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.
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.