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C-Suite Wednesday — CPR Report: Actual 7(a) Prepays Fall Below 17%

August 29, 2018

By Bob Judge
Editor, CPR Report

C-Suite Wednesday — CPR Report: Actual 7(a) Prepays Fall Below 17%

In July, total prepays, including paid excess principal (ACPR), came in at 16.76%, a 5% decrease from last month’s reading of 17.59%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 14.84%, down 3% from the previous reading of 15.35%.

Underlying loan level CPRs (LCPR) came in at 16.42%, also down 3% from the prior level of 17.00%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 16.79%, a decrease of 6% from the previous reading of 17.77%. The CCPR came in at 15.25% versus 15.54% and the LCPR recorded 16.89%, down from 17.23%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 2.18%, pool corrected (CCDR) was 1.93% and the loan-level (LCDR) was 2.13%.

As for the CRR, they came is as follows:

ACRR: 14.58%, CCRR: 12.91%, LCRR: 14.28%.

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

By order of magnitude, decreases were seen in the actual data in 13-16 (-46% to ACPR 13.39%), <8 (-17% to ACPR 21.38%), 20+ (-6% to ACPR 16.79%), 8-10 (-5% to ACPR 18.23%) and 10-13 (-2% to ACPR 16.43%).

Increases were seen in Fixed Rate (+53% to ACPR 16.46%) and 16-20 (+10% to ACPR 19.48%).

As for the CCPR, we saw 6 buckets decrease, with the largest one being 13-16 (-46% to CCPR 11.77%), <8 (-28% to CCPR 15.85%), 8-10 (-6% to CCPR 15.80), 10-13 (-4% to CCPR 13.91%), 20+ (-2% to CCPR 15.25%) and 16-20 (-1% to CCPR 15.31%).

The lone increase was seen in Fixed Rates, rising by 60% to CCPR 16.60%.

Lastly, for the LCPR, we also witnessed 6 decreases, led by 13- 16 (-46% to LCPR 12.71%), <8 (-28% to LCPR 17.86%), 8-10 (-6% to LCPR 17.49%), 10-13 (-4% to LCPR 15.29%), 20+ (-2% to LCPR 16.89%) and 16-20 (-2% to LCPR 18.00%).

The lone increase was also seen in Fixed Rates, rising by 60% to LCPR 17.58%.

While we are off the highs from last month, expect continued mid-double digit prepays well into the future.

Read the full report here!

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