U.S. Prime Jumbo RMBS Delinquencies Nearly Triple to 9%; CA Drives Trend

NEW YORK - (Business Wire) More U.S. prime jumbo borrowers are falling and staying behind on their monthly mortgage payments, with states such as California and Florida driving the elevated underperformance, according to Fitch Ratings in the latest edition of its U.S. RMBS delinquency updates through Performance Metrics.

Overall, prime RMBS 60+ days delinquencies rose to 9.2% for December 2009, up almost three times compared to the same period last year (3.2% in December 2008). The 2006/2007 vintages combined rose to 12.7% from 4.3%.

The five states with the highest volume of prime jumbo loans outstanding (California, New York, Florida, Virginia, and New Jersey) comprise approximately two-thirds of the loans in question. Prime jumbo RMBS 60+ days delinquencies for these states at December 2009 compared to December 2008, and their approximate share of the $388 billion market, are as follows:

--California: 10.8%, up from 3.5% (44% share)

--New York: 5.8%, up from 1.8% (7% share)

--Florida: 16%, up from 7.3% (6% share)

--Virginia: 5.4%, up from 2.3% (5% share)

--New Jersey: 7.1%, up from 2.3% (4% share)

Prime jumbo borrowers that were current on their mortgage the previous month but missed a payment the following month (roll rates) averaged about 1% a month for the last 12 months, reaching a seasonal high of 1.3% in December 2009. '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.

Despite some improvement in home prices and a slowdown in employment loss, roll rates have not improved primarily due to the number of prime jumbo borrowers who owe more on their mortgages than their home is worth. 'Over one-third of prime jumbo borrowers that are current on their mortgages also are 'underwater' on their mortgages,' said Barberio.

Fitch's RMBS Performance Metrics combines loan level data from Fitch Ratings and LoanPerformance to include delinquency trends, roll rate movement, and prepayment rates and modified loan levels across vintage, sector, and mortgage type. RMBS Performance Metrics are available at 'www.fitchratings.com' under the following headers:

Sectors >> RMBS >> Tools >> Performance Metrics

Fitch plans to release its Performance Metrics updates monthly to keep the market abreast of regional and overall residential mortgage delinquency trends.