As subprime delinquency took a turn for the worse, more than $100 billion in subprime residential mortgage-backed securities have been downgraded during the past three months.
Standard & Poor’s issued a report in May indicating that total delinquency declined in March for subprime RMBS issued between 2004 and 2007. And although cumulative losses rose — serious delinquency, new foreclosures and REO filings all fell.
Fitch Solutions reported yesterday that subprime performance showed positive signs during March, April and May. Delinquency of between 30 and 60 days either stabilized or improved.
But that all changed in June.
“There are several signals emerging that may now possibly prefigure a slowdown,” Fitch Senior Director Alexander Reyngold warned in the report.
Fitch Director Kwang Lim explained that borrowers with higher quality credit are leaving the assets pools and dragging down aggregate pool quality in the process.
“Also of note are the dramatic jumps in 30-day delinquency levels across all vintages in June,” Lim said.
Even as performance has deteriorated, the U.S. Subprime Price Index improved 3.9 percent between May and June to 9.74, Fitch Solutions said. The improvements, which reflect the market for subprime RMBS, followed a 7.6 percent improvement the prior month.
Fitch Ratings recently said it took actions on 713 pre-2005 subprime RMBS. The rating agency noted a modest increase in expected pool losses.
Moody’s Investors Service made the following downgrades as a result of continued deterioration in subprime performance on vintages issued between 2005 and 2007. Also a factor were conditions in employment and the real estate market.
| Amount | Issue | # Tranches | # Transactions |
| $30.00 billion | CWABS | 441 | 74 |
| $9.40 billion | Structured Asset Securities Corporation Trust | 155 | 30 |
| $8.80 billion | Ace Securities Corp. | 160 | 40 |
| $8.00 billion | Soundview Home Loan Trust | 111 | 27 |
| $6.80 billion | GSAMP Trust and GSAA Home Equity Trust | 136 | 32 |
| $6.60 billion | Bear Stearns | 201 | 40 |
| $6.50 billion | Structured Asset Investment Loan Trust | 77 | 21 |
| $4.90 billion | Argent | 38 | 10 |
| $4.30 billion | New Century | 56 | 9 |
| $4.00 billion | Securitized Asset Backed Receivables | 53 | 20 |
| $3.90 billion | C-BASS | 95 | 19 |
| $3.40 billion | Ameriquest | 67 | 14 |
| $2.66 billion | SURF | 54 | 18 |
| $2.30 billion | ABFC | 49 | 9 |
| $1.90 billion | Citicorp Residential Mortgage Trust | 66 | 5 |
| $1.60 billion | Accredited | 24 | 6 |
| $1.50 billion | Wells Fargo | 37 | 8 |
| $0.52 billion | Aames | 18 | 4 |
| $0.16 billion | Lehman ABS Mortgage Loan Trust | 3 | 1 |
