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ABS

ABX Remits Show Delinquencies are Still High

Published 2 Min Read

The ABX remittance reports for the month of September showed that 60+ delinquencies are still increasing, but at slightly slower rates.

According to a Merrill Lynch report, the increasing delinquencies for the ABX indices was expected as indicated by the roll rates and the 30-59 and 60-89 day delinquency pipelines. The 06-2 has the smallest change in 60+ days DQ from the previous month, a 0.34% increase.

The reports also showed that prepayments remain slow across all series.Prepayments have slowed significantly from historical levels over the last few years, Merrill noted. Considering the limited refinancing opportunities available, they are commensurate with the environment. For example, the 07-2 deals show 17% one-month CPR (voluntary plus involuntary) at 20 WALA, compared with 25% for their 06-1 counterparts at the same wala.

In a report from UBS, analysts mentioned that cum losses are accelerating in September and for the first time for a vintage (06-2) is more than 5% cum loss. To put this 5% in perspective, UBS said that it is higher than the poor-performing 2000-2001 vintage loss average, inspite of 06-2 having an average WALA of only 32.

Analysts separate CPR summaries into CRR and CDR. Voluntary prepayments are at record low levels of 5% to 6% CPR for 06-2 and 07-2 respectively. 06-1 is experiencing 3-year resets and speeds picked up to 8.5%

CPR. 07-1 is passing through the two-year resets and speeds spiked to 10% CPR. For future remittance reports, analysts will break out all-in CPRs into CRR (voluntary) and CDR (involuntary).

According to UBS, severity picked up considerably for older vintages, which is expected as a vintage seasons. The liquidation timeline increases with loan age, thereby increasing P & I servicer advances, which is a direct driver of severities. The average severity for September ranged from 55% to 60%, considerably up from August’s severity of 53% to 54%.

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