Delinquencies among U.S. subprime residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 have continued to increase. As of the March 2008 distribution date, total delinquencies were 35.26%, 35.37%, and 26.13% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. This is an increase of approximately 2% for the 2005 vintage, 4% for 2006, and 7% for 2007 when compared with the February 2008 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 25.96%, 25.02%, and 17.14% of the current aggregate pool balances, respectively. When compared with the prior distribution date, serious delinquencies have increased by approximately 7% for the 2005 vintage, 7% for 2006, and 12% for 2007.
Table 1 shows the trends for cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates.
Table 1
U.S. Subprime RMBS: Losses And Delinquencies
2005 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
1.02
27.76
3.07
8.33
5.20
16.60
Nov-07
1.12
29.64
3.31
9.19
5.77
18.27
Dec-07
1.29
31.91
3.85
9.96
6.32
20.13
Jan-08
1.44
34.36
4.48
11.06
6.74
22.28
Feb-08
1.60
35.55
4.91
11.86
7.45
24.22
Mar-08
1.79
36.26
5.29
12.63
8.04
25.96
2006 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
0.83
25.11
2.90
8.50
4.27
15.67
Nov-07
0.95
26.42
3.10
9.32
4.99
17.41
Dec-07
1.13
28.79
3.63
9.93
5.69
19.25
Jan-08
1.41
31.79
4.16
10.74
6.10
21.00
Feb-08
1.68
34.17
4.61
11.70
7.07
23.38
Mar-08
1.99
35.37
4.74
12.63
7.65
25.02
2007 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
0.10
14.88
1.68
4.72
0.53
6.93
Nov-07
0.15
17.28
2.15
5.74
0.94
8.83
Dec-07
0.23
19.40
2.55
6.80
1.49
10.84
Jan-08
0.33
22.23
3.29
7.90
2.01
13.20
Feb-08
0.43
24.38
3.90
8.58
2.76
15.24
Mar-08
0.59
26.13
4.02
9.76
3.36
17.14
Top 10 Issuer Comparison
Delinquencies and losses vary greatly among the various issuers and securitizers of subprime RMBS transactions. Differences in underwriting guidelines, adherence to those guidelines, and servicing practices may all contribute to the variations in performance. Beginning with this month's report, we are including a table that compares the cumulative losses, total delinquencies, and serious delinquencies among the 10 largest issuers of Standard & Poor's Ratings Services' rated subprime RMBS transactions within each vintage, as of the most recent distribution date (see table 2). We will update this table each month to provide with readers an up-to-date comparison of the performance of the largest issuers within each product type.
For the 2005 vintage, cumulative losses for the top 10 issuers, as a percentage of the original pool balance, ranged from 1.01% (Ameriquest Mortgage Co.) to 2.56% (Long Beach Mortgage Co.) and averaged 1.73%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 20.69% (Ameriquest Mortgage Co.) to 43.80% (Long Beach Mortgage Co.) and averaged 33.58%. Serious delinquencies, as a percentage of the current pool balance, ranged from 16.08% (Ameriquest Mortgage Co.) to 32.73% (Long Beach Mortgage Co.) and averaged 25.44%.
For the 2006 vintage, cumulative losses for the top 10 issuers, as a percentage of the original pool balance, ranged from 0.87% (First Franklin) to 4.37% (Long Beach Mortgage Co.) and averaged 2.19%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 27.40% (RBS Greenwich) to 42.57% (Long Beach Mortgage Co.) and averaged 33.87%. Serious delinquencies, as a percentage of the current pool balance, ranged from 20.45% (RBS Greenwich) to 32.00% (Long Beach Mortgage Co.) and averaged 25.28%.
For the 2007 vintage, cumulative losses for the top 10 issuers, as a percentage of the original pool balance, ranged from 0.11% (Countrywide) to 1.91% (Deutsche Bank) and averaged 0.66%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 19.99% (HSBC Bank USA) to 36.67% (Deutsche Bank) and averaged 26.88%. Serious delinquencies, as a percentage of the current pool balance, ranged from 13.21% (HSBC Bank USA) to 27.06% (Deutsche Bank) and averaged 18.66%.
