January 27, 2015
By Bob Judge
Editor, CPR Report
In November, prepays rose above 8% for the first time in three months, increasing 17% from October.
As to the cause, we saw a double-digit decrease in both defaults and voluntary prepayments.
Defaults, although rising by 13%, stayed below 2% for the 15th month in a row. Historically, this reading was the 14th lowest since 1999.
As for voluntary prepayments, they rose above 7% for the first time since September, 2008.
As for the detail, overall prepayments rose 17% to 8.96% from 7.69% in October.
In comparing prepayment speeds for the first eleven months of 2014 to the same period in 2013, we see that this year is running 8.52% ahead of last year, 7.77% versus 7.16%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 18% to 8.69% from 7.39%.
Turning to the CPR breakdown, the default CPR increased by 13% to 1.60% while the voluntary prepayment CPR rose by 17% to 7.36%.
Preliminary data for next month suggests that prepayments will fall back below 7% for the first time in five months.
Turning to our maturity buckets, prepayment speeds rose in four out of six categories.
Increases were seen, by order of magnitude, in the 13-16 year sector (+241% to CPR 8.35%), 16-20 (+80% to CPR 10.10%), 8-10 (+39% to CPR 12.80%) and 20+ (+18% to CPR 8.69%).
Decreases were seen, also by order of magnitude, in <8 (-16% to CPR 10.01%) and 10-13 (-1% to CPR 9.02%). As we near the end of 2014, voluntary prepayments are definitely beginning to push higher, taking overall CPRs with them. Read the CPR Report