February remittance reports — for the January collection period — showed monthly aggregate 60+ day delinquencies climbing 66 basis points, 91 basis points, 118 basis points, and 224 basis points (compared with rises of 56 basis points, 54 basis points, 158 basis points, and 167 basis points last month) for series 06-1, 06-2, 07-1, and 07-2, respectively.

According to Barclays Capital analysts, the credit performance over the month was overshadowed by servicing and seasonality. Defaults were 3-4 CDR lower for the 06 series and 1.0-2.5 CDR lower for the 07 series, primarily because of RAMP, RASC, BSABS, and ACE shelves reporting a more than 10 point CDR dip, analysts said.

As a result of slower liquidations, the aggregate 60+ delinquencies increased more than last month. But, following the previous month’s considerable dip in 60+, Carrington serviced deals continued to report 200 to 300 basis points lower 60+ delinquencies in February, Barclays analysts reported. This implies, according to them, that the servicers have expanded loan modification activities this month.

Early stage delinquencies (30-59 days) dropped 40-60 basis points for the 06-1, 06-2, and 07-1 series and 10 basis points for the 07-2 series. This is probably because favorable seasonality started to kick in this month. It’s notable that the 30-day delinquency for the CWL shelf dropped more than average across the four indices.

At the same time, the 90+ bucket continued to rise as foreclosures generally declined. Bank of America announced a major modification program for Countrywide-serviced loans last October. Such a program could result in curing of 30-day delinquent loans, and the reclassification of loans in foreclosure to 90+.

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