Alt-A Delinquencies Soar

Reuters is reporting Subprime, Alt-A mortgage delinquencies rising.

Delinquencies in U.S. subprime debt and higher-quality mortgages known as Alt-A securities are continuing to increase, Standard & Poor's said on Thursday.

Delinquencies for Alt-A mortgages rated between 2005 and 2007 are climbing, with total delinquencies rising as high as 17 percent in some cases, more than 6 percentage points higher than previous estimates, the ratings agency said in a report.

Lower-quality subprime mortgage delinquencies soared as high as 37 percent for mortgages originated in 2006, 4 percentage points higher than previous estimates, S&P said.

Subprime mortgages originated in 2007 saw delinquencies climb to almost 26 percent, 6 percentage points higher.

"The 2007 issuance year continues to be the worst-performing vintage in terms of cumulative losses," S&P said, regarding subprime mortgages. "Serious delinquencies" of payments 90 days late or more and foreclosures also are rising, S&P said.

I have been tracking one particular Alt-A pool (WMALT 2007-0C1) from Washington Mutual for quite some time. It has been the poster child for things going wrong with Al-A. My last update was called WaMu's Suspect Mortgage Pool.

Professor Bennet Sedacca mentioned another horrendously performing set of Alt-A pools last week. It is an aggregate of 9 issues from December 2006. The FICO score average is 704 and full doc was provided approximately 17% of the time. Here is the chart Professor Sedacca posted:

BALTA - 9 Alt-A Deals In Aggregate



click on chart for sharper image

Chris Puplava at Financial Sense provided the following charts of performance over time to consider.

60 Day or worse Delinquencies vs. Foreclosures

Delinquencies 60 day or worse is left scale (red)
Foreclosures is right scale (green)



click on chart for sharper image


Cumulative Losses vs. REOs

REOs are left scale (red)
Cumulative losses are right scale (green)




60 Day or worse Delinquencies vs. REOs

Delinquencies 60 day or worse is right scale (green)
REOs are left scale (red)



click on chart for sharper image

As with WMALT 2007-0C1, liar loans once again appear to be the problem.

Mike "Mish" Shedlock
http://globaleconomicanalysis.blogspot.com
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