January 24, 2020

By Bob Judge
Editor, CPR Report

CPR Report: Actual 7(a) Prepays Back Above 18%

In November, total prepays, including paid excess principal

(ACPR), came in at 18.40%, a 7% increase from last month’s reading of 17.25%. After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 16.78%, up 7% from the previous reading of 15.71%. Underlying loan level CPRs (LCPR) came in at 18.13%, also

up 7% from the prior level of 16.98%. As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 20.47%, an increase of 12% from the previous reading of 18.20%. The CCPR came in at 18.90% versus 16.89% and the LCPR recorded 20.50%, up from 18.34%, previously. Regarding our maturity buckets, we saw 4 out of 7 buckets decrease.

After one month below 18%, we are right back above that important benchmark.

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