February remittance report data are showing that serious delinquencies are increasing. " The overall performance of the indexes deteriorated as serious delinquencies and defaults increased," said analysts from Citigroup. Citigroup reported that for 06-1, 06-2, 07-1 and 07-2, the month-over-month shift in serious delinquencies was 236 basis points, 263 basis points, 201 basis points and 260 basis points, respectively, versus the 270bp, 248 basis points, 210 basis points and 264 basis points seen last month.For all the indexes, the number of loans in foreclosure rose as well, reported Citigroup. But, analysts said that for 06-1, 07-1 and 07-2, the pace of deterioration was less than that witnessed in January. According to Citigroup analysts, aside from the delinquency, the other important data point was the slowdown in prepayments (voluntary and involuntary).Prepayments fell slightly given that the defaults increasing sharply. Citigroup said that for ABX 06-1, 06-2, 07-1 and 07-2, the CPR dip was 2.74%, 0.96%, 0.66% and 0.54%, respectively. The defaults across the indexes increased by 2.19%, 1.01%, 0.52% and 0.45%, respectively.

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