must remember that it comes off an extremely low reading in October.

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