Prime Jumbo RMBS Delinquencies Swell to 9.2%: Fitch
[Update 1: Adds prime jumbo data from Amherst Securities Group.] Delinquency of more than 60 days among prime jumbo residential mortgage-backed securities (RMBS) nearly tripled to 9.2% in December 2009, from 3.2% at the end of 2008, according to Fitch Ratings. The '06-'07 prime jumbo RMBS vintages alone rose to a combined 12.7% delinquency rate, Fitch notes, from 4.3% a year earlier: Defaults in non-private-label securitizations of jumbo loans for all years [pictured above, in red] is on the rise, inching toward 7% as of October 2009, much in line with other collateral types, according to Amherst Securities Group. A jumbo mortgage has an initial principal amount above the $417,000 conventional loan limit set by Fannie Mae (FNM) and Freddie Mac (FRE). In higher-priced markets the limit is $729,750, and, in October, appropriations committees in both the House and Senate proposed an extension of the limit through 2010. California and Florida spearheaded the rising delinquencies seen by Fitch, jumping to 10.8% and 16%, respectively, from 3.5% and 7.3% a year earlier. California represents 44% of the $388bn prime jumbo RMBS market, and Florida represents 6%. Three other states rounded out the top five in terms of highest volume of prime jumbo loans outstanding. New York, which represents 7% of the market, saw delinquencies rise to 5.8% in December 2009 from 1.8% a year earlier. Virginia, representing 5% of the market, jumped to 5.4% delinquent from 2.3% a year earlier. And New Jersey, representing 4% of the market, swelled to 7.1% delinquent, from 2.3% a year earlier. Roll rates of borrowers moving from current status into delinquency averaged around 1% each month for the last 12 months, Fitch noted, peaking at a seasonal high of 1.3% in December. "While some of these borrowers caught up, many either remained a payment late or became more delinquent in the succeeding months," said managing director Vincent Barberio in an e-mailed statement. Of the prime jumbo borrowers that are still current on payments, more than one-third are also underwater on their mortgages, owing more than the home is worth, Fitch said. The December performance comes after prime jumbo RMBS delinquencies rose across all vintages in November, according to Standard & Poor's. The '04 vintage rose to 7.97% delinquent, while '05 inched up to 10.65%. At the same time, the '06 vintage rose to 15.25% delinquent and '07 grew to 14.24%. Fitch did not take ratings actions on the RMBS mentioned in Tuesday's statement, despite the soaring delinquencies, although S&P warned last year downgrades were working up the waterfall to triple-A prime jumbo RMBS classes. Write to Diana Golobay.