April remittance reports reflecting March's collection period showed improved early-stage delinquencies, faster liquidation speeds, as well as higher loss severities, according to a report by Barclays Capital.
Barclays said that default rates increased considerably in April. CDRs are now at 26.9, 27.7, 23.0, and 22.6 for the four indices, which is an absolute rise of 560 basis points, 450 basis points, 300 basis points, and 320 basis points compared with the previous month.
These increases, according to Barclays analysts, were much bigger compared with the firm's projections based on roll rates and day count, and these also reflect faster liquidation/short sale speeds most probably resulting from the start of the spring home sale season, and historically low mortgage rates. The default rate increase was different by servicer, Barclays said.
The Ameriquest-serviced transactions, AMSI 2005-R11, ARSI 2005-W2, and ARSI 2006-W1, printed low CDRs last month as a result of a servicing transfer disrupting liquidations, said Barclays. Analysts noted that the servicing on these deals was transferred to American Home Mortgage in mid-February.
The liquidations this month were back to normal, said analysts. and these three transactions posted an average rise of 16 points in CDR in April, Barclays analysts said.
They added that among the servicers of other ABX deals, GMAC, First Franklin, Litton, and Ocwen showed higher increases in CDRs. Meanwhile, Carrington, Saxon, and EMC lagged.
It should be noted, according to analysts, that Carrington-serviced trasactions still posted the lowest default rates among ABX deals in the April report.
Barclays also said that related to significantly higher CDR, aggregate 60+ day delinquencies increased less compared to last month. Aggregate 60+ day delinquencies climbed 55 basis points, 70 basis points, and 102 basis points for 06-2 through 07-2 and fell four basis points for series 06-1, which posted the largest increase in CDR. This is compared with rises of 64 basis points, 77 basis points, 65 basis points, and 181 basis points last month. This compares with the firm's forecast for 60+ day delinquencies to increase 50 basis points, 90 basis points, 60 basis points, and 140 basis points, the Barclays report said.