December 2, 2015
By Bob Judge
Editor, CPR Report
CPR Report: SBA 7(a) Prepays Back Below 8%
In September, prepays moved back below 8% after one month above that benchmark.
A slight increase in the default element (CDR) was more than offset by a decrease in the voluntary prepayment portion (CRR) last month.
Defaults rose by 11%, but stayed well below CDR 1% and below CDR 2% for the 25th month in a row. Historically, this reading was the 5th lowest on record.
As for voluntary prepayments, they fell by 10%, moving back below CRR 7% after one month above that level.
Turning to the details, overall prepayments fell by 8% to 7.81% from 8.52% the previous month.
In comparing YOY prepayment speeds for this year versus last year, we see that 2015 is currently 0.6% higher than 2014, CPR 7.69% versus CPR 7.64%.
As for the largest sector of the market, 20+ years to maturity, prepayment speeds fell by 6% to 8.11% from 8.66%.
Turning to the CPR breakdown, the CDR increased by 11% to 0.88% while the CRR fell by 10% to 6.94%.
Preliminary data for next month suggests that prepayments will move back above 8% as we move closer to the end of 2015.
Regarding our maturity buckets, prepayment speeds fell in all six categories.
Decreases were seen, by order of magnitude, in the 13-16 year sector (-37% to CPR 2.84%), 16-20 (-26% to CPR 7.20%), <8 (-17% to CPR 7.38%), 8-10 (-9% to CPR 9.73%), 10-13 (-8% to CPR 7.28%) and 20+ (-6% to CPR 8.11%).
While this month provided a break from 8% + prepayment speeds, expect them to become commonplace as voluntary prepayments continue to trend higher.
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