Loss severities rose across the board for all the indices in the lastest ABX Remittance reports, according to a report from Bank of America Merrill Lynch.

The severities increased by 3.5, 1.3, 0.7, and 2.7 points to 83.5%, 85.1%, 92.4%, and 93.8%, for the 06-1 through 07-2 indices, respectively. The rise in loss severities was partly caused by an increase in losses due to loan modifications resulting from forbearance recognition, principal forgiveness, and/or the recovery of servicer advances.

Several deals that are being serviced by Ocwen Loan Servicing experienced considerable jumps in severities due to modification losses. In 07-1 Securitized Asset Backed Receivables 2006-HE2 and in 07-2 Nomura Home Equity Loan 2007-2 reported severities such as modification losses of 177% and 212%, up 85% and 160%, respectively. Not includingreported modification losses, severities stayed elevated for 06-1 but were comparatively flat for the rest of the series, BofA Merrill analysts said.

Meanwhile, analysts noted that CDR rates were mixed on the month. The 06-1 CDRs dipped 9% as they moved from 9.3% to 8.5%. On the opposite end, default rates for 07-2 rose from 9.9% to 10.7%.

After jumping in December, levels have settled back into the range seen at the end of last year. The default rates for all indices are approximately 10% CDR.

Ocwen and Carrington Mortgage Servicing default rates are still printing in the mid-to-high teens.

Meanwhile, analysts noted that Bank of America-serviced pools have default rates in the mid single-digits. 

GMAC RFC Servicing-serviced deals witnessed CDRs dip the most, decreasing by 32% versus last month. They also moved from 13.8% for February reporting to 9.4% this month, BofA Merrill analysts said. RFC's default rate in the past year peaked as of January remittance at 20.8%.

Analysts also reported that interest shortfalls are still on some Ocwen deals.
Both ACE Securities Corp. 2007-HE4 and SABR 2007-BR4 are still accruing interest shortfalls across the capital structure impacting even senior securities.

Both transactions are serviced by Ocwen that has been aggressive in limiting the servicing advances, particularly for transactions previously serviced by HomEq Servicing. In the case of SABR 2007-BR4, after non-payment of the full swap payment in January, the trust has been paying swap termination payments over the past two months, BofA Merrill analysts said. Since swap termination payments are part of the available funds cap, the bonds did not accrue interest over this period.

The latest reports also saw modification rates staying unchanged for most of the indices. Only 06-1 experienced a rise, going from 0.9% to 1.1%. All the indices currently have modification rates between 1.0% to 1.1%. Ocwen or HomEq as well as American Home Mortgage Servicing-serviced deals still have elevated modification rates that average 1.7% of outstanding loans for March remittance, BofA Merrill analysts stated.

  
 
     
 
    
     
     
 CDRs up for 07-2, down for 06-1, flat for the others
CDR rates were mixed on the month. 06-1 CDRs dropped by 9% moving from 9.3% to 8.5%. On the opposite end, default rates for 07-2 increased from 9.9% to 10.7%. After spiking in December, levels have settled back into the range observed towards the end of 2010. Default rates for all indices are about 10% CDR. Ocwen and Carrington default rates continue to print in the mid-to-high teens while BofA serviced pools have default rates in the mid single-digits. RFC serviced deals saw CDRs decline the most, dropping by 32% from last month moving from 13.8% for February reporting to 9.4% this month. RFC's default rate over the past year peaked as of January remittance at 20.8%.

Interest shortfalls remain on some Ocwen deals
Both ACE 2007-HE4 and SABR 2007-BR4 continue to accrue interest shortfalls across the capital structure impacting even senior securities. Both deals are serviced by Ocwen which has been aggressive in reducing servicing advances, especially for deals formerly serviced by HomEq. In the case of SABR 2007-BR4, after non-payment of the full swap payment in January, the trust has been paying swap termination payments the past two months. Since swap termination payments are included in the available funds cap, the bonds did not accrue interest during this period.

Loss severities up
Loss severities increased across the board for all the indices. Severities rose by 3.5, 1.3, 0.7, and 2.7 points to 83.5%, 85.1%, 92.4%, and 93.8%, for the 06-1 through 07-2 indices, respectively. The increase in loss severities was partially driven by an increase in losses attributed to loan modifications resulting from forbearance recognition, principal forgiveness, and/or the recovery of servicer advances. Several Ocwen serviced deals saw significant jumps in severities due to modification losses. In 07-1, SABR 2006-HE2, and in 07-2, NHELI 2007-2, reported severities including modification losses of 177% and 212%, up 85% and 160%, respectively. Excluding reported modification losses, severities remained up for 06-1 but were relatively flat for the remaining series.

Modification rates flat
Modification rates remained unchanged for most of the indices. Only 06-1 saw an increase, moving from 0.9% to 1.1%. All the indices currently have modification rates between 1.0% to 1.1%. Ocwen (HomEq) and American Home serviced deals continue to have elevated modification rates averaging 1.7% of outstanding loans for March remittance.

  

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