Recent-Vintage Alt-A RMBS Delinquency Rates Continue to Rise

by: Research Recap

Standard & Poor’s October performance report shows just how poorly recent vintage “not-quite-prime” Alt-A residential mortgage-backed securities are performing in absolute terms and relative to earlier vintages.

Overall performance of U.S. Alternative-A residential mortgage-backed securities (RMBS) transactions issued in 2004-2007 continued to deteriorate as of the October 2009 distribution date. Total delinquencies increased as a percent of both the current and original pool balances for each of these vintages when compared with September levels, and the rates of growth as a percent of the current balances also rose compared with the averages for the past three months. Similarly, serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) were up for each of these vintages, and the rates of growth between September and October were greater than the three-month averages. Cumulative losses kept increasing for these vintages as well.

After 24 months of seasoning, the 2007 vintage reported delinquencies totaling 31.75% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had delinquencies of 6.03% and 20.69%, respectively, at the same level of seasoning.

Transactions issued in 2006 continue to perform more poorly than prior vintages. After 36 months of seasoning, total delinquencies for 2006 represent approximately 37.61% of the current aggregate pool balance, a 138% increase over the 2005 vintage, which had 15.78% in total delinquencies after the same amount of seasoning.

Alt-A Vintage

For details see U.S. Alternative-A RMBS Performance Update: October 2009 Distribution Date