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.]

The jump in prime defaults partially reflects the lifting of foreclosure moratoriums, as well as the "very tight credit markets for jumbo loans in the United States and the increase in mortgage rates over the last six weeks," according to analysts at Five Bridges, which is based in Bethesda, Md.

Prime loans make up 23.5% of all non-agency mortgage loans with Alt-A making up 41% and subprime 35.5%.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.