Fitch Ratings-New York-13 July 2010: U.S. Prime RMBS serious delinquencies rose for the 37th consecutive month, according to the latest Performance Metrics results from Fitch Ratings. Conversely, Alt-A RMBS delinquencies declined for the third successive month while Subprime late-pays fell for the fourth straight month.
Prime jumbo RMBS 60+ day delinquencies rose to 10.4% for June, up from 10.3% for May and 6.4% a year ago. Since the beginning of the year delinquencies are up 1.2%. June roll rates for Prime RMBS remained above 1% after dipping below that level in April but remained below their highest-ever level (1.4%) recorded in March.
While the improvements in Subprime and Alt-A RMBS delinquencies are noteworthy, the portion of borrowers who were current on their mortgage the previous month and became delinquent the next (monthly current-to-delinquent roll rates) remained elevated.
‘The persistently high roll rates indicate that the delinquency declines are more a reflection of increased property liquidation and ongoing loan modification activity than of widespread improvement in mortgage payment performance,’ said Managing Director Vincent Barberio. Additionally ‘Prime RMBS has yet to show any signs of a favourable turnaround.’
Subprime RMBS delinquencies fell again in June, down to 43.7% from 44.8% the prior month. They remain above the 41.2% rate of a year ago. The roll rate for June fell slightly to 4.2% from 4.3% the prior month but remained well below the trailing 12-month average of 5.3%.
Alt-A RMBS delinquencies decreased to 33.7% in June from 33.9% in May (up from 29.1% in June 2009), representing the third month-over-month decline since April 2006. California and Florida hold more than 50% of the volume of Alt-A RMBS loans outstanding. While Florida delinquencies rose slightly to 51.8%, California delinquencies fell to 35.1% from 35.5% the prior month. Despite the fall in delinquencies, roll rates remained high rising to 3.4% in June from 3.1% in May. Prior to a sharp decline in April, roll rates had not been below 3% since June 2008.
California prime jumbo loan performance weakened slightly in June, with 60+ days delinquencies rising to 12.1% from 12% in May (and 7.4% in June 2009). During the first six months of 2010, Florida had the biggest jump (2.1%) of the five states with the highest volume of jumbo loans outstanding. New Jersey was second of the five states with a 1.6% increase over the same period.
The five states with the highest volume of prime RMBS loans outstanding (California, New York, Florida, Virginia, and New Jersey) combined represent approximately two-thirds of the total sector. Prime jumbo RMBS 60+ day delinquencies for these states at June 2010 compared to the prior month, and their approximate share of the estimated $354 billion market, are as follows:
–California: 12.1%; up from 12% (44% share of the market);
–New York: 7.1%; up from 7% (7% share);
–Florida: 18.1%; up from 18% (6% share);
–Virginia: 5.5%; down from 5.6% (5% share);
–New Jersey: 8.7%; up from 8.5% (3% share).
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.
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