In its latest research on the North American home equity index ABX HE, Barclays Capital says it expects 30-59 bucket delinquencies in August remits to remain flat for the 06-1 series, edge downward on 06-2, moderately increase on 07-1 and move upward on 07-2. The bank bases its analysis on July’s roll rate seasoning curves and distribution of payment status. Barcap also says that although the Home Ownership Preservation Entity programme for homeowners has become a reality, it does not expect its widespread adoption for several months.

Meanwhile, total 60+ delinquencies (including bankruptcy, foreclosure, and REO) should continue to increase at mixed rates for the four ABX indices, says Barcap. Analysts expect the rate of growth on series 06-1 and 06-2 to decline to 30bp and 120bp, respectively. Following the increase of the 30-59 bucket in July on series 07-1, they expect its rate of growth of 60+ delinquencies to inch up to 156bp. Series 07-2 posted a slight increase of 30-59 delinquency in July, and its rate of 60+ growth should remain roughly flat at 155bp.

Barcap notes that, after a jump earlier this year, the monthly REO liquidation rate has stabilised at 12.7% in the past two months. Analysts expect CDR to continue to rise in August, but the increase should be smaller than in April or May, increasing only 90-180bp in August across ABX indices.

With a one-day increase in day count, the decline in voluntary prepayments (CRR) on series 06-1, 06-2 and 07-2 should be smaller in August than in July. Barcap expects CRR to drop 20bp and 90bp on 06-1 and 06-2, respectively, and remain flat on 07-2. Series 07-1 should post a moderate increase of 80bp in CRR as more deals in this series approach first reset in August.

All-in prepayments (CPR) should post a moderate increase of 70bp, 65bp, and 165bp on series 06-1, 06-2, and 07-2, respectively, and go up 255bp on 07-1. Barcap expects defaults to account for 78%, 77%, 67%, and 70% of total prepayments on 06-1, 06-2, 07-1, and 07-2, respectively.