US Subprime RMBS Delinquencies Hit 50% for Some Vintages
Prime Jumbo and Alt-A sectors also see deterioration in August.
Excerpts from U.S. Subprime RMBS Performance Update: August 2009 Distribution Date,
Total delinquencies have continued to increase among U.S. subprime residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007.
As of the August 2009 distribution date, total delinquencies were 43.69%, 52.49%, and 49.90% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively.
Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) also increased for the 2005, 2006, and 2007 vintages. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 32.35%, 42.02%, and 39.66% of the current aggregate pool balances, respectively. Serious delinquencies increased by 0.90% for 2005, 1.06% for 2006, and 1.77% for 2007 compared with the prior distribution date.
For the 2005 vintage, the three-month growth rate in serious delinquencies averaged 1.47% a month. From July to August, the rate of growth in severe delinquencies in the 2005 vintage exceeded this average by 13.95%. For the 2006 vintage, the three-month growth rate in serious delinquencies was 0.47% per month. However, there was a 25.99% increase in the rate of growth compared with this average from July to August. For 2007, the three-month growth rate in serious delinquencies was 1.21% a month. From July to August, there was a 3.44% decrease in the rate of growth compared with this average.
Cumulative losses continued to increase for all three vintages. As of the August 2009 distribution date, cumulative losses totaled 6.74%, 13.08%, and 10.19% of the original aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Losses were up approximately 4.05% for 2005, 5.56% for 2006, and 8.39% for 2007 compared with the July distribution date.
From July to August, the rate of cumulative loss growth for the 2005 vintage decreased by 9.51% compared with the rate of growth from June to July. For the 2006 vintage, the rate of cumulative loss growth from July to August decreased by 8.13% compared with the rate of growth from June to July. For 2007, the growth of cumulative losses decreased by 7.69% from July to August compared with the growth from June to July.
Delinquencies also continued to increase among U.S. prime jumbo and Alt-A transactions originally rated in 2005, 2006, and 2007. For details in these sectors, see:
U.S. Prime Jumbo RMBS Performance Update: August 2009 Distribution Date
U.S. Alternative-A RMBS Performance Update: August 2009 Distribution Date
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