August 11, 2015
By Bob Judge
Editor, CPR Report
In May, prepays moved above 8% for the first time since January of this year.
The make-up of the increase was a large percentage rise in the default CPR combined with a smaller increase in the prepayment element.
Defaults rose by 62%, but stayed below 2% for the 21st month in a row. Historically, this reading was the 21st lowest since 1999.
As for voluntary prepayments, they rose above 7% for the first time since January of this year.
Turning to the details, overall prepayments rose by 22% to 8.78% from 7.18% the previous month.
In comparing YOY prepayment speeds for this year versus last year, we see that 2015 is currently 0.13% lower than 2014, CPR 7.58% versus CPR 7.59%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 27% to 8.23% from 6.47%.
Turning to the CPR breakdown, the default CPR increased by 62% to 1.69% and the voluntary prepayment CPR rose by 16% to 7.10%.
Preliminary data for next month suggests that prepayments will move back closer to 7% as we end the 1st half of 2015.
Regarding our maturity buckets, prepayment speeds rose in three out of six categories.
Increases were seen, by order of magnitude, in the 16-20 year sector (+56% to CPR 11.09%), 20+ (+27% to CPR 8.23%) and 10-13 (+26% to CPR 9.63%).
Decreases were seen, also by order of magnitude, in the 8-10 year sector (-32% to CPR 11.53%), 13-16 (-18% to CPR 6.10%) and
As we prepare to enter the second half of 2015, prepayments look a lot like last year, but I wouldn’t be surprised to see them move above 2014 at some point in the third quarter.