U.S. Closed-End Second-Lien RMBS Performance Update: March 2008 Distribution Date
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| Publication Date: Apr 17, 2008 09:58 EST |
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 | U.S. Closed-End Second-Lien RMBS Performance Update: March 2008 Distribution Date | |
| | | Publication date: 17-Apr-08, 09:58:16 EST | |
Reprinted from
RatingsDirect
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Total delinquencies for U.S. residential mortgage-backed securities (RMBS) backed by closed-end second-lien collateral continued to increase over the past six months for transactions originally rated in 2006 and 2007, while the 2005 vintage saw a decline. As of the March 2008 distribution date, total delinquencies were 13.95%, 14.83%, and 11.88% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. These figures are down roughly 7% for the 2005 vintage and up approximately 2% for 2006 and 5% for 2007 compared with the February 2008 distribution date. Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) also decreased for the 2005 vintage and increased for the 2006 and 2007 vintages since the last distribution date. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 8.21%, 9.10%, and 6.53%, respectively. When compared with the prior distribution date, serious delinquencies fell approximately 3% for the 2005 vintage and were up roughly 7% for 2006 and 10% for 2007. Table 1 shows the trends for cumulative losses, total delinquencies, and serious delinquencies over the past six distribution dates. Table 1
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U.S. Closed-End Second-Lien 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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Oct-07 |
6.08 |
12.43 |
5.58 |
0.43 |
0.31 |
6.32 |
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Nov-07 |
6.63 |
13.20 |
6.27 |
0.39 |
0.29 |
6.95 |
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Dec-07 |
7.21 |
13.99 |
7.09 |
0.35 |
0.27 |
7.70 |
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Jan-08 |
7.85 |
14.81 |
7.84 |
0.29 |
0.25 |
8.38 |
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Feb-08 |
8.70 |
14.98 |
8.06 |
0.18 |
0.23 |
8.47 |
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Mar-08 |
9.53 |
13.95 |
7.88 |
0.14 |
0.19 |
8.21 |
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2006 vintage |
|
Distribution date |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Oct-07 |
5.49 |
10.82 |
4.57 |
0.89 |
0.37 |
5.84 |
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Nov-07 |
6.35 |
11.73 |
4.99 |
0.97 |
0.40 |
6.36 |
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Dec-07 |
7.16 |
12.80 |
5.73 |
0.97 |
0.47 |
7.17 |
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Jan-08 |
8.14 |
13.93 |
6.45 |
0.95 |
0.52 |
7.92 |
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Feb-08 |
9.29 |
14.57 |
6.95 |
0.97 |
0.61 |
8.53 |
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Mar-08 |
10.37 |
14.83 |
7.25 |
1.17 |
0.68 |
9.10 |
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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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Oct-07 |
0.90 |
7.55 |
3.18 |
0.13 |
0.01 |
3.33 |
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Nov-07 |
1.58 |
8.41 |
3.70 |
0.13 |
0.02 |
3.85 |
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Dec-07 |
2.45 |
9.46 |
4.40 |
0.12 |
0.02 |
4.54 |
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Jan-08 |
3.58 |
10.54 |
5.14 |
0.11 |
0.03 |
5.28 |
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Feb-08 |
4.74 |
11.27 |
5.79 |
0.07 |
0.05 |
5.92 |
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Mar-08 |
6.26 |
11.88 |
6.41 |
0.07 |
0.05 |
6.53 |
Top 10 Issuer Comparison |
Delinquencies and losses vary greatly among the various issuers and securitizers of closed-end second-lien 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 closed-end second-lien 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 10 issuers, as a percentage of the original pool balance, ranged from 0.64% (GMAC Mortgage) to 15.99% (Morgan Stanley) and averaged 9.44%. Total delinquencies for these issuers, as a percentage of the current pool balance, ranged from 2.24% (GMAC Mortgage) to 22.96% (RBS Greenwich) and averaged 14.95%. Serious delinquencies, as a percentage of the current pool balance, ranged from 0.96% (GMAC Mortgage) to 13.90% (Merrill Lynch) and averaged 8.63%. For the 2006 vintage, cumulative losses for the top 10 issuers ranged from 1.01% (GMAC Mortgage) to 19.58% (Goldman Sachs) and averaged 10.65%. Total delinquencies ranged from 2.97% (GMAC Mortgage) to 22.12% (IndyMac Bank) and averaged 16.14%. Serious delinquencies ranged from 1.25% (GMAC Mortgage) to 15.19% (IndyMac Bank) and averaged 9.78%. For the 2007 vintage, cumulative losses for the top 10 issuers ranged from 0.79% (GMAC Mortgage) to 14.58% (The Winter Group) and averaged 7.09%. Total delinquencies ranged from 1.41% (Flagstar) to 19.80% (Nomura Securities) and averaged 11.80%. Serious delinquencies ranged from 0.19% (Flagstar) to 10.97% (Nomura Securities) and averaged 6.19%. Table 2
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U.S. Closed-End Second-Lien RMBS Issuer Comparison (As Of March 25, 2008) |
