Although still rising, the slowing rate of U.S. prime RMBS serious delinquencies might mean they are nearing a peak, according to Fitch Ratings' latest Performance Metrics results.

Prime delinquencies rose for the 38th consecutive month. Meanwhile, Alt-A and subprime RMBS delinquencies continued to dip for the fourth and fifth consecutive month, respectively, the rating agency said.

But, the rate of increases has slowed significanty since April as a result of numerous factors, mainly the rising liquidation rate of delinquent loans, said Fitch Managing Director Vincent Barberio.

"Prime delinquency increases have averaged 12 basis points a month since April, which compare favorably to 44-bp monthly averages between April 2009 and March 2010," Barberio said. "While increased liquidations of distressed properties are helping to stem the rise in delinquencies, it also means that realized losses are rising."

In fact, Fitch said that the monthly annualized net-loss rate for prime RMBS has more than doubled to 1.7% from .8% in the past year.

Prime Jumbo RMBS 60+ day delinquencies increased to 10.6% for July, up from 10.4% for June and 6.9% a year ago, according to Fitch. The delinquency rate for loans originated before 2005 was 4.9% while the rate for 2005-2008 vintage loans is more than doubled at 12.5%.

Subprime RMBS delinquencies dropped again in July, decreasing to 43% from 43.7% the previous month. They remain above the 41.8% rate of a year ago. July's roll rate went up slightly to 4.3% from 4.2% the prior month, although stayed well below the trailing 12-month average of 5.2%.

Alt-A RMBS delinquencies decreased to 33.6% in July from 33.7% in June (up from 29.7% in July 2009), Fitch said. This represents the fourth month-over-month dip since April 2006. California and Florida hold over half of the volume of Alt-A RMBS loans outstanding.

While Florida delinquencies stayed flat at 51.8%, California delinquencies dipped to 34.8% from 35.1% the previous month, Fitch said. Inspite of  the sector's fall in delinquencies, roll rates remained high at 3% in July, but down from 3.4% in June.

California prime jumbo loan performance weakened slightly in July, with 60+ days delinquencies rising to 12.2% from 12.1% in June (and 8% in July 2009). During the first seven months of this year, Florida had the biggest jump (2.5%) of the five states with the highest volume of Jumbo loans outstanding. New Jersey was second of the five states with a 2% increase over the same period.

The five states with the biggest prime RMBS loan volume outstanding — California, New York, Florida, Virginia, and New Jersey — together represent around two-thirds of the total sector.

Prime Jumbo RMBS 60+ day delinquencies for these states at July 2010 compared with the previous month, and their estimated share of the approximately $347 billion market, are the following:

— California: 12.2%; up from 12.1% (44% share of the market);
— New York: 7.3%; up from 7.1% (7% share);
— Florida: 18.5%; up from 18.1% (6% share);
— Virginia: 5.6%; up from 5.5% (5% share);
— New Jersey: 9.1%; up from 8.7% (3% share).

The rating agency's RMBS Performance Metrics combines loan level data from Fitch Ratings and LoanPerformance to include delinquency trends, roll rate movement as well as loss rates across vintage, sector, and mortgage type. The report also has information on mortgage servicing trends, including modification activity and advancing percentages, as well as a summary of bond rating changes.

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.