Table 2
U.S. Subprime RMBS Issuer Comparison (As Of March 25, 2008)
2005 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Ameriquest Mortgage Co.
1.01
20.69
2.29
8.53
5.26
16.08
Bear Stearns
1.95
38.09
8.57
12.11
7.60
28.28
Countrywide
1.14
26.55
6.65
6.67
5.00
18.32
Credit Suisse (USA)
1.92
37.20
6.35
13.46
8.32
28.13
First Franklin
1.30
32.00
2.63
13.26
8.88
24.78
GMAC-RFC
2.16
34.49
3.23
17.99
5.32
26.53
Lehman Bros.
1.81
36.23
3.42
15.34
9.90
28.66
Long Beach Mortgage Co.
2.56
43.80
6.13
15.40
11.19
32.73
Morgan Stanley
1.82
35.78
5.26
13.64
9.25
28.15
New Century
1.59
30.95
4.19
12.52
6.04
22.75
2006 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Countrywide
0.80
29.60
7.70
7.63
5.32
20.66
Credit Suisse (USA)
1.91
34.96
5.35
12.97
6.50
24.82
First Franklin
0.87
29.17
1.69
12.44
7.01
21.14
GMAC-RFC
2.29
31.02
3.49
15.60
4.29
23.37
JPMorgan Chase
3.18
34.03
1.60
16.64
7.06
25.30
Lehman Bros.
1.84
33.66
3.56
13.86
8.57
25.99
Long Beach Mortgage Co.
4.37
42.57
6.56
14.55
10.90
32.00
Merrill Lynch
3.21
37.54
7.02
12.33
8.56
27.90
Morgan Stanley
2.07
38.79
5.70
15.70
9.78
31.18
RBS Greenwich
1.32
27.40
2.75
12.10
5.60
20.45
2007 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Barclays Capital
1.07
31.84
5.21
13.69
5.56
24.46
Bear Stearns
0.35
24.19
4.48
8.93
2.04
15.44
Citigroup
0.37
25.39
4.61
9.20
3.13
16.94
Countrywide
0.11
22.01
6.51
5.54
1.65
13.70
Deutsche Bank
1.91
36.67
5.77
13.31
7.98
27.06
Goldman Sachs
0.70
26.78
4.64
8.99
4.20
17.83
HSBC Bank USA
0.30
19.99
4.08
7.09
2.04
13.21
Merrill Lynch
0.70
25.87
3.15
10.38
3.77
17.30
Morgan Stanley
0.54
30.26
5.21
12.25
4.76
22.22
Option One
0.50
25.78
1.87
12.80
3.79
18.46
Total Delinquencies
After 12 months of seasoning, the 2007 vintage reported delinquencies amounting to 25.51% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had delinquencies of 9.78% and 18.19%, 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 deals represent approximately 35.13% of the current aggregate pool balance, a 59% increase over the 2005 vintage, which had 22.13% in total delinquencies after the same amount of seasoning.
Chart 1 shows the total delinquency percentage for each vintage at various levels of seasoning.
(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 three months' issuance {deals issued in January, February, and March of those years, which have attained the respective levels of seasoning}, so they are not necessarily representative of the entire issuance year.)
Chart 1
Serious Delinquencies
After 12 months of seasoning, the 2007 vintage had serious delinquencies totaling 16.06% of the current aggregate pool balance. In comparison, 2005 and 2006 vintage transactions with the same amount of seasoning had serious delinquencies of 4.97% and 10.53%, respectively.
The 2006 vintage continues to perform poorly as well. After 24 months of seasoning, serious delinquencies represent approximately 23.66% of the current aggregate pool balance, a 77% increase over the 2005 vintage, which had 13.35% 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 issuance year continues to be the worst-performing vintage in terms of cumulative losses. After 12 months of seasoning, cumulative losses for transactions issued in 2007 represent 0.48% of the original aggregate pool balance, which is 65% higher than the 0.29% 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 percentages at various levels of seasoning for each vintage.
Chart 3
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