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July mortgage remittance report

According to JPMorgan's report today:
Overview

July remittance reports continue to reflect deteriorating
delinquency performance on ABX reference pools, but even exceeded
the market's pessimistic expectations. Average 60+ delinquencies
(as percent of current pool balances) now stand at 15.29%, 16.58%,
12.18% and 4.19% for 06-1, 06-2, 07-1, and 07-2, respectively. With
a steep 60+ ramp, 07-1 delinquencies appear on track to overtake 06-
2 soon (Chart 1 on next page). 07-1 continues to distinguish itself
for its poor performance; cumulative losses doubled from 8bp to 16bp
month-over-month. 07-2 delinquencies shot up in July, with
foreclosures hitting 1.60%, up from 0.65% in June.

Based on original pool balances, 06-2 and 06-1 showed an
acceleration in the pace of 60+ increases this month (Chart 2). The
re-acceleration of 06-1 delinquencies comes at the initial reset of
the hybrid ARMs (index average loan age is 24 months). This trend
is consistent with our expectations of a refinancing credit crunch
over the next eighteen months. 07-1 has averaged a 1.0 to 1.5
percentage points monthly rise in 60+ delinquencies for the past six
months. 07-2 shows the largest increases across all indices.
 
How long before this subprime situation is the subject of a study of the limitations of financial engineering? You need a real market to mark these things to, not just a model.
 
How long before this subprime situation is the subject of a study of the limitations of financial engineering? You need a real market to mark these things to, not just a model.

good thing that ABX, although a proxy refering only 20 credits, is providing a liquid market for price discovery of these subprime HEL ABS.
 
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