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CPR Report: Actual 7(a) Prepays Decrease

June 19, 2020

CPR Report: Actual 7(a) Prepays Decrease

By Bob Judge
Editor, CPR Report

In May, total prepays, including paid excess principal (ACPR), came in at 12.13%, a .11% increase from last month’s reading of 12.12%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 11.13%, up 2% from the previous reading of 10.94%.

Underlying loan level CPRs (LCPR) came in at 12.09%, up 2% from the prior level of 11.88%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 11.96%, a decrease of 6% from the previous reading of 12.74%. The CCPR came in at 11.11% versus 11.60% and the LCPR recorded 12.10%, down from 12.63%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 2.91%, pool corrected (CCDR) was 2.67% and the loan-level (LCDR) was 2.90%.

As for the CRR, they came is as follows:

ACRR: 9.22%, CCRR: 8.46%, LCRR: 9.19%. Regarding our maturity buckets, we saw 5 out of 7 buckets increase.

By order of magnitude, increases were seen in the actual data in 16-20 (+71% to ACPR 18.21%), Fixed (+47% to ACPR 18.24%), <8 (+20% to ACPR 14.43%), 13-16 (+10% to ACPR 12.00%) and 10-13 (+7% to ACPR 12.14%). Decreases were seen in: 20+(-6% to ACPR 11.96%) and 8-10 (-3% to ACPR 9.80%). As for the CCPR, increases were seen in: 16-20 (+93% to CCPR 16.66%), Fixed (+46% to CCPR 17.77%), <8 (+24% to CCPR 12.79%), 13-16 (+18% to CCPR 11.31%) and 10-13 (+7% to CCPR 10.75%).

Decreases were seen in: 20+(-4% to CCPR 11.11%) and 8-10 (-2% to CCPR 9.47%) Lastly, for the LCPR, we have: 16-20 (+92% to LCPR 19.59%), Fixed (+46% to LCPR 18.52%), <8 (+24% to LCPR 13.62%), 13-16 (+18% to LCPR 11.75%) and 10-13 (+7% to LCPR 11.70%).

Decreases were seen in: 20+(-4% to LCPR 12.10%) and 8-10 (-2% to LCPR 9.61%). This month was basically a mirror image of last month. Expect a significant decrease next month as the virus’ impact on prepayments is on full display.

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