March remittance reports, reflecting the February collection period, showed monthly aggregate 60+ day delinquencies rising 64 basis points, 77 basis points, 65 basis points, and 181 basis points, according to a report from Barclays Capital.
This is compared with rises of 66 basis points, 91 basis points, 118 basis points, and 224 basis points for last month's reporting period, representing series 06-1, 06-2, 07-1, and 07-2, respectively.
Barclays initially projected 60+ day delinquencies to increase 50 basis points, 70 basis points, 90 basis points, and 190 basis points. The index collateral performance across delinquency buckets was mixed, according to Barclays.
According to historical data used by the bank, the favorable seasonality for the February collection period should go down the 30-59 and 60-89 buckets by 7% to 8% each month over month on a relative basis in the March report.
Although the 60-89 day bucket dropped mostly in line with seasonal trend, the 30-59 day delinquencies increased by a relative 7% for series 06-2 and remained flat on other series, Barclays said.
Out of the 80 trusts, 33 showed increasing early-stage delinquencies. Among them, RASC 2006-KS3, RASC 2007-KS2, RASC 2006-KS9, and RAMP 2006-NC2 reported the highest (53% to 163%) rise in 30-day.
Barclays analysts willl investigate the rationale behind the big changes in these RFC deals once they have the loan-level data. Considering that other trusts didnt report such extreme changes, they think these were caused by servicing-related issues instead of unemployment rates or moral hazard.
Excluding RFC deals in the indices, the 30-day delinquencies dipped 1.6%, 2.3%, 5.8%, and 3.2% for the four indices respectively, but after adjusting for seasonality, the aggregate 30-day bucket deteriorated by 5% to 6% for the 06 series and 1.5-4% for the 07 series, Barclays said.
According to JPMorgan Securities analysts, performance deterioration continues. Default rates in March increased again except for the 06-1 index, to reach 18.87%, 22.15%, 18.96% and 17.35% for the 06-1 through 07-2, respectively.
They added that CDR numbers have been see-sawing in the previous few months, although have mostly leveled off, and probably reflect the effects of foreclosure moratoriums and loan modification programs separate from seasonal and day count factors, analysts.
The 60+ delinquencies, as percent of remaining balance, are still on their monotonic rise and are over 40% for all the indices. The primary driver in the recent months has been the rise in the 90+ and foreclosure buckets; the REO inventory has actually been steadily going down for the 06 indices and flat for the 07 ones in the last five months.
Meanwhile, JPMorgan said that voluntary prepays are still at the 1% level, except for the 07-2 which is at 2.26%. Cumulative losses rose by 83 basis points for the 07-2 index to reach 8.09% while increasing by roughly 60 basis points to 70 basis points for the other indices.
