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RMBS Delinquencies Rise

March 11, 2010 By Chuck

Fitch ratings has released an update on Residential Mortgage Backed Securities.

Fitch: California prime jumbo RMBS delinquencies rise to 11.6%; Florida to 17%

California prime jumbo loan performance continued to weaken in February, with 60+ days delinquencies rising to 11.6% from 11.3% in January (and 4.7% in February 2009). During the first two months of 2010 Florida had the biggest jump (nearly 1%) of the five states with the highest volume of jumbo loans outstanding. New Jersey was second of the five states with an 80 basis points (bps) increase over the same period.

The five states with the highest volume of prime jumbo loans outstanding (California, New York, Florida, Virginia, and New Jersey) represent approximately two-thirds of total  delinquencies. Prime jumbo RMBS 60+ days delinquencies for these states at February 2010 compared to the prior month, and their approximate share of the estimated $376 billion market, are as follows:

–California: 11.6%, up from 11.3% (44% share of the market);
–New York: 6.3%, up from 6.1% (7% share);
–Florida: 17%, up from 16.6% (6% share);
–Virginia: 5.7%, up from 5.6% (5% share);
–New Jersey: 7.9%, up from 7.4% (4% share).

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Filed Under: Market Updates, Mortgages Tagged With: , ,

Downgrades of $537 Billion of RMBS Highly Likely

February 2, 2010 By Chuck

From the ‘ouch’ files:

Standard & Poors has said it is highly likely that it will downgrade residential mortgage backed securities (RMBS), those securities have a current reported balance of $537.9 Billion (down from $962 Billion). The action, if taken, would downgrade 12,000 classes of prime, subprime, and Alt-A securities issued from 2005 through 2007.

It is the losses that these securities are experiencing that has put the downgrade in the category of ‘highly likely’.

And this from the New York Times:

[…]The number of Americans who owed more than their homes were worth was virtually nil when the real estate collapse began in mid-2006, but by the third quarter of 2009, an estimated 4.5 million homeowners had reached the critical threshold, with their home’s value dropping below 75 percent of the mortgage balance.

They are stretched, aggrieved and restless. With figures released last week showing that the real estate market was stalling again, their numbers are now projected to climb to a peak of 5.1 million by June — about 10 percent of all Americans with mortgages.

“We’re now at the point of maximum vulnerability,” said Sam Khater, a senior economist with First American CoreLogic, the firm that conducted the recent research. “People’s emotional attachment to their property is melting into the air.” […]

The housing market will continue to deteriorate well into 2010, and perhaps even into 2011 before there is a significant bottom in housing prices. Nothing to date suggests that the housing market is recuperating from its drug induced (easy and unethical lending practices)high that the banks brought onto the market.

The patient (housing market) is still dying, however the banks and the Obama administration keep trying to pump more and more of the same drug that killed it in the first place, right into its heart.

Filed Under: Market Updates Tagged With: , ,

Subprime RMBS Loss Projections Deteriorate

January 13, 2010 By Chuck

Moody’s has tonight updated the loss projections for subprime residential mortgage backed securities (RMBS) issued 2005 to 2007.

Moody’s Investors Service has revised its loss projections for US subprime residential mortgage backed securities (RMBS) issued between 2005 and 2007.

On average, Moody’s is now projecting cumulative losses of 18.7% for 2005 securitizations, 38.4% for 2006 securitizations, and 48.1% for 2007 securitizations, reported as a percentage of original balance.

As a result of the revision, Moody’s has now placed 5,698 tranches of subprime RMBS with an original balance of $584 Billion and outstanding balance of $319 Billion, on review for possible downgrade.

Even though the Case-Shiller index in recent months has reported very modest home price gains, Moody’s believes the overhang of impending foreclosures will impact home prices negatively in the coming months.

