Total delinquencies for U.S. residential mortgage-backed securities (RMBS) backed by closed-end second-lien collateral and originally rated in 2005, 2006, and 2007 have continued to increase over the past six months. As of the January 2008 distribution date, total delinquencies were 14.44%, 13.78%, and 10.11% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. These figures are up roughly 4% for the 2005 vintage, 8% for 2006, and 12% for 2007 compared with the December 2007 distribution date.
Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) have also increased since the last distribution date. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 8.16%, 7.80%, and 5.09%, respectively. When compared with the prior distribution date, serious delinquencies have risen approximately 7% for the 2005 vintage, 9% for 2006, and 16% for 2007.
The following table shows the trends for cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates.
U.S. Closed-End Second-Lien RMBS: Losses And Delinquencies
2005 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
4.94
10.15
4.34
0.55
0.30
5.20
Sep-07
5.43
11.05
4.85
0.49
0.30
5.64
Oct-07
5.97
12.28
5.54
0.43
0.30
6.27
Nov-07
6.52
13.05
6.23
0.38
0.29
6.89
Dec-07
7.10
13.85
7.05
0.34
0.26
7.66
Jan-08
7.70
14.44
7.68
0.24
0.24
8.16
2006 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
3.95
8.98
3.78
0.86
0.26
4.90
Sep-07
4.69
9.67
4.03
1.00
0.32
5.34
Oct-07
5.49
10.82
4.57
0.89
0.37
5.84
Nov-07
6.35
11.73
4.99
0.97
0.40
6.36
Dec-07
7.16
12.80
5.73
0.97
0.47
7.17
Jan-08
8.13
13.78
6.30
0.97
0.53
7.80
2007 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.23
5.08
1.72
0.09
0.00
1.81
Sep-07
0.49
6.19
2.54
0.15
0.01
2.70
Oct-07
0.97
7.51
3.27
0.15
0.01
3.43
Nov-07
1.69
8.18
3.66
0.14
0.02
3.82
Dec-07
2.60
9.04
4.22
0.14
0.02
4.38
Jan-08
3.78
10.11
4.93
0.13
0.03
5.09
Please note that in charts 1-3, the data points in month 72 for vintage year 2002, month 60 for 2003, month 48 for 2004, month 36 for 2005, month 24 for 2006, and month 12 for 2007 represent only one month's issuance, so they are not necessarily representative of the entire issuance year. Also, we included data only for those transactions that were still outstanding at each point of comparison.
Total Delinquencies
After 12 months of seasoning, the 2007 vintage reported delinquency levels totaling 8.67% of the current aggregate balance. In comparison, the 2005 and 2006 vintages had total delinquencies of 4.12% and 7.17%, respectively, with the same amount of seasoning.
Transactions issued in 2006 continue to perform more poorly than prior vintages. After 24 months of seasoning, total delinquencies for 2006 represent approximately 11.78% of the current aggregate pool balance, a 54% increase over the 2005 vintage, which had 7.67% in total delinquencies after the same amount of seasoning.
Chart 1 shows the total delinquency percentage for each vintage at various levels of seasoning.
Chart 1
Serious Delinquencies
After 12 months of seasoning, the 2007 vintage had serious delinquencies totaling 4.17% of the aggregate pool balance. In comparison, 2005 and 2006 vintage transactions with the same amount of seasoning had serious delinquencies of 1.83% and 3.75%, respectively.
The 2006 vintage continues to perform poorly as well. After 24 months of seasoning, serious delinquencies represent approximately 6.56% of the current pool balance, a 63% increase over the 2005 vintage, which had 4.02% in serious delinquencies after the same amount of seasoning.
Chart 2 shows the percentage of serious delinquencies for each vintage at various levels of seasoning.
Chart 2
Cumulative Losses
The 2007 vintage is the worst-performing issuance year in terms of cumulative losses. After 12 months of seasoning, cumulative losses for transactions issued in 2007 represent 2.13% of the original aggregate pool balance, which is 69% higher than the 1.26% recorded for the 2006 vintage at the same level of seasoning.
In the context of this report, "losses" refers to actual realized losses on the mortgage loans included in the collateral pools, as opposed to losses to the individual certificate classes in the RMBS transactions. A realized loss for a closed-end second-lien loan typically occurs after six months of delinquency, when the servicer charges off the loan (in lieu of proceeding with a foreclosure, as would generally be the process with a first-lien mortgage). Due to the second-lien nature of this product, any proceeds from the liquidation of the property may yield little, if any, funds to these loans.
Chart 3 shows cumulative loss information at various levels of seasoning for each vintage.
Chart 3
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