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CPR Report: Actual 7(a) Prepays Dip Below 15%

June 6, 2018

CPR Report: Actual 7(a) Prepays Dip Below 15%

By Bob Judge
Editor, CPR Report

In April, total prepays, including paid excess principal (ACPR), came in at 14.69%, a 5% decrease from last month’s reading of 15.47%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 12.72%, down 4% from the previous reading of 13.20%.

Underlying loan level CPRs (LCPR) came in at 14.11%, also up 4% from the prior level of 14.66%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 15.05%, a decrease of 8% from the previous reading of 16.28%. The CCPR came in at 13.31% versus 14.07% and the LCPR recorded 14.78%, down from 15.64%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 1.58%, pool corrected (CCDR) was 1.37% and the loan-level (LCDR) was 1.52%.

As for the CRR, they came is as follows: ACRR: 13.11%, CCRR: 11.36%, LCRR: 12.60%.

Regarding our maturity buckets, we saw 4 out of 7 buckets increase.

By order of magnitude, increases were seen in the actual data in 13-16 (+48% to ACPR 23.01%), <8 (+35% to ACPR 22.29%), 16-20 (+19% to ACPR 12.39%) and Fixed (+16% to ACPR 13.75%).

Decreases, also by order of magnitude, were seen in 8-10 (-18% to 14.75%), 20+ (-8% to ACPR 15.05%) and 10-13 (-4% to ACPR 13.53%).

As for the CCPR, we also saw 4 buckets increase, with the largest one being 13-16 (+50% to CCPR 20.42%), <8 (+27% to CCPR 17.02%), Fixed (+24% to CCPR 13.15%) and 16-20 (+12% to CCPR 10.64%).

The 3 buckets that decreased were 8-10 (-12% to CCPR 12.45%), 20+ (-5% to CCPR 13.31%) and 10-13 (-4.5% to CCPR 11.12%).

Lastly, for the LCPR, we also witnessed 4 increases, led by 13-16 (+48% to LCPR 22.12%), <8 (+27% to LCPR 19.11%), Fixed (+24% to LCPR 13.95%) and 16-20 (+12% to LCPR 12.55%).

The 3 loan buckets that decreased were 8-10 (-13% to LCPR 13.84%), 20+ (-6% to LCPR 14.78%) and 10-13 (-5% to LCPR 12.26%).

While this month went below 15%, all evidence points to next month’s print exceeding 18%, again led by rising voluntary prepayments.

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