Foreclosure, REO roll rates slow in ABX, PrimeX: Barclays
February remittance reports posted a 0.5 to 1.5 point drop in the liquidation speeds month-over-month for the ABX subprime indices as well as mixed liquidation speeds for the PrimeX indices, Barclays noted in its securitization research.
Both indices track the performance of credit default swaps on residential-mortgage backed securities to determine value on the bond market and establish a trading benchmark.
Furthermore, voluntary speeds for the PrimeX indices experienced an across the board month-over-month decline. Foreclosed loans as a percentage of balance also declined across the ABX and PrimeX indices and effected a slight decline in real estate-owned properties as a percentage of balance.
The 60 plus balance, as a percentage of total balance, continued to fall across the board of ABX indices.
Overall, while the timeline keeps getting shorter – implying an improvement – the percentage of balance won’t get worse, but won’t get better either.
In January, always current-to-delinquent roll rates, meaning the speed and timeline of the delinquency, were lower in the ABX and PrimeX indices than December levels, as well as levels three months prior, Barclays said.
Voluntary prepayments for the PrimeX Federal Risk Manager. 1 and Adjustable Rate Mortgage. 2 indices slightly fell in January after posting a significant increase the previous month. Additionally, constant default rates were marginally higher across ABX indices.
Liquidation severities were also down for another month for ABX indices, falling 0 to 4 points.
Meanwhile, 60 plus days-to-foreclosure roll rates slowed down for the ABX and PrimeX indices in January. Foreclosure-to-REO roll rates were also marginally lower month-over-month for the ABX and PrimeX indices.
"Although we expect timelines eventually to get shorter, we do not expect any major decrease in near term," analysts at Barclays stated.