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February Payoff Report: Percentage of Loans Paying at Maturity Dips Again

The percentage of loans paying off on their balloon date was 68.8% in February. This was the third straight month in which the rate declined. The payoff rate was 71.3% in January, 76.5% in December, and 81.3% in November. The latter was the highest rate in the last five years. (Trepp began measuring this statistic in August 2008.) The February payoff percentage is the same as the 12-month moving average of 68.8%. This number sums the averages of each month and divides by 12–there was no balance weighting across the months.

By loan count (as opposed to balance), 74.6% of loans paid off in February. This was an increase from a rate of 63.2% on this basis in January. The 12-month rolling average by loan count is now 70.1%.

Listed below is the data for the last 67 months. The second column shows the percentage of loans (by balance) that paid off in the month of the maturity date. The third and fourth column contain the percentages that paid off (again by balance) after three months and six months, respectively. (After three 3 months, the percentage of loans that payoff really starts to level off.) In the last column is the percentage of loans, by count, that paid off in the balloon month.


This statistic was developed for the purpose of honing extension scenario assumptions. The analysis looks only at loans that have gotten all the way to their balloon date without having prepaid or defeased. If a loan paid off or defeased in the months prior to maturity (one month, five months, fifty months–it doesn’t matter), it is not part of the percentages above. The table only contains data on loans that survive to their balloon date.

Again, since so much attention was and is being paid to the extension trade, we were aiming for a measure of what percentage of loans would fail to payoff. Hopefully the data above will allow investors to refine their expected extension scenarios–particularly for IOs and first pay bonds. With regard to our methodology, we exclude a whole host of loans from the analysis.

The pool counts only fixed rate, US conduit loans (no floaters). All defeased loans are excluded. All ARD loans (anticipated repayment date) are also excluded, as the borrower is permitted to extend these loans for many years without triggering a default. Any loan that is delinquent going into the month that it is slated to payoff in is not included in the results. With regard to the last point, we wanted to measure only the loans that were “clean” going into the balloon month so that we could isolate the percentage of loans that were extending due to an inability to obtain refinancing rather than ongoing cash flow issues.

Compliments of Trepp, LLC – a EACCNY member