 

Filed Under: Market Updates Tagged With: ,

Loss Projections For Prime Jumbo RMBS – Possible Downgrades

December 17, 2009 By Chuck

From the wires:

Moody’s Updates Loss Projections For Us Prime Jumbo Rmbs Issued In 2005-2008
Moody’s Investors Service has revised its loss projections for US prime jumbo residential mortgage backed securities (RMBS) issued between 2005 and 2008. On average, Moody’s is now projecting cumulative losses of 3.8% for 2005 securitizations, 8.0% for 2006 securitizations, 10.9% for 2007 securitizations and 12.3% for 2008 securitizations, reported as a percentage of original balance.
As a result of the revision, Moody’s has now placed 4474 tranches of jumbo RMBS with an original balance of $234 billion and current outstanding balance of $143 billion, on review for possible downgrade.
The rapidly deteriorating performance of jumbo pools in conjunction with macroeconomic conditions that remain under duress prompted today’s announcement.
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Filed Under: Market Updates Tagged With:

More Debt Now At Risk of Downgrade – Impacts $450 Billion

November 18, 2009 By Chuck

This evening Moody’s has placed under review for downgrade hybrid and subordinated debt totaling $450 Billion of securities.

Moody”s Investors Service has placed under review for possible downgrade the ratings of 775 hybrid and subordinated debt securities issued by 170 bank families in 36 countries following a change to its rating methodology for these instruments.

The reviews follow the rating agency”s announcement that it has changed the way in which it rates these securities to take into account the fact that some recent government interventions in troubled banks have not helped, and have even been to the detriment of, the holders of these types of securities. For example, in some cases, support packages have been contingent upon a bank”s suspension of coupon payments on these instruments as a means to preserve capital.

I say again.. We keep being told that everything is getting better. This only shows more (not less) deterioration is taking place within the financial markets.

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Filed Under: Market Updates Tagged With: , , ,

JP Morgan Gets Hit With $6 Billion of RMBS Downgrades

June 24, 2009 By Chuck

Late this afternoon JP Morgan (JPM) had $6 billion worth of their RMBS (residential mortgage backed securities) downgraded by Moody’s due to the deteriorating mortgage situation.

Moody”s Downgrades $6B Of RMBS Issued By J.P. Morgan Mortgage Trust And Chl Mortgage Pass-Through Trust

Moody”s Investors Service has downgraded 217 tranches and confirmed 3 tranches from 9 deals issued by J.P. Morgan Mortgage Trust and CHL Mortgage Pass-Through Trust in 2006 and 2008.

The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Jumbo mortgage loans.  The actions are triggered by the quickly deteriorating performance — marked by rising delinquencies and loss severity, along with concerns about the continuing drop in housing prices nationwide and the rising unemployment levels. The actions listed below reflect Moody”s updated expected losses on the jumbo sector announced in a press release on March 19th, 2009, and are part of Moody”s on-going review process. (emphasis added)

Among the tranches downgraded include:
- CHL Mortgage Pass-Through Trust 2008-1
- Cl. A-1, Downgraded to Ba3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. A-2, Downgraded to Baa1; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. A-3, Downgraded to A3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. A-4, Downgraded to A3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. A-5, Downgraded to Baa2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. PO, Downgraded to Ba3; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade
- Cl. X, Downgraded to A2; previously on 4/9/2009 Aaa Placed Under Review for Possible Downgrade

Filed Under: Market Updates Tagged With: ,

RMBS Transactions Cut By Standard & Poors

June 4, 2009 By Chuck

Green shoots?

Yet again we find residential mortgage-backed securities (RMBS being downgraded due to increased loss potential. Tonight after the market closed Standard and Poors downgraded 250 classes of RMBS transactions which are backed by ALT-A and prime jumbo mortgages.

The ratings downgrades impact transactions of loan collateral issued in 2005, 2006, and 2007.

