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CPR Report — Actual 7(a) Prepays Crest 15%

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May 18, 2018

CPR Report — Actual 7(a) Prepays Crest 15%

By Bob Judge
Editor, CPR Report

In April, total prepays, including paid excess principal (ACPR), came in at 15.47%, a 29% increase from last month’s reading of 11.96%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 13.20%, up 27% from the previous reading of 10.39%.

Underlying loan level CPRs (LCPR) came in at 14.66%, also up 27% from the prior level of 11.57%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 16.28%, an increase of 36% from the previous reading of 12%. The CCPR came in at 14.07% versus 10.73% and the LCPR recorded 15.64%, up from 11.96%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 2.53%, pool corrected (CCDR) was 2.16% and the loan-level (LCDR) was 2.40%.

As for the CRR, they came is as follows:

ACRR: 12.93%, CCRR: 11.04%, LCRR: 12.26%.

Regarding our maturity buckets, we saw 5 out of 7 buckets increase.

By order of magnitude, increases were seen in the actual data in 13-16 (+113% to ACPR 15.50%), Fixed (+76% to ACPR 11.87%), 20+ (+36% to ACPR 16.28%), 10-13 (+23% to ACPR 14.15%) and 8-10 (+14% to ACPR 17.89%).

Decreases, also by order of magnitude, were seen in 16-20 (-29% to ACPR 10.43%) and <8 (-26% to ACPR 16.52%).

As for the CCPR, we also saw 5 buckets increase, with the largest one being 13-16 (+115% to CCPR 13.64%), Fixed (+79% to CCPR 10.59%), 20+ (+31% to CCPR 14.07%), 10-13 (+23% to CCPR 11.65%) and 8-10 (+17% to CCPR 14.20%).

The 2 buckets that decreased were <8 (-32% to CCPR 13.37%) and 16-20 (-23% to CCPR 9.46%).

Lastly, for the LCPR, we also witnessed 5 increases, led by 13- 16 (+114% to LCPR 14.90%), Fixed (+78% to LCPR 11.24%), 20+ (+31% to LCPR 15.64%), 10-13 (+23% to LCPR 12.86%) and 8-10 (+16% to LCPR 15.83%).

The 2 loan buckets that decreased were <8 (-32% to LCPR 15.11%) and 16-20 (-22% to LCPR 11.17%).

Now that prepayments have risen above 15%, I would expect more such prints in the future…

Download the CPR Report — Actual 7(a) Prepays Crest 15%

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