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Issuer |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Bear Stearns |
14.53 |
19.07 |
11.03 |
0.07 |
0.26 |
11.35 |
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Credit Suisse (USA) |
7.61 |
14.15 |
7.95 |
0.24 |
0.09 |
8.28 |
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First Franklin |
7.98 |
14.69 |
6.39 |
0.00 |
0.56 |
6.95 |
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GMAC Mortgage |
0.64 |
2.24 |
0.68 |
0.18 |
0.10 |
0.96 |
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GMAC-RFC |
2.95 |
5.24 |
2.39 |
0.00 |
0.00 |
2.39 |
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Lehman Bros. |
10.56 |
14.31 |
8.72 |
0.05 |
0.21 |
8.98 |
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Merrill Lynch |
12.15 |
22.60 |
13.31 |
0.04 |
0.55 |
13.90 |
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Morgan Stanley |
15.99 |
19.33 |
9.60 |
1.55 |
0.65 |
11.81 |
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RBS Greenwich |
13.03 |
22.96 |
11.80 |
0.15 |
0.53 |
12.47 |
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The Winter Group |
8.95 |
14.95 |
8.92 |
0.20 |
0.13 |
9.25 |
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Issuer |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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American Home Mortgage |
1.47 |
16.44 |
1.06 |
8.42 |
3.76 |
13.25 |
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Bear Stearns |
16.60 |
19.42 |
10.84 |
0.05 |
0.16 |
11.04 |
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Countrywide |
2.33 |
5.92 |
2.96 |
0.02 |
0.53 |
3.51 |
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Credit Suisse (USA) |
14.09 |
16.36 |
8.08 |
0.23 |
0.02 |
8.33 |
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First Franklin |
17.32 |
16.65 |
5.27 |
3.49 |
0.15 |
8.90 |
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GMAC Mortgage |
1.01 |
2.97 |
1.08 |
0.14 |
0.03 |
1.25 |
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Goldman Sachs |
19.58 |
21.85 |
11.94 |
0.15 |
0.01 |
12.11 |
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IndyMac Bank |
6.87 |
22.12 |
14.41 |
0.78 |
0.00 |
15.19 |
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Lehman Bros. |
11.66 |
20.65 |
12.89 |
0.05 |
0.17 |
13.10 |
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The Winter Group |
15.56 |
19.06 |
10.93 |
0.13 |
0.00 |
11.07 |
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Issuer |
Cumulative losses (%) |
Total delinquencies (%) |
90-plus days (%) |
Foreclosures (%) |
REO (%) |
Serious delinquencies (%) |
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Bear Stearns |
8.22 |
15.71 |
8.52 |
0.08 |
0.05 |
8.66 |
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Countrywide |
1.66 |
4.09 |
1.98 |
0.00 |
0.16 |
2.15 |
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Credit Suisse (USA) |
12.19 |
15.67 |
7.04 |
0.04 |
0.00 |
7.08 |
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Deutsche Bank |
6.46 |
18.13 |
9.93 |
0.03 |
0.00 |
9.95 |
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First Franklin |
12.90 |
15.43 |
7.68 |
0.00 |
0.01 |
7.69 |
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Flagstar |
1.68 |
1.41 |
0.16 |
0.04 |
0.00 |
0.19 |
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GMAC Mortgage |
0.79 |
2.26 |
0.85 |
0.15 |
0.01 |
1.02 |
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GMAC-RFC |
3.09 |
7.72 |
3.98 |
0.01 |
0.00 |
4.00 |
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Nomura Securities |
9.34 |
19.80 |
10.90 |
0.02 |
0.05 |
10.97 |
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The Winter Group |
14.58 |
17.75 |
10.01 |
0.15 |
0.07 |
10.23 |
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Total Delinquencies |
After 12 months of seasoning, the 2007 vintage reported delinquency levels totaling 10.35% of the current aggregate balance. In comparison, the 2005 and 2006 vintages had total delinquencies of 5.68% and 9.27%, 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 15.78% of the current aggregate pool balance, a 31% increase over the 2005 vintage, which had 12.06% 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. Also, we included data only for those transactions that were still outstanding at each point of comparison.) Chart 1
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Serious Delinquencies |
After 12 months of seasoning, the 2007 vintage had serious delinquencies totaling 5.68% of the aggregate pool balance. In comparison, 2005 and 2006 vintage transactions with the same amount of seasoning had serious delinquencies of 2.71% and 5.17%, respectively. The 2006 vintage continues to perform poorly as well. After 24 months of seasoning, serious delinquencies represent approximately 8.93% of the current pool balance, a 47% increase over the 2005 vintage, which had 6.10% 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 5.21% of the original aggregate pool balance, which is 60% higher than the 3.26% 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 closed-end second-lien 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 with 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 at various levels of seasoning for each vintage. Chart 3
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