2007 Worst-Ever Vintage for US Subprime, Alt-A RMBS
Early reviews of the 2007 vintage of Subprime, Alt-A and Prime Jumbo residential mortage-backed securities indicate it will be the worst ever in terms of delinquencies, judging from Standard & Poor’s latest assessment. The delinquency rate on Alt-A RMBS, for example, is four times as high as the 2006 vintage at the same stage of seasoning.
As of the April 2008 distribution date, total delinquencies for subprime RMBS transactions were 36.79%, 37.11%, and 25.87% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. This is an increase of approximately 2% for the 2005 vintage, 4% for 2006, and 6% for 2007 when compared with March 2008 according to S&P.
Serious delinquencies (90-plus days, foreclosures, and real estate owned) for the 2005, 2006, and 2007 vintages were approximately 26.60%, 26.61%, and 17.33% of the current pool balances, up 3% from March for the 2005 vintage, 5% for 2006, and 9% 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 0.49% of the original aggregate pool balance, which is 69% higher than the 0.29% recorded for the 2006 vintage at the same level of seasoning.
For Alt-A RMBS, backed by mortagegs that are less than prime but better than subprime, total delinquencies were 13.10%, 17.34%, and 10.88% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively, up 7.03% for the 2005 vintage, 6.32% for 2006, and 6.77% for 2007 since March.
Serious delinquencies were approximately 8.47%, 11.48%, and 6.64% of the current aggregate pool balances, respectively, up 10.00% for the 2005 vintage, 8.61% for 2006, and 10.85% for 2007.
Cumulative losses for Alt-A transactions issued in 2007 represent 0.04% of the aggregate original pool balance, which is four times the amount recorded for the 2006 vintage (0.01%) at the same level of seasoning.
For Prime Jumbo RMBS total delinquencies were 2.85%, 3.31%, and 2.50% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively, up 5.2% for the 2005 vintage, 5.4% for 2006, and 9.2% for 2007 from March.
Serious delinquencies were approximately 1.49%, 1.70%, and 1.16%, respectively, up 8.0% for the 2005 vintage, 9.0% for 2006, and 20.8% for 2007.
For all vintages but 2007, cumulative realized losses of 0.01% or more of the original pool balances haven’t started to appear until 24 months of seasoning. The 2007 vintage, represented only by the deals issued during January through April (which have had 12 months of seasoning), has cumulative realized losses of 0.01% after only 12 months of seasoning.
Transactions issued in 2006 have now performed the worst, with 0.03% in cumulative realized losses at month 24 (but only four months of issuance have reached that seasoning level), compared with 0.02% for 2001.
HELOC and Closed-End Second-Lien RMBS delinquencies also increased in April.
In a related move, S&P Lowered Ratings On 125 U.S. Prime Jumbo RMBS Classes Issued In 2007; and also on a number of other RMBS.
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May 30th, 2008 at 12:14 pm
[...] the subprime crisis is not forgotten: our most popular post by far was the S&P report that securities backed by subprime and other “non-prime” loans from the 2007 vintage [...]
July 10th, 2008 at 10:23 am
[...] review of subprime, Alt-A and Prime Jumbo residential mortgage-backed securities indicating the “2007 vintage” will be the worst ever in terms of delinquencies. S&P said the delinquency rate on Alt-A securities, for example, is four times as high as the [...]