Fitch Ratings-NY-7 April 2010: With serious delinquencies up for the
34th consecutive month, U.S. prime RMBS late-pays have now eclipsed 10%,
according to Fitch Ratings in the latest edition of Performance Metrics.
Conversely, subprime delinquencies fell for the first time in nearly
Since beginning to rise in second quarter-2007, prime RMBS loan
delinquencies nearly tripled in 2009 and are already up 90 basis points
(bps) this year. Overall, prime jumbo RMBS 60+ days delinquencies rose
to 10.1% for March up from 9.9% for February and 4.8% a year ago.
Roll rates also increased to their highest-ever level (1.4%) in
Performance Metrics history. ‘The pace of performing loans rolling
delinquent over the last twelve months remains elevated,’ said Managing
Director Vincent Barberio.
Subprime RMBS delinquencies fell to 46.3% in March from 46.9% the prior
month but remained well above the 39.8% of a year ago. Subprime
delinquencies rose dramatically for 44 months from a low point of 6.2%
in June 2006. The roll rate for March fell to 4.5% from 5.4% the prior
month and was well below the trailing 12-month average of 5.7%.
‘The improvement in subprime delinquencies may be nothing more than a
seasonal anomaly of tax refunds being utilized to help borrowers catch
up on late mortgage payments,’ said Barberio. ‘Nonetheless, March roll
rates fell significantly from last month and are now at their lowest
level in over two years.’ An increase in loan modification activity also
contributed favourably to the performance measures.
California prime jumbo loan performance continued to weaken in March,
with 60+ days delinquencies rising to 11.8% from 11.6% in February (and
5.4% in March 2009). During the first quarter of 2010 Florida had the
biggest jump (1.5%) of the five states with the highest volume of jumbo
loans outstanding. New Jersey was second of the five states with an 1.1%
increase over the same period.
The five states with the highest volume of prime jumbo loans outstanding
(California, New York, Florida, Virginia, and New Jersey) combined
represent approximately two-thirds of the total sector. Prime jumbo RMBS
60+ days delinquencies for these states at March 2010 compared to the
prior month, and their approximate share of the estimated $371 billion
market, are as follows:
–California: 11.8%, up from 11.6% (44% share of the market);
–New York: 6.7%, up from 6.3% (7% share);
–Florida: 17.5%, up from 17% (6% share);
–Virginia: 5.8%, up from 5.7% (5% share);
–New Jersey: 8.2%, up from 7.9% (4% 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.
Fitch releases its Performance Metrics updates monthly to keep the
market abreast of regional and overall residential mortgage delinquency
trends. RMBS Performance Metrics are available at ‘www.fitchratings.com‘
under the following headers:
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