SBA Prepay Commentary
December 2020 SBA Prepayment Speeds
After a fall season of counter-trend prepayment increases, both pool types saw a slight dip in their December speeds. This decline may be due to a combination of typical seasonality for prepayments as well as November having fewer business days. We would expect for speeds to remain low next month due to their historical performance in winter months before they begin to pick up in the spring/summer as the growing availability of the COVID-19 vaccine should increase business confidence.
Equipment loan pools’ prepayments decreased from 12.7 to 11.9 CPR, with results mixed among vintages. Real-estate loan pools also slightly decreased, dropping from 11.5 to 11.0 CPR, their ninth decrease in the last twelve months.
Equipment Loan Pool CPRs
- Changes in prepayments across vintages were mixed.
- The largest decrease was seen by the 2014 vintage, which dropped from 24.6 to 11.7 CPR. The largest increase was seen by the 2019 vintage, which rose from 6.9 to 10.0 CPR.
- Results are mixed on a vintage-by-vintage basis when compared to their respective 6- and 12-month averages.
|1Equipment loan pools have original WAMs between 8 and 13 years|
Real-Estate Loan Pool CPRs
- Speeds for real-estate loan pools reversed course after two straight months of increases, which is the ninth decrease in the last twelve months.
- Most individual vintages experienced a decrease in speeds, though several vintages did see a pickup.
- The largest decrease was experienced by the 2007 vintage, which declined from 16.8 to 9.2 CPR. The largest increase was experienced by the 2014 vintage, which rose from 13.0 to 17.0 CPR.
- All vintages are above their 6-month averages, but the results are mixed when comparing to their 12-month averages.
|2Real-estate loan pools have original WAMs greater than 18 years|
Prepared according to methodologies described by SIFMA.
Other Helpful Links
Weekly Sector Update | Weekly, Monday
Market Today | Daily
Weekly Recap | Weekly, Friday
Brokered Deposit Rate Indications | Weekly, Monday
Vining Sparks Interest Rate Products Weekly Commentary | Weekly, Monday
Investment Alternatives Matrix | Weekly, Tuesday
MBS Prepay Commentary (December) | Monthly, 5th business day
Analyst, Investment Product Strategies
Kevin A. Smith, CFA
SVP, Director Investment Product Strategies