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CPR Report: Actual SBA 7(a) Prepays Fall Below 15%

November 29, 2018

By Bob Judge
Editor, CPR Report

CPR Report: Actual SBA 7(a) Prepays Fall Below 15%

“While this month suggests an easing in prepayment speeds, don’t be fooled. Next month’s reading is expected to approach 20%.”

In October, total prepays, including paid excess principal (ACPR), came in at 14.44%, a 24% decrease from last month’s reading of 18.85%.

After correcting for the excess principal being released from the MRF, pool prepays (CCPR) came in at 12.77%, down 23% from the previous reading of 16.61%.

Underlying loan level CPRs (LCPR) came in at 14.10%, also down 23% from the prior level of 18.31%.

As for the largest sector in the market, 20+ years to maturity, the ACPR came in at 14.36%, a decrease of 30% from the previous reading of 20.54%. The CCPR came in at 12.99% versus 18.38% and the LCPR recorded 14.36%, down from 20.27%, previously.

The CDR calculations came out as follows:

Including excess (ACDR) was 2.07%, pool corrected (CCDR) was 1.83% and the loan-level (LCDR) was 2.02%.

As for the CRR, they came is as follows: ACRR: 12.37%, CCRR: 10.94%, LCRR: 12.08%.

Regarding our maturity buckets, we saw 5 out of 7 buckets decrease.

By order of magnitude, decreases were seen in the actual data in 13-16 (-63% to ACPR 9.10%), 20+ (-30% to ACPR 14.36%), 8-10 (-17% to ACPR 10.93%), 16-20 (-6% to ACPR 17.40%) and 10-13 (-5% to ACPR 14.89%).

Increases were seen in Fixed (+243% to ACPR 9.54%) and <8 (+32% to ACPR 19.01%).

As for the CCPR, we saw 5 buckets decrease, with the largest one being: 13-16 (-64% to CCPR 8.25%), 20+ (-29% to CCPR 12.99%), 8-10 (-10% to CCPR 9.71%), 10-13 (-5% to CCPR 12.57%) and 16-20 (-1% to CCPR 15.23%).

Increases were seen in Fixed (+186% to CCPR 7.57%) and <8 (+58% to CCPR 15.65%).

Lastly, for the LCPR, we also witnessed 5 decreases, led by 13-16 (-64% to LCPR 8.87%), 20+ (-29% to LCPR 14.36%), 8-10 (-11% to LCPR 10.36%), 10-13 (-5% to LCPR 13.81%) and 16-20 (-1% to LCPR 18.01%).

Increases were seen in Fixed (+186% to LCPR 8.02%) and <8 (+56% to LCPR 17.48%).

While this month suggests an easing in prepayment speeds, don’t be fooled. Next month’s reading is expected to approach 20%.

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