Remittance reports for the October distribution date, which represents the September collection period, showed mixed collateral performance.
The report reflected monthly aggregate 60+ day delinquencies rising one basis point, 59 basis points, 178 basis points, and 142 basis points. This is compared with rises of 57 basis points, 98 basis points, 148 basis points, and 152 basis points in Sept for Series 06-1, 06-2, 07-1, and 07-2, respectively. By contrast, Barclays Capital's projections for 60+ day delinquencies were to increase 85 basis points, 128 basis points, 214 basis points, and 193 basis points.
The firm's forecast for Series 06-1 serious delinquencies turned out to be high. This is probably a result of the larger numbers of loan modifications in the underlying deal and a considerable rise in liquidations as measured by CDR. Nonetheless, early stage delinquencies (30-59 days) are still trending upwards in line with Barclays' expectations. This implies performance will probably continue to struggle in coming months.
According to Barclays, index collateral performance was mixed across series and by delinquency bucket. Early stage delinquencies (30-59 days) ticked up for all series. By comparison, 60-89 day delinquencies dropped for Series 06-1 and 06-2 but rose for Series 07-1 and 07-2.
Barclays also noted that foreclosures also dipped slightly for Series 06-2 and 07-2, were relatively unchanged for series 06-1, and rose for series 07-1. In aggregate, total prepays rose for all series as did default rates. Voluntary prepays were mixed; however, analysts are still questioning the accuracy of reported voluntary prepayment speeds.
