U.S. HELOC RMBS Performance Update: January 2008 Distribution Date
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| Publication Date: Feb 25, 2008 12:14 EST |
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 | U.S. HELOC RMBS Performance Update: January 2008 Distribution Date | |
| | | Publication date: 25-Feb-08, 12:14:06 EST | |
Reprinted from
RatingsDirect
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Total delinquency rates for U.S. home equity line of credit (HELOC) residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 showed mixed performance as of the January 2008 distribution date. Delinquencies were 8.82%, 10.18%, and 4.62% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. When compared with the December 2007 distribution date, the January figures mark increases of approximately 6.14% for the 2005 vintage and 7.61% for 2006 transactions, while the 2007 vintage saw a decrease of 3.95%. These vintages turned in a similar pattern of performance in terms of serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}). As of the January 2008 reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 4.78%, 5.17%, and 2.00% of the current aggregate pool balances, respectively. Compared with the prior distribution date, serious delinquencies increased approximately 5.99% for 2005 and 7.94% for 2006, while the 2007 vintage saw an 11.50% decline. The following table shows the trends in cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates.
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U.S. HELOC RMBS: Losses And Delinquencies |
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2005 vintage |
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Distribution date |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Aug-07 |
0.82 |
7.18 |
3.70 |
0.25 |
0.18 |
4.13 |
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Sep-07 |
0.93 |
7.50 |
3.97 |
0.24 |
0.18 |
4.39 |
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Oct-07 |
1.09 |
8.31 |
4.27 |
0.21 |
0.36 |
4.85 |
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Nov-07 |
1.39 |
7.87 |
3.59 |
0.29 |
0.23 |
4.11 |
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Dec-07 |
1.58 |
8.31 |
4.01 |
0.27 |
0.23 |
4.51 |
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Jan-08 |
1.88 |
8.82 |
4.26 |
0.31 |
0.21 |
4.78 |
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2006 vintage |
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Distribution date |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Aug-07 |
0.88 |
6.73 |
3.03 |
0.16 |
0.05 |
3.23 |
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Sep-07 |
1.11 |
7.13 |
3.38 |
0.17 |
0.06 |
3.60 |
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Oct-07 |
1.44 |
8.30 |
3.92 |
0.16 |
0.07 |
4.15 |
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Nov-07 |
1.88 |
8.68 |
3.95 |
0.15 |
0.07 |
4.17 |
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Dec-07 |
2.37 |
9.46 |
4.55 |
0.15 |
0.08 |
4.79 |
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Jan-08 |
2.91 |
10.18 |
4.95 |
0.16 |
0.06 |
5.17 |
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2007 vintage |
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Distribution date |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Aug-07 |
0.06 |
2.58 |
0.80 |
0.10 |
0.00 |
0.89 |
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Sep-07 |
0.15 |
2.93 |
1.04 |
0.18 |
0.01 |
1.23 |
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Oct-07 |
0.40 |
3.66 |
1.32 |
0.23 |
0.02 |
1.57 |
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Nov-07 |
0.72 |
4.25 |
1.55 |
0.30 |
0.02 |
1.86 |
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Dec-07 |
1.18 |
4.81 |
1.87 |
0.35 |
0.04 |
2.26 |
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Jan-08 |
1.66 |
4.62 |
1.96 |
0.04 |
0.01 |
2.00 |
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 delinquencies totaling 5.52% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had total delinquencies of 1.77% and 4.61%, 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 8.01% of the current aggregate pool balance, a 64.13% increase over the 2005 vintage, which had 4.88% in total delinquencies after the same amount of seasoning. Chart 1 shows the total delinquency percentage at various levels of seasoning for each vintage. Chart 1
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Serious Delinquencies |
After 12 months of seasoning, the 2007 vintage had serious delinquencies totaling 2.53% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had serious delinquencies of 0.60% and 2.01%, respectively, 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 4.09% of the current aggregate pool balance, a 58.53% increase over the 2005 vintage, which had 2.58% 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
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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 1.33% of the aggregate original pool balance, which is 189% higher than the 0.46% 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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