Fitch: Prime RMBS Delinquencies Increase; Subprime Late-Pays Fall

With serious delinquencies up for the 34th consecutive month, U.S. prime residential mortgage-backed securities (RMBS) late-pays surpassed 10 percent in March, but during the same month, subprime delinquencies fell for the first time in nearly four years, Fitch Ratings reported in its latest edition of Performance Metrics.

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Since beginning to rise in the second quarter of 2007, prime RMBS loan delinquencies nearly tripled in 2009 and are already up 90 basis points this year, Fitch said. Overall, prime jumbo RMBS 60-plus day delinquencies rose to 10.1 percent in March, up from 9.9 percent in February and 4.8 percent a year ago. In addition, roll rates also increased to 1.4 percent--the highest-ever level in Performance Metrics history.

The five states with the highest volume of prime jumbo loans outstanding--California, New York, Florida, Virginia, and New Jersey--combined represent approximately two thirds of the total sector. The largest share of the $371 billion market belonged to California in March. Representing a 44 percent share, California prime jumbo loan performance continued to weaken in March, with 60-plus day delinquencies rising to 11.8 percent from 11.6 percent in February.

The data was more encouraging for subprime RMBS delinquencies, which fell to 46.3 percent in March, down from 46.9 percent in February but well above the 39.8 percent of March 2009. This marks the first drop in nearly four years, as subprime late-pays increased dramatically for 44 months from a low point of 6.2 percent in June 2006. Additionally, the roll rate for March fell to 4.5 percent from 5.4 percent the prior month and was well below the trailing 12-month average of 5.7 percent.

Fitch said an increase in loan modification activity contributed favorably to the performance measures.

""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,"" said Vincent Barberio, managing director of Fitch Ratings. ""Nonetheless, March roll rates fell significantly from last month and are now at their lowest level in over two years.""