Total delinquency rates for U.S. home equity line of credit (HELOC) residential mortgage-backed securities (RMBS) transactions originally rated in 2005 and 2006 rose as of the March 2008 distribution date, while 2007 deals saw a decline. Delinquencies were 9.19%, 11.45%, and 4.72% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. When compared with the February 2008 distribution date, the March figures increased approximately 6.49% for the 2005 vintage and 6.51% for 2006 transactions, while the 2007 vintage saw a 9.06% decrease.
Meanwhile, serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) increased for the 2005 and 2006 vintages and remained flat for 2007 transactions. As of the March 2008 reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 5.30%, 6.34%, and 2.64% of the current aggregate pool balances, respectively. Compared with the prior distribution date, serious delinquencies increased approximately 8.83% for 2005 and 8.75% for 2006.
Table 1 shows the trends in cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates.
Table 1
U.S. HELOC RMBS: Losses And Delinquencies
2005 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
1.09
8.31
4.27
0.21
0.36
4.85
Nov-07
1.39
7.87
3.59
0.29
0.23
4.11
Dec-07
1.58
8.31
4.01
0.27
0.23
4.51
Jan-08
1.88
8.82
4.26
0.31
0.21
4.78
Feb-08
2.08
8.63
4.37
0.31
0.18
4.87
Mar-08
2.32
9.19
4.76
0.34
0.20
5.30
2006 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
1.44
8.30
3.92
0.16
0.07
4.15
Nov-07
1.88
8.68
3.95
0.15
0.07
4.17
Dec-07
2.37
9.46
4.55
0.15
0.08
4.79
Jan-08
2.91
10.18
4.95
0.16
0.06
5.17
Feb-08
3.59
10.75
5.60
0.16
0.07
5.83
Mar-08
4.27
11.45
6.07
0.21
0.06
6.34
2007 vintage
Distribution date
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Oct-07
0.40
3.66
1.32
0.23
0.02
1.57
Nov-07
0.72
4.25
1.55
0.30
0.02
1.86
Dec-07
1.18
4.81
1.87
0.35
0.04
2.26
Jan-08
1.66
4.62
1.96
0.04
0.01
2.00
Feb-08
1.97
5.19
2.13
0.45
0.06
2.64
Mar-08
2.97
4.72
2.26
0.04
0.00
2.64
Top Five Issuer Comparison
Delinquencies and losses vary greatly among the various issuers and securitizers of HELOC 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 five largest issuers of Standard & Poor's Ratings Services' rated HELOC RMBS transactions within each vintage, as of the most recent distribution date (see table 2). We will update this table each month to provide readers with 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 five issuers, as a percentage of the original pool balance, ranged from 0.21% (Wachovia) to 2.41% (GMAC Mortgage) and averaged 1.89%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 2.36% (Wachovia) to 9.88% (GreenPoint) and averaged 5.69%. Serious delinquencies, as a percentage of the current pool balance, ranged from 1.21% (Wachovia) to 5.66% (GreenPoint) and averaged 2.99%.
For the 2006 vintage, cumulative losses for the top five issuers, as a percentage of the original pool balance, ranged from 2.29% (GMAC Mortgage) to 9.52% (Bear Stearns) and averaged 5.37%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 4.81% (GMAC Mortgage) to 15.30% (GreenPoint) and averaged 10.54%. Serious delinquencies, as a percentage of the current pool balance, ranged from 2.19% (GMAC Mortgage) to 8.84% (GreenPoint) and averaged 5.71%.
For the 2007 vintage, cumulative losses for the top five issuers, as a percentage of the original pool balance, ranged from 0.04% (Wachovia) to 8.74% (GreenPoint) and averaged 4.05%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 0.23% (Wachovia) to 15.59% (GreenPoint) and averaged 9.65%. Serious delinquencies, as a percentage of the current pool balance, ranged from 0.16% (Wachovia) to 8.16% (GreenPoint) and averaged 4.92%.
Table 2
U.S. HELOC RMBS Issuer Comparison (As Of March 25, 2008)
2005 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Countrywide
2.39
7.71
4.15
0.29
0.19
4.63
GMAC Mortgage
2.41
4.95
1.68
0.27
0.07
2.02
Greenpoint
2.19
9.88
5.63
0.00
0.03
5.66
Wachovia
0.21
2.36
0.76
0.39
0.06
1.21
Flagstar
2.24
3.56
0.91
0.53
0.00
1.44
2006 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Countrywide
4.03
5.26
2.76
0.06
0.03
2.85
GMAC Mortgage
2.29
4.81
1.80
0.32
0.06
2.19
IndyMac
3.90
12.32
6.59
0.03
0.00
6.63
Greenpoint
7.10
15.30
8.84
0.00
0.00
8.84
Bear Stearns
9.52
15.03
7.77
0.16
0.11
8.04
2007 vintage
Issuer
Cumulative losses (%)
Total delinquencies (%)
90-plus days (%)
Foreclosures (%)
REO (%)
Serious delinquencies (%)
Countrywide
3.98
9.70
4.42
0.09
0.00
4.52
Wachovia
0.04
0.23
0.10
0.05
0.01
0.16
Greenpoint
8.74
15.59
8.16
0.00
0.00
8.16
IndyMac
3.39
10.54
5.85
0.03
0.00
5.88
RFC
4.08
12.18
5.88
0.00
0.00
5.88
Total Delinquencies
After 12 months of seasoning, the 2006 and 2007 vintages reported delinquencies totaling 6.27% and 6.04% of the current aggregate pool balance, respectively. In comparison, the 2005 vintage had total delinquencies of 2.55% 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 10.83% of the current aggregate pool balance, a 43.45% increase over the 2005 vintage, which had 7.55% in total delinquencies after the same amount of seasoning.
Chart 1 shows the total delinquency percentage at various levels of seasoning for each vintage.
(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. Also, we included data only for those transactions that were still outstanding at each point of comparison.)
Chart 1
Serious Delinquencies
After 12 months of seasoning, the 2006 and 2007 vintages are displaying similar performance, with serious delinquencies totaling 3.00% and 2.89% of the current aggregate pool balance, respectively. In comparison, the 2005 vintage had serious delinquencies of 0.92% at the same point of seasoning.
The 2006 vintage continues to perform poorly in this category as well. After 24 months of seasoning, serious delinquencies represent approximately 6.37% of the current aggregate pool balance, a 49.53% increase over the 2005 vintage, which had 4.26% 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 3.50% of the aggregate original pool balance, which is 257% higher than the 0.98% 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 HELOC 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 for 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 for each vintage at various levels of seasoning.
Chart 3
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