July 7, 2015
by Bob Judge
Editor, CPR Report
Preliminary data for next month suggests that prepayments will rise above 8% for the first time since January.
In April, prepays moved back above 7% after two months below that benchmark.
The makeup of the increase was a slight decrease in the default CPR combined with a larger increase in the prepayment element. Defaults fell by 16% and stayed below 2% for the 20th month in a row. Historically, this reading was the 4th lowest since 1999.
As for voluntary prepayments, they rose back above 6% for the first time in three months. Turning to the details, overall prepayments rose by 9% to 7.18% from 6.58% in March.
In comparing YOY prepayment speeds for this year versus last year, we see that 2015 is currently 2.07% lower than 2014, CPR 7.27% versus CPR 7.42%.
As for the largest sector of the market, 20+ years to maturity prepayment speeds rose by 6% to 6.47% from 6.12%. As for the CPR breakdown, the default CPR decreased by 16% to 1.04% and the voluntary prepayment CPR rose by 15% to 6.13%.
Regarding our maturity buckets, prepayment speeds rose in five out of six categories. Increases were seen, by order of magnitude, in the 13-16 year sector (+162% to CPR 7.44%), 8-10 (+110% to CPR 17.03%),
As we enter the second quarter of 2015, we see prepayments beginning to move higher, after a first quarter of moderate speeds.