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CPR Report: Actual 7(a) Prepays Go Below 18%

December 30, 2019

By Bob Judge
Editor, CPR Report

CPR Report: Actual 7(a) Prepays Go Below 18%

In October, total prepays, including paid excess principal (ACPR), came in at 17.25%, a 5% decrease from last month’s reading of 18.20%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 15.71%, down 4% from the previous reading of 16.39%.

Underlying loan level CPRs (LCPR) came in at 16.98%, also down 4% from the prior level of 17.72%

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 18.20%, a decrease of 2% from the previous reading of 18.56%. The CCPR came in at 16.89% versus 16.98% and the LCPR recorded 18.34%, down from 18.43%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 3.61%, pool corrected (CCDR) was 3.29% and the loan-level (LCDR) was 3.55%.

As for the CRR, they came is as follows:

ACRR: 13.64%, CCRR: 12.42%, LCRR: 13.43%.

Regarding our maturity buckets, we saw 6 out of 7 buckets decrease.

By order of magnitude, decreases were seen in the actual data in Fixed (-35% to ACPR 8.26%), 16-20 (-28% to ACPR 20.65%), 8-10 (-28% to ACPR 10.29%), 13-16 (-12% to ACPR 10.40%), 10-13 (-8% to ACPR 16.12%) and 20+ (-2% to ACPR 18.20%).

Increases were seen in: <8 (+158% to ACPR 40.56%). As for the CCPR, decreases were seen in: Fixed (-36% to CCPR 8.00%), 8-10 (-29% to CCPR 9.70%), 16-20 (-26% to CCPR 16.35%), 13-16 (-16% to CCPR 9.89%), 10-13 (-9% to CCPR 14.09%) and 20+ (-1% to CCPR 16.89%).

Increases were seen in: <8 (+198% to CCPR 37.20%). Lastly, for the LCPR, we have: Fixed (-36% to LCPR 8.38%), 8-10 (-29% to LCPR 9.90%), 16-20 (-25% to LCPR 19.15%), 13-16 (-16% to LCPR 10.35%), 10-13 (-9% to LCPR 15.16%) and 20+ (-1% to LCPR 18.34%).

Increases were seen in: <8 (+193% to LCPR 40.23%). With results similar to the last few months, expect more of the same for the rest of the year.

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For further information on the terminology and concepts used in this article, please refer to the “Glossary and Definitions” at the end of the report.

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