Distressed share of ABX sales up sharply
The distressed share of ABX sales rose sharply last month, according to Barclays' remittance report for the December distribution date. Of the 80 ABX deals, the distressed share of sales rose from 34% in November to roughly 40%.
Other key observations of the report include: REO inventory levels declined approximately 1.5% and severities fell by 1.5pts in aggregate m/m from 70.6 to 69.1.
According to the report; "As shadow inventory has grown to several multiples of REO stock, the proportion of distressed sales coming from short sales has been increasing. Since short sales typically receive fewer P&I advances than REO liquidations, short sales can suppress severity."
In addition, the build up of severely delinquent loans grew at a slightly slower rate as aggregate 60+ delinquencies increased by 31, 26, 64 and 33bp across 06-1 to 07-2.
Barclays expects the backlog of 60+ loans to rise over the winter from foreclosure paralysis. Early stage delinquencies were flat with 30-day buckets changing by 9, -14, -17, and -3bp across vintages. Voluntary prepayments were mostly lower with CPR changing by -3, -4, -25 and -51bp across 06-1 to 07-2.