The default rate on prime loans backing private-label securities jumped 214 basis points from April to 8.8% in May, according a report by Five Bridges Advisors.

"In dramatic fashion, the performance of prime loans has deteriorated more severely [in May] than either Alt-A or subprime borrowers," the default report says. [Defaults include loans 90 days or more past due, in foreclosure or real estate owned.]

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