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Fitch: U.S. Alt-A RMBS Delinquencies Fall for First Time Since 2006

NEW YORK, May 10, 2010 (BUSINESS WIRE) -- Serious delinquencies for U.S. Alt-A RMBS declined for the first time in four years, according to the latest Performance Metrics results from Fitch Ratings. Subprime late-pays also fell for the second straight month, while prime RMBS delinquencies increased slightly.

Higher cure rates and an increased volume of loan modifications, along with improvements in both liquidation and roll rates all contributed to the turnaround in both subprime and Alt-A delinquencies.

'Last month's improvements may be a signal that RMBS performance is beginning to the turn the corner,' said Managing Director Vincent Barberio. 'The next few months will be a better indicator of whether we're witnessing the beginnings of a legitimate turnaround or a short-term seasonal effect of tax-refunds.' Despite the change in performance, Fitch cautions that approximately 8% of current Alt-A loans and 35% of current subprime loans are modified and have a substantial risk of re-default.

Alt-A RMBS delinquencies decreased to 34.1% in April from 34.4% in March (up from 27.4% in April 2009), representing the first month-over-month decline since April 2006. California and Florida hold more than 50% of the volume of Alt-A RMBS loans outstanding. While the delinquencies for these loans in Florida remained unchanged at 51.7%, delinquencies in California fell to 35.8% from 36.3% the prior month. Roll rates also improved falling to 2.6% from 3.9% last month. Approximately 8.25% of current Alt-A loans are modified and have a substantial risk of re-default.

Subprime RMBS delinquencies fell again in April, down to 45.2% from 46.3% the prior month. They remain above the 40.1% rate of a year ago. The roll rate for April fell to 3.9% from 4.5% the prior month and was well below the trailing 12-month average of 5.5%.

Prime jumbo RMBS 60+ days delinquencies rose to 10.2% for April up from 10.1% for March and 5.4% a year ago. After nearly tripling in 2009, delinquencies are up another 98 basis points (bps) since the beginning of the year. However, April roll rates fell below 1% after rising in the prior month to their highest-ever level (1.4%) in Performance Metrics history.

California prime jumbo loan performance weakened slightly in April, with 60+ days delinquencies rising to 11.9% from 11.8% in March (and 6.1% in April 2009).

During the first four months of 2010, Florida had the biggest jump (1.8%) of the five states with the highest volume of jumbo loans outstanding. New Jersey was second of the five states with a 1.3% 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+ days delinquencies for these states at April 2010 compared to the prior month, and their approximate share of the estimated $364 billion market, are as follows: --California: 11.9%; up from 11.8% (44% share of the market); --New York: 6.7%; the same as the prior month (7% share); --Florida: 17.8%; up from 17.5% (6% share); --Virginia: 5.6%; down from 5.8% (5% share); --New Jersey: 8.4%; up from 8.2% (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.

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: Sectors >> RMBS >> Tools >> Performance Metrics Additional information is available at 'www.fitchratings.com' ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS.

PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

SOURCE: Fitch Ratings CONTACT: Fitch Ratings Vincent Barberio, +1-212-908-0505 Grant Bailey, +1-212-908-0544 (New York) Media Relations: Sandro Scenga, +1-212-908-0278 (New York) sandro.scenga@fitchratings.com Copyright Business Wire 2010 -0- KEYWORD: United States

North America

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