Subprime Delinquencies Fall for First Time in 4 Years

Wednesday, 07 Apr 2010 01:15 PM

With serious delinquencies up for the 34th consecutive month, U.S. prime RMBS late-pays have now eclipsed 10 percent, according to Fitch Ratings in the latest edition of Performance Metrics. Conversely, subprime delinquencies fell for the first time in nearly four years.

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. (One basis point is equivalent to 0.01%, or one-hundredth of a percentage point.)

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 favorably 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.

© 2015 Thomson/Reuters. All rights reserved.

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