November remittance reports showed a continuing performance deterioration, which was largely expected by Street analysts.


For instance, the reports showed that monthly aggregate 60+ day delinquencies rose by 25 basis points, 36 basis points, 172 basis points, and 139 basis points for series 06-1, 06-2, 07-1, and 07-2, respectively. Last month’s increases were one basis point, 59 basis points, 178 basis points, and 142 basis points.


Barclays Capital, which has started reporting loss severity beginning with the November remittance reports, said that for the month’s distribution date, severity averaged 60.2% for Series 06-1, 61.2% for06-2, 62.8% for07-1, and 60.7% for 07-2. Analysts called the results “an absolute change from last month” which reported numbers of 1.2%, -1.1%, 2.2%, and -3.4% across the four indices.

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