Here’s another datapoint suggesting that January brought no relief on the mortgage backed security/delinquencies front.
This time, Fitch looks at prime Jumbo loans (AKA: The McMansion market):
Fitch Ratings-NY-8 February 2010: U.S. prime jumbo loan performance
continued to weaken in January as serious delinquencies rose for the
32nd consecutive month, according to Fitch Ratings in the latest edition
of Performance Metrics.
‘The new year has brought no relief from declining jumbo loan
performance,’ said Managing Director Vincent Barberio. ‘The trend line
for delinquencies indicates the 10% level could be reached as early as
Although prime jumbo loan delinquencies began to rise in the second
quarter of 2007, they accelerated in 2009 nearly tripling over the
course of the year. Florida saw the biggest monthly jump of the five
states with the highest volume of jumbo loans outstanding.
Overall, prime jumbo RMBS 60+ days delinquencies rose to 9.6% for
January (up from 9.2% for December 2009). While delinquency rates on
earlier vintages (pre-2005) remain well below that of recent vintages,
more seasoned pools have experienced significant deterioration over the
past year with 60+ days delinquencies increasing from 1.8% to 4.3%.
While less than 5% of prime jumbo senior RMBS classes issued prior to
2005 have been downgraded to date, approximately 40% currently have a
Negative Rating Outlook as a result of the weakening collateral
The five states with the highest volume of prime jumbo loans outstanding
(California, New York, Florida, Virginia, and New Jersey) comprise
approximately two-thirds of the loans in question. Prime jumbo RMBS 60+
days delinquencies for these states at January 2010 compared to December
2009, and their approximate share of the $381 billion market, are as
–California: 11.3%, up from 10.8% (44% share of the market);
–New York: 6.1%, up from 5.8% (7% share);
–Florida: 16.6%, up from 16% (6% share);
–Virginia: 5.6%, up from 5.4% (5% share);
–New Jersey: 7.4%, up from 7.1% (4% share).
Prime jumbo borrowers that were current on their mortgage the previous
month but missed a payment the following month (the roll rate) fell
slightly to 1.2% for January from the seasonal high of 1.3% in December
2009, but remained above the 1% monthly average for 2009. Of the three
major RMBS sectors (Prime, Alt-A, Subprime), Prime is the only sector
currently experiencing roll-rates higher than one year ago.
Fitch’s RMBS Performance Metrics combines loan level data from Fitch
Ratings and LoanPerformance to include delinquency trends, roll rate
movement and loss rates across vintage, sector, and mortgage type. The
report also includes data on mortgage servicing trends, such as
modification activity and advancing percentages, as well as a summary of
bond rating changes.