Fitch: New Year, No Improvement as U.S. Prime Jumbo RMBS Delinquencies Approach 10%

NEW YORK--()--U.S. prime jumbo loan performance continued to weaken in January as serious delinquencies rose for the 32nd consecutive month, according to Fitch Ratings in the latest edition of Performance Metrics.

"The new year has brought no relief from declining jumbo loan performance," said Managing Director Vincent Barberio. "The trend line for delinquencies indicates the 10% level could be reached as early as next month."

Although prime jumbo loan delinquencies began to rise in the second quarter of 2007, they accelerated in 2009 nearly tripling over the course of the year. Florida saw the biggest monthly jump of the five states with the highest volume of jumbo loans outstanding.

Overall, prime jumbo RMBS 60+ days delinquencies rose to 9.6% for January (up from 9.2% for December 2009). While delinquency rates on earlier vintages (pre-2005) remain well below that of recent vintages, more seasoned pools have experienced significant deterioration over the past year with 60+ days delinquencies increasing from 1.8% to 4.3%. While less than 5% of prime jumbo senior RMBS classes issued prior to 2005 have been downgraded to date, approximately 40% currently have a Negative Rating Outlook as a result of the weakening collateral performance.

The five states with the highest volume of prime jumbo loans outstanding (California, New York, Florida, Virginia, and New Jersey) comprise approximately two-thirds of the loans in question. Prime jumbo RMBS 60+ days delinquencies for these states at January 2010 compared to December 2009, and their approximate share of the $381 billion market, are as follows:

--California: 11.3%, up from 10.8% (44% share of the market);

--New York: 6.1%, up from 5.8% (7% share);

--Florida: 16.6%, up from 16% (6% share);

--Virginia: 5.6%, up from 5.4% (5% share);

--New Jersey: 7.4%, up from 7.1% (4% share).

Prime jumbo borrowers that were current on their mortgage the previous month but missed a payment the following month (the roll rate) fell slightly to 1.2% for January from the seasonal high of 1.3% in December 2009, but remained above the 1% monthly average for 2009. Of the three major RMBS sectors (Prime, Alt-A, Subprime), Prime is the only sector currently experiencing roll-rates higher than one year ago.

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.

RMBS Performance Metrics are available at 'www.fitchratings.com' under the following headers:

Sectors >> RMBS >> Tools >> Performance Metrics

Fitch plans to release its Performance Metrics updates monthly to keep the market abreast of regional and overall residential mortgage delinquency trends.

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.

Contacts

Fitch Ratings, New York
Vincent Barberio, +1-212-908-0505
Grant Bailey, +1-212-908-0544
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings, New York
Vincent Barberio, +1-212-908-0505
Grant Bailey, +1-212-908-0544
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com