A small, although rising, number of prime jumbo mortgages are becoming seriously delinquent. According to a report released by Barclays Capital this morning, approximately 1.5% of fixed rate loans are 60 days or more past due.

In a previous report, the firm updated its loss estimates on Alt-A mortgage-backeds. Analysts noted that the combined effects of extreme year-over-year housing price drops, particularly in the non-agency heavy states of California and Florida, and the lock up in mortgage securitization have spurred loss risk.

This morning's report updated the firm's projections for fixed-rate prime jumbo losses. It also emphasizes that the same effects are at work for prime jumbos.

Although analysts predict that collateral losses for the 2004 vintage will  remain mild, for 2005 and later vintages, they estimate prime jumbo losses to exceed the worst prime jumbo vintages of 1989 and 1990. Losses in these two early vintages reached 1.5%.

They estimated that collateral losses for 2005, 2006, and 2007 vintages will be 2.2%, 4.2%, and 5.7%, respectively. As a result of these worse projected collateral losses, the firm anticipates writedowns to affect higher-rated prime jumbo bonds.

Bond losses should eliminate much of the 2006 and 2007 double-A classes and rise up to the senior classes, which should see small writedown amounts. Senior classes from more seasoned bonds should fare much better, according to Barclays analysts, as only a handful of 2004 seniors will probably take a minor loss and fewer than 10% of 2005 senior classes will take losses.

Analysts added that for 2004 bonds, losses should be contained in the triple-B and lower classes and 2005 vintage bond losses will stay in the double-A and lower classes.

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