November remittance data ushered in more bad news this month, but the results were surprisingly milder than October.
The monthly change in 30- and 60-day delinquencies, "after surging at the fastest pace ever" last month returned to their previous ramp, said UBS analysts in a recent report. "That ramp is still steep by historical standards but substantially slower than last month's pace," the bank said. For 06-2, 07-1 and 07-2 the month-over-month change in 30-day delinqencies was 178 basis points, 193 basis points and 239 basis points, respectively, which was slightly lower than the 188 basis points, 227 basis points and 243 basis points seen last month, according to Citigroup. For 06-1 the month-over-month change was 288 basis points - higher than the 257 basis points in October.
For Series 06-1, 06-2, 07-1 and 07-2, on a month-by-month basis, aggregate 60-day delinquencies increased 297 basis points, 176 basis points, 184 basis points, and 248 basis points, respectively, compared with the 251 basis points, 193 basis points, 240 basis points and 248 basis points rise last month, according to Barclays Capital. These increases represented growth rates of 13% (roughly flat), 8% (down from 10%), 10% (down from 15%), and 23% (down from 29%) over last month's numbers, the bank said.
And the November ABX remittance data had very little impact on ABX pricing when it was released, UBS said. ABX 06-1 single-As dropped around 3 points, but otherwise there was very little price movement, with the sub-indices on ABX 06-2 and ABX 07-2 virtually unchanged, UBS said.
However, analysts did not expect loan performance to pick up anytime soon. With the large pipeline of first interest rate resets scheduled for Series 06-2, which will occur through spring 2008, and Series 07-1, which will start in spring 2008, the indices will see continued performance deterioration, Barclays said, citing the lack of refinancing opportunities available to subprime borrowers. And UBS agreed. "The shutdown of the subprime and Alt-A market has severely restricted the refi opportunities for subprime borrowers, and so far none of the programs proposed by government and/or private organizations have really addressed the core subprime problem of many borrowers being in homes they simply cannot afford," UBS said.
The combined percentage of foreclosure and REO buckets continued to rise as the REO liquidations remain slow, and prepayments out of these buckets are negligible, JPMorgan said. In ABX 07-1, the combination of foreclosure and REO reached 13.03%, an increase of 1.59 percentage points versus the previous month, the bank said. The biggest increases of foreclosure and REO in ABX 07-1 was seen in FHLT 06-3, which rose to 20.66%, and SASC 06-BC4, which rose to 13.5%, JPMorgan said.
Aggregate prepayment speeds were reported at 33.8 CPR (conditional prepayment rate) at 28 WALA (weighted average loan age), 24.6 CPR at 23 WALA, 14.5 CPR at 16 WALA and 9.7 CPR at 11 WALA for Series 06-1, 06-2, 07-1 and 07-2, respectively. These prepayments remain well below historical levels at similar WALA, Barclays said.
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