U.S. prime RMBS late-pays have now eclipsed 10% at the same time subprime delinquencies fell for the first time in nearly four years, according to Fitch Ratings.

Serious delinquencies are up for the 34th consecutive month. Prime RMBS loan delinquencies nearly tripled in 2009 and are already up 90 basis points this year. Overall, prime jumbo RMBS 60+ days delinquencies rose to 10.1% for March, up from 9.9% for February and 4.8% a year ago.

Roll rates also increased to their highest-ever level (1.4%) in Fitch's performance metrics history.
At the same time, subprime RMBS delinquencies fell to 46.3% in March from 46.9% the prior month but remained well above the 39.8% of a year ago.

Subprime delinquencies rose significantly for 44 months from a low point of 6.2% in June 2006. The roll rate for March fell to 4.5% from 5.4% the prior month and was well below the trailing 12-month average of 5.7%.

"The improvement in subprime delinquencies may be nothing more than a seasonal anomaly of tax refunds being utilized to help borrowers catch up on late mortgage payments,’ Managing Director Vincent Barberio said. "Nonetheless, March roll rates fell significantly from last month and are now at their lowest level in over two years." An increase in loan modification activity also contributed favorably to the performance measures.

California prime jumbo loan performance continued to weaken in March, with 60+ days delinquencies rising to 11.8% from 11.6% in February (and 5.4% in March 2009). In 1Q10, Florida had the biggest jump (1.5%) of the five states with the highest volume of Jumbo loans outstanding. New Jersey was second of the five states with an 1.1% increase over the same period.

The five states — California, New York, Florida, Virginia, and New Jersey — with the highest volume of prime jumbo loans outstanding  combined represent approximately two-thirds of the total sector.

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