June 10, 2013
The increase was based on slight increases in both defaults and voluntary prepayments.
As for the detail, overall prepayments rose 5.17% to 5.86% from 5.57% in March.
In comparing prepayment speeds for the first month of 2013 to the same period in 2012, we see that this year continues to run 25% ahead of 2012, with YTD CPRs at 6.67% versus 5.33%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 5.47% to 5.19% from 4.92% in March.
Turning to the CPR breakdown, the default CPR rose by 10% to 2.28% from 2.07%. This reading continues a ten month string of sub-3% readings for defaults.