Prepayments on CMBS rose to 2.2% CPR in August from 1.7% in July, according to Bank of America's $218 billion universe of 413 transactions. Speeds for 1997-2000 vintages rose significantly --up 73%, 112%, 17%, and 33%, respectively-- over the month, but were tempered by a 36% decline in 1996 and 17% in 1995 deals. Over the past 12 months, speeds were up 15.4% to 1.5% CPR, led primarily by 2000 and 1997 vintages that were up 15% and 20%, respectively.
Within the sector, the month of August saw 45.7% of the office loan pool prepay, led by the $250 million Grand Central Plaza property in New York, which accounted for 59% of the office total for the month. Lodging, retail, and multifamily loans accounted for 44% of the total.
Lehman Brothers notes that for the first six months of 2001, the entire CMBS universe had CPR peak at 1.2%, and for loans in their yield maintenance period the peak was 5.8% CPR. Looking ahead, Lehman expects prepayments to pick up. 1997 vintages will reach the end of their lockout period, and loans backing those transactions in their yield maintenance and fixed penalty period will see prepayment speeds increase. And with the yields on 10-year treasuries substantially lower, older transactions that still maintain high property valuation will look to refinance as well.