Calif. Prime Jumbo RMBS Delinquency Rates Top 11%

Delinquencies for U.S. prime residential mortgage-backed securities (RMBS) rose for the 33rd consecutive month, according to Fitch Ratings in the latest edition of its Performance Metrics report.

California prime jumbo loan performance continued to weaken in February, with 60+ day delinquencies rising to 11.6% from 11.3% in January (and 4.7% in February 2009). During the first two months of the year, Florida had the biggest jump – nearly 1% – of the five states with the highest volume of jumbo loans outstanding. New Jersey ranked No. 2 of the five states with an 80 basis point (bp) increase over the same period.

"California is driving the national performance for this sector, since it has the largest concentration of prime jumbo loans," says Vincent Barberio, a managing director with Fitch. "Half of all prime jumbo loans are on residences in either California or Florida, with many of the more recent vintage loans comprised of nontraditional credit quality loans."

Since beginning to rise in the second quarter of 2007, prime jumbo loan delinquencies nearly tripled last year and are already up 69 bps this year. Overall, prime jumbo RMBS 60+ days delinquencies rose to 9.9% for February – up from 9.6% for January 2010. Delinquency rates for 2006 and 2007 vintages combined were 13.5% – up from 12.7% at December 2009. The delinquency rate on pre-2005 vintages was 4.5% in February.

The five states with the highest volume of prime jumbo loans outstanding – California, New York, Florida, Virginia and New Jersey – represent approximately two-thirds of total delinquencies.

Prime jumbo RMBS 60+ day delinquencies for these states at February 2010 compared to the prior month, and their approximate share of the estimated $376 billion market are as follows:

  • California – 11.6%, up from 11.3% (44% share of the market);
  • New York – 6.3%, up from 6.1% (7% share);
  • Florida – 17%, up from 16.6% (6% share);
  • Virginia – 5.7%, up from 5.6% (5% share);
  • New Jersey – 7.9%, up from 7.4% (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.

SOURCE: Fitch Ratings


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