TEXT-Fitch: US subprime late-pays fall, 1st in 4 yrs

(The following statement was released by the rating agency)

April 7 - With serious delinquencies up for the 34th consecutive month,
U.S. prime RMBS late-pays have now eclipsed 10%, according to Fitch Ratings in
the latest edition of Performance Metrics. Conversely, subprime delinquencies
fell for the first time in nearly four years.
Since beginning to rise in second quarter-2007, prime RMBS loan delinquencies
nearly tripled in 2009 and are already up 90 basis points (bps) this year.
Overall, prime jumbo RMBS 60+ days delinquencies rose to 10.1% for March up
from 9.9% for February and 4.8% a year ago.
Roll rates also increased to their highest-ever level (1.4%) in Performance
Metrics history. 'The pace of performing loans rolling delinquent over the last
twelve months remains elevated,' said Managing Director Vincent Barberio.
Subprime RMBS delinquencies fell to 46.3% in March from 46.9% the prior month
but remained well above the 39.8% of a year ago. Subprime delinquencies rose
dramatically for 44 months from a low point of 6.2% in June 2006. The roll rate
for March fell to 4.5% from 5.4% the prior month and was well below the
trailing 12-month average of 5.7%.
'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 Barberio. 'Nonetheless, March roll rates fell
significantly from last month and are now at their lowest level in over two
years.' An increase in loan modification activity also contributed favorably to
the performance measures.
California prime jumbo loan performance continued to weaken in March, with 60+
days delinquencies rising to 11.8% from 11.6% in February (and 5.4% in March
2009). During the first quarter of 2010 Florida had the biggest jump (1.5%) of
the five states with the highest volume of jumbo loans outstanding. New Jersey
was second of the five states with an 1.1% 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) combined represent
approximately two-thirds of the total sector. Prime jumbo RMBS 60+ days
delinquencies for these states at March 2010 compared to the prior month, and
their approximate share of the estimated $371 billion market, are as follows:
--California: 11.8%, up from 11.6% (44% share of the market);
--New York: 6.7%, up from 6.3% (7% share);
--Florida: 17.5%, up from 17% (6% share);
--Virginia: 5.8%, up from 5.7% (5% share);
--New Jersey: 8.2%, up from 7.9% (4% share).
Fitch's RMBS Performance Metrics combines loan level data from Fitch Ratings
and LoanPerformance to include delinquency trends, roll rate movement and loss
rates across vintage, sector, and mortgage type. The report also includes data
on mortgage servicing trends, such as modification activity and advancing
percentages, as well as a summary of bond rating changes.
Fitch releases its Performance Metrics updates monthly to keep the market
abreast of regional and overall residential mortgage delinquency trends. RMBS
Performance Metrics are available at 'www.fitchratings.com' under the following
headers:
Sectors >> RMBS >> Tools >> Performance Metrics
Contact: Vincent Barberio +1-212-908-0505 or Grant Bailey +1-212-908-0544, New
York.
(New York Ratings Team)