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This prepayment measure is used mainly with HELs and is indicative of the level of prepayments (anticipated or historical) designated in the deal prospectus. PPC is deal-specific, and deals are normally priced at 100% PPC, with prepayment forecasts expressed as some multiple of 100%. Comparisons among deals can be tricky…

The Public Securities Association originally developed PSA and hence the acronym is sometimes referred to as its namesake. (The Public Securities Association became the Bond Market Association and is now known as the Securities Industry Financial Market Association or SIFMA). PSA is a prepayment benchmark based on CPR (Conditional Prepayment…

A repayment measure used with non-amortizing assets, such as credit cards and dealer floor-plan receivables which are not subject to prepayments. MPR is calculated by dividing the sum of the interest and principal payments received in a month by the outstanding balance. Rating agencies require every non-amortizing ABS issue to…

Used to denote prepayments on manufactured housing, this prepayment scale has a 24-month seasoning ramp. 100% MHP equals a starting rate of 3.7% CPR, stepping up 0.1% per month, until the 24thmonth where it remains constant at 6% CPR. Similar to PSA, MHP is used in multiples of 100 so…

A prepayment scale (ranging from 0% - 100%) for HELs. The HEP takes into account the faster plateau for HEL prepayments vs. that of traditional mortgages. HEP assumes a 10-month seasoning ramp, with even step-ups, ending at the final HEP percentage in the 10thmonth. The standard HEP is 20% and…

Annualized rate of default on a group of mortgages, usually within a collateralized product such as an MBS. The CDR represents the percentage of the outstanding principal balances in the pool that are in default (usually 60 to 90 days past due and in foreclosure process). CDR is used to…

A measure of prepayment speed in CMBS. A 100% CPY is the equivalent of 0% CPR up to the end of the yield maintenance (YM) period and 100% CPR thereafter.

Similar concept to CPR for prepayments CDR measures the percentage of mortgage loans that default in a pool of mortgages on an annualized basis. However, the actual losses are based on the Loss Severity which estimates the loan principal lost each month to default.

Sometimes referred to as Constant Prepayment Rate. Describes the percentage of the remaining loan balance which is expected to prepay (or has prepaid) above and beyond the scheduled amortization of principal. CPR assumes the unscheduled amount of principal repays at a rate of .2% in the first month, increasing by…

See Absolute Prepayment Speed and/or Asset Backed Security.

Prepayment measure applied to securities backed by auto loans, truck loans, RV loans and auto leases. Unlike CPR, which measures prepayments as a percentage of the current outstanding loan balance, the ABS calculates them as a monthly percentage of the original loan balance.

See Z-spread.