C-Suite Wednesday: CPR Report — SBA 7(a) Prepays Go Above 8%

June 15, 2016

C-Suite¬†Wednesday: CPR Report — SBA 7(a) Prepays Go Above 8%


By Bob Judge
Editor, CPR Report

BobJudgeIn April, prepays jumped back above CPR 8% for the first time this year.

The cause of this increase was a double-digit rise in both voluntary prepayments (CRR) and defaults (CDR).

Specifically, voluntary prepayments rose by 33% while defaults moved up by 35%.

For the record, defaults have remained below CDR 2% for 32 months in a row.

Turning to the details, overall prepayments rose by 33% to 8.25% from 6.20% the previous month.

In comparing YOY prepayment speeds for 2016 versus 2015, the YTD is currently 0.20% higher than last year, CPR 7.28% versus CPR 7.27%.

As for the largest sector of the market, 20+ years to maturity, prepayment speeds rose by 17% to 7.71% from 6.59%.

Regarding the CPR breakdown, the CDR increased to 1.20% from 0.88% while the CRR rose to 7.05% from 5.32%.

Preliminary data for next month suggests that prepayments will continue to push higher, but stay below 9% as both default and voluntary prepayments move higher.

Regarding our maturity buckets, prepayment speeds rose in all six categories.

Increases were seen, by order of magnitude, in the 16-20 year sector (+108% to CPR 7.62%),

It looks as though the prepayment trend has shifted to one of higher speeds, after recording sub-7% prepays for the past few months.

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