The June remittance reports offered no surprises, as usual. The reports did not show any notable change in the direction of subprime delinquencies as well as losses, UBS analysts said.
"Overall 30- and 60-day delinquencies were roughly unchanged with the 30-days not yet showing the seasonal increase we expected," they wrote. Over the last few months the current-to-30 roll rate reflected a steep seasonal rise that is expected to ultimately appear in the 30-day delinquency bucket, UBS reported.
According to UBS, the number of serious delinquent loans - 60+ delinquency bucket - is still climbing, although at a slightly slower pace compared with previous months. Meanwhile, analysts said that losses are still rising in line with earlier increases in seriously delinquent loans.
The general takeaway from the June reports is slightly less rapid deterioration, although analysts said that this change was quite small. It was not even sufficient to make them change their pessimistic outlook for subprime losses.
In June, the 30-day delinquency category dropped slightly for all four indices, with the dips ranging from six basis points to 17 basis points, according to UBS. In terms of the 60-day bucket, two indices were up and two were down.
Seriously delinquent loans (the 60+day delinquency bucket that includes REO, FC, and BK) rose across the board, although generally at a slower pace compared with recent months. This month the increases ranged from .50 to 1.60 compared with last month where increases ranged from .99 to 2.10, UBS reported.
Meanwhile, the cumulative losses rose at a slightly faster pace with losses starting to hit the steepest part of the loss seasoning curve, UBS said. Analysts said that monthly loss severities stayed in the mid-50s in June.
In terms of interest shortfalls, which were all over the news last week, JPMorgan Securities analysts reported that most of the interest shortfalls for Ocwen Financial Corp. serviced ABX deals (with Wells Fargo as master servicer) were cured for this distribution date.
For instance, in NHELI 07-2, analysts said that only the junior tranches (M-8, M-9, B-1) experienced interest shortfalls in the current period. They added that the more senior tranches had past shortfalls cured.
However, in the MABS 05-NC2 deal (which has U.S. Bank as the trustee), analysts said that the interest shortfall from the last period was not cured, but current period interest was paid.
Barclays Capital analysts said that loan modifications, and more specifically, losses related to modifications, were not reported in the MABS 2005-NC2 remittance report data, so analysts were not able to determine the reason for the interest rate shortfall reimbursements.
However, Barclays analysts said that since interest collections in MABS 2005-NC2 were enough to pay current senior interest, accumulated senior interest shortfalls, as well as current subordinate note interest, they were able to infer that either modification losses were accounted for as credit losses or these losses were so slight that they did not have an effect on interest payments in June.
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