The downgrades reflect the belief that the amount of credit enhancement available for the downgraded classes will not be sufficient to cover S&P’s projected increase in losses due to increases in delinquencies and the current negative condition of the housing market.
S&P revised its loss projections for the following 5 transactions:

  • Banc of America Funding 2006-5 Trust Series 2006-5 ($708M)
  • Chase Mortgage Finance Trust Series 2007-S1 Series 2007-S1 ($430M)
  • CHL Mortgage Pass Through Trust 2007-5 Series 2007-5 ($850M)
  • RFMSI Series 2006-S10 Trust Series 2006-S10 ($780M)
  • Wells Fargo Mortgage Backed Securities 2006-9 Trust Series 2006-9 ($1.29B)
Another round of cuts tonight comes from Moody’s.

Credit Suisse Group – Moody’s cuts 9 classes of CSFB Mortgage Securities Commercial Mortgage Pass-Through Certificates, impacts about $1.8B of debt.

The downgrades are due to higher expected losses for the pool resulting from higher leverage, increased credit quality dispersion, anticipated losses from loans in special servicing and concerns about refinance risk associated with five-year loans approaching maturity.

Sixteen loans, representing 13.7% of the pool, mature within the next 12 months. Six of these loans, representing 8% of the pool, have a Moody’s stressed debt service coverage ratio (“DSCR”) of less than 1.0x. The rating action is the result of Moody’s on-going surveillance of commercial mortgage backed securities (“CMBS”) transactions.
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Filed Under: Market Updates Tagged With: ,

Loss Projections For Jumbo RMBS Rises

April 9, 2009 By Chuck

Moody’s issued a substantial report after the market closed today. The report, which evaluates the loss projections for jumbo loans and the associated RMBS has been updated to reflect continued deterioration in the market.

Moody”s Updates Loss Projections For ”05, ”06, ”07 and ”08 Jumbo Rmbs

- On average, Moody”s is now projecting cumulative losses of about 1.70% for 2005 securitizations, 3.55% for 2006 securitizations, 5.05% for 2007 securitizations and 6.20% for 2008 securitizations (all loss projections are reported as a percentage of original balance of loans securitized for each vintage).

- As a result, it has placed 4,988 tranches of Jumbo RMBS with an original balance of $240.7 billion and current outstanding balance of $173.3 billion, on review for possible downgrade.
- Approximately 70% of the senior securities issued in 2005 are expected to maintain investment grade ratings.
- The remaining senior securities from this vintage are expected to migrate to Ba/B ratings.
- A vast majority of the senior securities issued in 2006 are expected to migrate to a rating ranging from Baa1 to B3 or, in the case of about 35% of the senior securities, to ratings below B3.
- For senior securities issued in 2007, about 20% are expected to migrate to a Ba1-Ba3 rating.
- The majority of the senior securities from this vintage are expected to migrate to ratings below B3.
- In all cases, super senior bonds which are supported by other senior securities that are first in line to take losses once subordinate bonds are written down will benefit from the additional credit protection and could maintain investment grade ratings.

- Moody”s concludes that in most cases, subordinate securities from 2006, 2007 and 2008 transactions will likely be completely written down.
- Moody”s is likely to downgrade the ratings of these securities to Ca or C.

- The rating agency says that during the last six months, Jumbo mortgage loans backing 2005 to 2008 securitizations have shown substantial increases in serious delinquencies and decreases in prepayment rates — levels that are unprecedented for this asset class.
- Borrowers who are 60 or more days delinquent on their payments, have had foreclosure proceedings started against them or properties that are held for sale comprise 1.6%, 2.9%, 3.6% and 3.75% for the 2005, 2006, 2007 and 2008 vintages respectively.

- Moody”s is estimating that eventual default rates for borrowers who become seriously delinquent by end of 2009 on jumbo pools from 2005, 2006, 2007 and 2008 vintages will be 2.3%, 3.9%, 5.0%, and 6.2% respectively (reported as a percentage of original pool balance).
- Because Moody”s expects a further 11% decline in home prices, it has assumed average losses on defaulting jumbo mortgages to be approximately 40% — which is higher than historical severities.
(emphasis added)

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Filed Under: Market Updates Tagged With: , ,
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