Delinquencies of Subprime RMBS Climb, But Jumbos Drop

by: Atticvs Research

Delinquencies among recent vintages of subprime mortgage securities continued to rise in August, but in the prime jumbo sector, delinquencies leveled off, latest data from Standard & Poor’s shows.

Delinquencies among U.S. subprime residential mortgage-backed securities (RMBS) transactions originally rated in 2006 and 2007 continued to increase as of the August 2008 distribution date, while delinquencies for the 2005 vintage started to decline. Total delinquencies were 38.05%, 42.89%, and 32.79% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Compared with the July 2008 distribution date, these figures marked increases of approximately 3% for the 2006 vintage and 5% for 2007 and a 0.1% decline for the 2005 vintage.

Serious delinquencies - 90-plus days, foreclosures, and real estate owned ({REO}) - rose for all three vintages since the last distribution date, although 2005 saw only a slight increase. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 28.40%, 31.97%, and 23.30% of the current aggregate pool balances, respectively. When compared with the prior distribution date, serious delinquencies increased approximately 0.3% for the 2005 vintage, 6% for 2006, and 6% for 2007.

The 2007 issuance year continues to be the worst-performing vintage in terms of cumulative losses. After 12 months of seasoning, cumulative losses for transactions issued in 2007 represent 0.45% of the original aggregate pool balance, which is 55% higher than the 0.29% recorded for the 2006 vintage at the same level of seasoning.

Growth in delinquencies for U.S. prime jumbo residential mortgage-backed securities transactions originally rated in 2005 and 2006 leveled off somewhat as of the August 2008 distribution date, and delinquencies declined slightly for the 2007 vintage. Total delinquencies were 3.50%, 4.57%, and 3.11% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Compared with the July 2008 distribution date, these figures were up roughly 3.6% for the 2005 vintage and 2.2% for the 2006 vintage, and they were down 3.4% for the 2007 vintage.

Serious delinquencies (90-plus days, foreclosures, and real estate owned) have followed the same pattern since the last distribution date. As of the August 2008 distribution date, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 2.04%, 2.69%, and 1.60%, respectively. Since the July 2008 distribution date, serious delinquencies were up 4.6% for the 2005 vintage and 8.5% for 2006, and they were down 2.4% for 2007.

Details are avaiable in U.S. Subprime RMBS Performance Update: August 2008 Distribution Date and U.S. Prime Jumbo RMBS Performance Update: August 2008 Distribution Date.