Delinquencies for U.S. prime jumbo residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 continued to increase significantly in the past six months. As of the January 2008 distribution date, total delinquencies were 3.22%, 3.25%, and 1.88% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. These figures are up roughly 13.8% for the 2005 vintage, 13.6% for 2006, and 18.2% for 2007 when 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 1.51%, 1.42%, and 0.59%, respectively. Since the December 2007 distribution date, serious delinquencies have risen approximately 16.2% for the 2005 vintage, 15.4% for 2006, and 47.5% for 2007.
The following table shows the trends for cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates for these vintages.
U.S. Prime Jumbo RMBS: Losses And Delinquencies
2005 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.01
2.04
0.22
0.38
0.21
0.81
Sep-07
0.01
2.12
0.23
0.45
0.23
0.91
Oct-07
0.02
2.54
0.29
0.48
0.24
1.01
Nov-07
0.02
2.58
0.36
0.51
0.28
1.15
Dec-07
0.03
2.83
0.43
0.56
0.31
1.30
Jan-08
0.03
3.22
0.54
0.65
0.32
1.51
2006 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.00
1.85
0.20
0.32
0.12
0.64
Sep-07
0.01
1.98
0.20
0.39
0.15
0.74
Oct-07
0.01
2.46
0.27
0.41
0.17
0.85
Nov-07
0.01
2.55
0.34
0.51
0.22
1.07
Dec-07
0.01
2.86
0.42
0.56
0.25
1.23
Jan-08
0.02
3.25
0.50
0.63
0.29
1.42
2007 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Aug-07
0.00
0.86
0.07
0.04
0.00
0.11
Sep-07
0.00
0.86
0.09
0.07
0.00
0.16
Oct-07
0.00
1.21
0.11
0.09
0.01
0.21
Nov-07
0.00
1.31
0.15
0.15
0.01
0.31
Dec-07
0.00
1.59
0.18
0.20
0.02
0.40
Jan-08
0.00
1.88
0.28
0.27
0.04
0.59
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. For example, Standard & Poor's Ratings Services has performance data on 143 prime jumbo transactions rated in 2007, but only 14 were rated in January 2007, so the 12-month figures at the time of this review reflect only those 14 deals. Also, we included data only for those transactions that were still outstanding at each point of comparison.
Total Delinquencies
Transactions issued in 2001 and 2000 have performed the worst, with total delinquencies that exceed those for more recent vintages. Starting in 2004, however, each vintage year has performed worse than the preceding year. In terms of total delinquencies, 2007 is the worst-performing vintage since 2001. After six months of seasoning, the 2007 vintage reported total delinquencies of 1.34% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had total delinquencies of 0.76% and 0.90%, respectively, with the same level of seasoning.
Chart 1 shows total delinquency percentages for each vintage at various levels of seasoning.
Chart 1
Serious Delinquencies
As with total delinquencies, the 2007 vintage had higher levels of serious delinquencies than the prior two vintage years. After six months of seasoning, the 107 transactions issued between January and July 2007 had serious delinquencies totaling 0.30% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had serious delinquencies of 0.09% and 0.14%, respectively, at the same point of seasoning. The same holds true after 12 months of seasoning: cumulative defaults for the 14 transactions issued in January 2007 exceeded those for the 2005 and 2006 vintage years.
The 2006 vintage continues to perform poorly as well. After 12 months of seasoning, serious delinquencies represent approximately 0.48% of the current aggregate pool balance, twice the level for the 2005 vintage (0.24%) 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
For all vintages, cumulative realized losses exceeding 0.01% of the original pool balances haven't started to appear until 24 months of seasoning. Transactions issued in 2001 performed the worst, with 0.05% in cumulative realized losses at month 24, followed by 2002 with 0.02%. At 48 months of seasoning, however, 2000 overtook 2002 as the poorest-performing vintage, with 0.09% of cumulative losses, compared with 0.07% for 2002.
The spike in cumulative losses at month 60 for the 2003 vintage represents only those 20 transactions that closed during January 2003 and have therefore attained five years of seasoning; in comparison, 311 transactions from the same vintage have attained 48 months of seasoning. Only after transactions issued later in 2003 have seasoned five years will we be able to determine whether the current 60-month data point is truly representative of the entire vintage year.
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 the cumulative loss percentages at various levels of seasoning for each vintage.
Chart 3
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