CPR Report: Actual 7(a) Prepays Go Back Above 16%
February 20, 2019
By Bob Judge
Editor, CPR Report
CPR Report: Actual 7(a) Prepays Go Back Above 16%
In January, total prepays, including paid excess principal (ACPR), came in at 16.38%, a 14% increase from last month’s reading of 14.36%.
After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 14.45%, up 17% from the previous reading of 12.35%.
Underlying loan level CPRs (LCPR) came in at 15.89%, also up 17% from the prior level of 13.61%.
As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 17.81%, an increase of 16% from the previous reading of 15.31%. The CCPR came in at 15.94% versus 13.38% and the LCPR recorded 17.54%, up from 14.76%, previously.
The CDR calculations came out as follows:
Including excess (ACDR) was 1.75%, pool corrected (CCDR) was 1.55% and the loan-level (LCDR) was 1.70%.
As for the CRR, they came is as follows:
ACRR: 14.62%, CCRR: 12.90%, LCRR: 14.19%.
Regarding our maturity buckets, we saw 7 out of 7 buckets increase.
By order of magnitude, increases were seen in the actual data in <8 (+94% to ACPR 21.55%), 13-16 (+76% to ACPR 13.78%), Fixed (+67% to ACPR 13.33%), 16-20 (+29% to ACPR 12.03%), 20+ (+16% to ACPR 17.81%), 8-10 (+6% to ACPR 10.98%) and 10-13 (+4% to ACPR 14.22%).
No decreases were seen in the ACPR last month.
As for the CCPR, we saw 7 buckets increase, with the largest one being: <8 (+142% to CCPR 18.18%), Fixed (+95% to CCPR 12.30%), 13-16 (+83% to CCPR 11.87%), 16-20 (+34% to CCPR 10.78%), 20+ (+19% to CCPR 15.94%), 10-13 (+6% to CCPR 12.07%) and 8-10 (+6% to CCPR 9.70%).
Also no decreases were seen in the CCPR last month. Lastly, for the LCPR, we also witnessed 7 increases, led by <8 (+141% to LCPR 20.25%), Fixed (+95% to LCPR 13.00%), 13-16 (+82% to LCPR 12.67%), 16-20 (+33% to LCPR 12.80%), 20+ (+19% to LCPR 17.54%), 10-13 (+6% to LCPR 13.25%), and 8-10 (+6% to LCPR 10.19%).
No decreases were seen in the LCPR last month. As for next month, expect a reading similar to December.