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Mortgage Backed Securities | MBS News | MBS Statistics
News about commercial and residential mortgage-backed securities. Stories about ratings actions and changes to servicer ratings. Studies and reports about the performance of securitizations and problem vintages and classes. Subprime, Alt-A, home equity and j u m b o analysis.

Jumbo Performance Rapidly Deteriorating

Recent jumbo RMBS ratings activity

May 14, 2009

By staff

As home prices continue to fall, performance on prime jumbo loans backing residential mortgage-backed securities is rapidly deteriorating. Jumbo mortgages securitized last year are expected to suffer the greatest losses.

A recent update from Moody's Investors Service indicated that the agency increased its cumulative loss projections on prime jumbo loans to 3.55 percent on the 2006 vintage from around 1.85 percent as of September 2008. Loss projections on 2007 pools were boosted to 5.05 percent from approximately 2.85 percent.

Losses on 2005 pools were increased to 1.70 percent, while projections on 2008 pools were bumped to 6.20 percent.

The increase in loss expectations reflects the expected benefit from the Housing Affordability and Stability Plan -- which Moody's expects will decrease losses by 15 percent.

But jumbo performance has been rapidly deteriorating as property values continue to decline and unemployment continues to increase. Delinquency of at least 60 days is at "unprecedented" levels -- exceeding 3.5 percent on 2007 vintage fixed-rate loans and nearing 6 percent on 2008 vintage adjustable-rate mortgages.

At the same time, prepayments have "drastically" slowed.

Including subsequent actions, Moody's reported that it placed 5,067 tranches for $174.7 billion on review for a possible downgrade.

Concerns about falling home prices and rising unemployment as well as quickly deteriorating loan performance prompted Moody's to downgraded tranches of the following securities.

  • 443 tranches from 28 Wells Fargo Mortgage Backed Securities issuances from 2006 and 2007;
  • 329 certificates from 11 Banc of America transactions from 2006 and 2007;
  • 227 classes of 20 CHL Mortgage Pass-Through Trust deals securitized in 2006 and 2007;
  • 193 tranches from 16 RFMSI Series RMBS issued in 2006 and 2007;
  • 155 certificates from seven 2006 and 2007 J.P. Morgan transactions;
  • 147 classes of nine Chase Mortgage Finance Trust securitizations from 2006 and 2007;
  • 136 ratings from 11 Citi deals securitized in 2006 and 2007;
  • 102 tranches from RFMSI Series Trust RMBS issued in 2005;
  • 100 certificates from Wells Fargo Mortgage-Backed Securities 2007-11 Trust;
  • 94 classes of 14 Wells Fargo Mortgage Backed Securities trust deals issued in 2006 and 2007;
  • 86 certificates from 13 Thornburg securitizations from 2005, 2006 and 2007;
  • 67 classes of Chase Mortgage Finance Trust 2005-S1, 2005-S2 and 2005-S3;
  • 61 certificates from seven Merrill Lynch Mortgage Investors Trust deals issued issuances closed in 2005;
  • 34 classes of four 2005 Sequoia Mortgage Trust deals;
  • 27 tranches from Sequoia Mortgage Trust 2007-2, 2007-3 and 2007-4;
  • 26 ratings from Wells Fargo Mortgage Backed Securities 2005-AR16 Trust and 2005-AR3 Trust;
  • 19 certificates from J.P. Morgan Mortgage Trust 2005-A7;
  • 18 ratings from Bear Stearns ARM Trust 2006-1, 2007-2 and 2007-4;
  • 17 certificates from four 2006 and 2007 Merrill Lynch Mortgage transactions; and
  • nine tranches from Prime Mortgage Trust 2005-3.

In February, Standard & Poor's Ratings Services placed 3,279 ratings on jumbo RMBS issued in 2006 and 2007 on CreditWatch Negative.

A Feb. 24 announcement from S&P indicated tranches from the following transactions were downgraded.

  • Banc of America Funding 2006-B Trust 2006-B and 2007-C;
  • Banc of America Mortgage 2005-K Trust;
  • Bear Stearns ARM Trust 2005-12, 2005-6 and 2005-7;
  • CHL Mortgage Pass-Through Trust 2004-23 and 2004-HYB9;
  • Citigroup Mortgage Loan Trust 2007-10 and 2007-10h;
  • Citigroup Mortgage Loan Trust Inc. 2005-9;
  • Citigroup Mortgage Loan Trust Series 2004-HYB3;
  • Countrywide Home Loans, Inc. 2004-W13;
  • Credit Suisse First Boston Mortgage Securities Corp. 2005-7;
  • CSFB Mortgage-Backed Trust Series 2005-12;
  • Fannie Mae REMIC Trust 2004-W4 2004;
  • First Horizon Mortgage Pass Through Trust 2006-AR1;
  • First Horizon Mtg Pass-Through Trust 2000-H;
  • GMACM Mortgage Loan Trust 2005-AR6 and 2006-AR1;
  • GSR Mortgage Loan Trust 2004-11, 2005-7F, 2005-AR2 and 2006-AR2;
  • HarborView Mortgage Loan Trust 2003-3, 2004-6, 2004-7, 2004-8 and 2006-2;
  • Lehman Mortgage Trust 2007-3;
  • Merrill Lynch Mortgage Investors Trust Series 2006-AF1;
  • Morgan Stanley Mortgage Loan Trust 2004-7AR;
  • RFMSI Series 2005-S8 Trust, 2005-SA3 Trust, 2006-SA1 Trust and 2007-SA1 Trust;
  • Sequoia Mortgage Trust 11;
  • Structured Adjustable Rate Mortgage Loan Trust 2004-2, 2004-15, 2005-12, 2005-15, 2005-17 and 2005-21;
  • Structured Asset Securities Corp. 2004-13;
  • Structured Asset Securities Corporation Trust 2005-17;
  • WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust, 2007-HY3 Trust and 2006-AR8 Trust; and
  • Wells Fargo Mortgage Backed Securities 2004-J Trust 2004-U Trust.
Servicing News | Servicer Ranking | Delinquency Statistics
Stories about mortgage servicers, delinquency and f o r e c l o s u r e s. Coverage of servicing lawsuits and loan servicing technology.

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