2 October 2008

Serious delinquencies among recent vintage “not-quite-prime” Alt-A mortgage-securities are rosing more sharply than among supposedly riskier subprime securities, according to new data from Standard & Poor’s.

As of the August 2008 distribution date, total delinquencies among U.S. Alternative-A residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 were 16.26%, 22.48%, and 15.74% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. These figures have increased approximately 3.92% for the 2005 vintage, 4.80% for 2006, and 8.13% for 2007 since the June 2008 distribution date.

Serious delinquencies (90-plus days, foreclosures, and real-estate-owned) have also risen since the last distribution date. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 11.44%, 16.16%, and 10.78% of the current aggregate pool balances, respectively. When compared with the prior distribution date, serious delinquencies were up approximately 5.25% for the 2005 vintage, 7.06% for 2006, and 11.67% for 2007. This compares with increases in serious subprime delinquencies of 0.3% for the 2005 vintage, 6% for 2006, and 6% for 2007 of subprime since the last distribution date. ( See Delinquencies of Subprime RMBS Rise, Jumbo Prime Level Off.)

After 12 months of seasoning, the 2007 vintage reported delinquencies totaling 10.41% of the current aggregate pool balance. In comparison, the 2005 and 2006 vintages had delinquencies of 2.43% and 6.45%, respectively, with the same amount of seasoning.

Transactions issued in 2006 continue to perform more poorly than prior vintages.

After 24 months of seasoning, total delinquencies for 2006 represent approximately 18.54% of the current aggregate pool balance, a 208% increase over the 2005 vintage, which had 6.03% in total delinquencies after the same amount of seasoning.

Delinquencies for RMBS backed by closed-end second-lien collateral increased for transactions originally rated in 2006 and 2007 as of the August 2008 distribution date, but decreased for the 2005 vintage transactions. Total delinquency rates for U.S. home equity line of credit (HELOC) RMBS transactions originally rated in 2005 through 2007 generally showed signs of improvement.


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