Total delinquencies have continued to increase over the past six months among U.S. Alternative-A residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007. As of the January 2008 remittance date, total delinquencies were 10.97%, 14.48%, and 8.96% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. These figures have increased approximately 8.83% for the 2005 vintage, 12.95% for 2006, and 18.05% for 2007 since the December 2007 distribution date.
Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) have also risen since the last distribution date. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 6.38%, 8.62%, and 4.60% of the current aggregate pool balances, respectively. When compared with the prior distribution date, serious delinquencies are up approximately 10.76% for the 2005 vintage, 15.55% for 2006, and 24.32% for 2007.
The following table shows the trends for cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates.
U.S. Alt-A RMBS: Losses And Delinquencies
2005 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.06
6.8
0.66
1.76
1.15
3.57
Sep-07
0.08
7.19
0.71
2
1.25
3.96
Oct-07
0.09
8.5
0.9
2.18
1.35
4.43
Nov-07
0.11
8.93
1.06
2.4
1.54
5
Dec-07
0.13
10.08
1.37
2.66
1.73
5.76
Jan-08
0.16
10.97
1.68
2.91
1.79
6.38
2006 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.03
7.88
0.84
2.27
0.91
4.02
Sep-07
0.04
8.82
0.89
2.76
1.13
4.78
Oct-07
0.05
10.57
1.17
3.01
1.34
5.52
Nov-07
0.07
11.4
1.45
3.36
1.63
6.44
Dec-07
0.1
12.82
1.88
3.65
1.93
7.46
Jan-08
0.14
14.48
2.19
4.28
2.15
8.62
2007 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0
3.41
0.35
0.62
0.04
1.01
Sep-07
0
4.12
0.41
1.03
0.09
1.53
Oct-07
0
5.57
0.62
1.3
0.14
2.06
Nov-07
0
6.44
0.82
1.79
0.25
2.86
Dec-07
0.01
7.59
1.11
2.21
0.38
3.7
Jan-08
0.02
8.96
1.39
2.68
0.53
4.6
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 10.30% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had delinquencies of 6.98% and 3.01%, 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 16.26% of the current aggregate pool balance, a 138% increase over the 2005 vintage, which had 6.83% 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 5.79% of the current aggregate pool balance. In comparison, 2005 and 2006 vintage transactions with the same amount of seasoning had serious delinquencies of 3.36% and 1.05%, respectively.
The 2006 vintage continues to perform poorly as well. After 24 months of seasoning, serious delinquencies represent approximately 10.03% of the current aggregate pool balance, a 182% increase over the 2005 vintage, which had 3.56% 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
Transactions issued in 2007 have the highest amount of cumulative losses when compared with other vintages at the same seasoning levels. After 12 months of seasoning, cumulative losses for transactions issued in 2007 represent 0.03% of the aggregate original pool balance, which is 50% higher than the 0.02% 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 occurs after the property backing a defaulted loan has been sold. For example, for an individual mortgage loan, if the total net proceeds from the sale of the property (after deducting all legal and other expenses related to the sale) came to $80,000, and the last current unpaid principal balance of the mortgage loan was $100,000, then the realized loss would be $20,000.
Chart 3 shows cumulative loss information at various levels of seasoning for each vintage.
Chart 3
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