CPR (Constant Prepayment Rate)

Annualised measure of the percentage of outstanding principal prepaid in excess of scheduled amortisation. Monthly equivalent: SMM = 1 − (1 − CPR)^(1/12). High CPR shortens pool life and compresses investor yield.

Loss Rate

Net credit losses as a percentage of average pool balance. Gross loss rate = charge-offs / average balance; Net loss rate subtracts recoveries.

Recovery Rate

The proportion of a defaulted loan balance ultimately collected. Secured consumer auto: 50–65%; unsecured consumer: 5–20%; equipment: 40–60%.

DPD (Days Past Due)

The number of calendar days since a scheduled payment was due but not received. 30–59 DPD: early delinquency; 60–89 DPD: serious delinquency; 90+ DPD: default in most consumer pools.