This paper provides an overview of the average CPR and CDR1 in Europe on a quarterly2 basis for the past year for various ABS and RMBS asset types across seven European countries.
This study covers all asset types with at least 10 outstanding transactions and accesssbile performance reports which equated to 506 deals in total. CPR and CDR rates were calculated based on reported prepayment and default balances if the percent values are not available. The metrics are calculated using an average of these deals’ performance over each quarter weighted by the outstanding balance of their collateral pools.
European Countries CPR and CDR Breakdown
Table 1: European Countries Quarterly Average CPR and CDR
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1 The CPR and CDR are the annualized Constant Prepayment Rate and the Constant Default Rate of the transactions.
2 The data used in this report is incorporated to the each quarterly number as per their reported date and is extracted from the public investor reports of each transaction.
3 Q1-2023 refers to the period starting from the 1st of January to 31st of March 2023. All data used in this table were reported during that period.
4 BTL stands for Buy-to-Let
5 NHG stands for “Nationale Hypotheek Garantie” and refers to the public mortgage loan insurance scheme in the Netherlands protecting borrowers from any residual debt after a foreclosure following a default on their mortgage loan.
6 NC stands for Non-Conforming