CPR Now Available on ABSPerpetual

Perpetual Corporate Trust

In response to strong investor demand, Perpetual, in collaboration with the Australian Securitisation Forum (ASF) market standards sub-committee and other industry participants, has developed and agreed a methodology to derive a periodic Conditional Prepayment Rate (CPR)  value from the industry standard data set.

CPR is an annualised measure of a pool's principal balance that is estimated to be paid off each period ahead of schedule. The approach taken is intended to reflect both underlying borrower behaviour in addition to structural features of a transaction for RMBS term issues.

Accessing CPR

CPR values are available to Silver subscribers via the below reports:

  • Pool Prepayment Report button on the  Transaction List screen
  • CPR button under the Portfolio Index screen
  • Pool Prepayment Report via the Pool drop down menu
  • Transaction Summary screen
  • Pool Statistics (ZIP file) download via the Transaction Summary screen

The Pool Prepayments Report for Silver Subscribers covers periods dating back to August 2015 and includes key metrics such as:

  • CPR
  • Single Month Mortality (SMM)
  • Opening Pool Balance
  • Closing Pool Balance
  • Principal Collections
  • Scheduled Principal Payment
  • Interest Only Loan Percentage
  • Weighted Average Remaining term
  • Weighted Average Interest Rate

To upgrade your subscription to Silver or for more information, contact us.

This information has been prepared by Perpetual Corporate Trust Limited ABN 99 000 341 533 AFSL/ Australian Credit Licence No. 392673. It is general information only and is intended for wholesale clients only. It is not intended to provide you with financial advice or take into account your objectives, financial situation or needs. To the extent permitted by law, no liability is accepted for any loss or damage as a result of any reliance on this information.