There’s finally some good news in the March remittance reports — the pace of credit deterioration is showing signs of slowing, said analysts.The report, which summarizes the March remittance data for the 80 subprime RMBS transactions referenced by the ABX indices, showed that severe delinquency rates (i.e. loans that are 60 days delinquent or worse) increased across all four ABX series during March. The rates reached 34.1%, 32.5%, 28.1% and 23.1% for the 06-1, 06-2, 07-1 and 07-2 series, respectively, reported Deutsche Bank Securities analysts. They also stated that the severe delinquency rates for several deals in the 06-1 series are currently in the mid to high 40s. Despite the bad news, however, the March data actually indicated that the pace of deterioration is finally slowing. Specifically, Deutsche pointed to the increase in the severe delinquency rate dropping from 2.32% to 1.60% for the 06-1, 2.63% to 2.21% for the 06-2, 1.98% to 1.40% for the 07-1 and 2.61% to 2.04% for the 07-2. Analysts said that the voluntary prepayment speeds have collapsed. Those for the 06-2 series dipped to 14.9% from 18.1% in March, even with most of the underlying mortgages currently approaching their rate resets. Prepayment speeds for 06-1 slowed from 14.1% to 10.9%, while the speeds for 07-1 and 07-2 slowed from 8.3 to 7.1 and 7.6 to 7.2, respectively, said Deutsche. The cumulative loss rates are still heading northwards, analysts said, with 06-2 currently at 2.21%, and 06-1 not far behind at 1.95%, said Deutsche.
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