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Stime di perdite sugli Alt -A RMBS in salita, secondo Fitch.
Il calo dei prezzi delle case ha inciso drasticamente sull'home equity, portandolo su valori negativi, anche per il 50% debitori con performing loans (ai quali tuttavia non converrebbe continuare a pagare il mutuo) dei mutui Alt -A accesi nel periodo 2005-7 e del 10% di tutti i debitori solvibili con mutui Alt -A accesi prima del 2005.
Pesa inoltre il fattore disoccupazione.
Fitch: Negative Equity, Jobless Claims Weigh on U.S. Alt-A RMBS; Actions on 767 Deals
06 Aug 2009 9:32 AM (EDT)
Fitch Ratings-New York-06 August 2009: Despite early signs of home price stabilization, rampant negative home equity and continued rising unemployment augur for continued performance pressures on U.S. Alt-A RMBS, according to Fitch Ratings.
In response, Fitch has taken various rating actions on 767 U.S. Alt-A RMBS transactions. A spreadsheet detailing Fitch's rating actions on the affected transactions can be found at 'www.fitchratings.com' by performing a title search for 'Alt-A RMBS Rating Actions for August 6, 2009.'
'Home price declines have resulted in negative home equity for approximately half of the remaining performing borrowers in the 2005-2007 vintages and approximately 10% of the remaining performing borrowers for all transactions prior to 2005,' said Managing Director Vincent Barberio. 'Unemployment is up significantly since our last Alt-A rating review, particularly in California where the unemployment rate has jumped from 8% to a record-high of 11.6%.'
This will result in increased pressure on Alt-A loans since approximately 36% of the borrowers in Fitch-rated Alt-A pools are in California.
Today's rating actions reflect Fitch's expected collateral loss from the mortgage pools and cash flow analysis of each bond.
The average updated expected collateral losses as a percentage of the original pool balance for the pre-2005, 2005, 2006 and 2007 vintages are as follows:
--Pre-2005: 1%;
--2005: 8%;
--2006: 18%;
--2007: 26%.
As a percentage of the remaining pool balance, average expected losses for the same cohorts are:
--Pre-2005: 4%;
--2005: 14%,
--2006: 24%
--2007: 29%.
In aggregate, Fitch-rated Alt-A transactions consist of 64% fixed-rate loans, 30% hybrid-ARM adjustable-rate loans (ARM) and 6% option ARM loans.
The expected loss for each mortgage pool, the loss coverage ratio for each bond and the average target loss coverage ratios used in the review are provided in a report on Fitch's web site and can be located by performing a title search for 'RMBS Loss Metrics'.
The updated expected collateral losses incorporate performance trends and home price declines since the last rating revisions, which relied on October 2008 remittance data.
The combination of continued home price and employment decline has increased negative pressure on the roll-rates of performing borrowers into a delinquency status despite the increased seasoning of the loans.
Although net roll-rates have improved from the seasonal high in December, the net roll-rates for both the Pre-2005 and 2005-2007 vintage groups in the first half of 2009 were approximately double that experienced during the same period in 2008 when modified loans are excluded.
The deterioration in the market environment appears to be outweighing any expected improvement in performance from seasoning.
The number of completed loan modifications in Alt-A has risen but remains relatively limited to date. Fitch estimates 2% of Alt-A borrowers reported as 'Current' in Fitch-rated pools have had their loan terms modified. The performance to date of modified loans continues to raise concerns about the sustainability of the modifications as Fitch describes in 'U.S. RMBS Servicers' Loss Mitigation and Modification Efforts' published on May 26, 2009.
The performance to date for Alt-A modifications appears to indicate re-default rates after 12 months of above 50%.
In addition to the higher default rates, loss severities on defaulted loan liquidations have also continued to rise and have averaged approximately 47% for Pre-2005 vintages and 57% for 2005-2007 vintages in the second quarter of 2009, up from 38% and 41%, respectively, for the same quarter of 2008.
When determining each collateral pool's projected base-case and rating stressed default and loss severity assumptions, Fitch uses a proprietary loan-level loss model as described in its May 7 report, 'ResiLogic: U.S. Residential Mortgage Loss Model Criteria' also available at 'www.fitchratings.com'.
After determining each pool's projected base-case and stressed scenario loss assumptions, Fitch projects cashflows to determine the amount of collateral loss which would cause each bond to default, also referred to as the bond's break-loss. Fitch's cash flow assumptions are described in the report 'U.S. RMBS Alt-A Surveillance Criteria' published on Dec. 15, 2008.
When performing cash flow analysis, Fitch projects losses and creates cash-flow assumptions for each individual mortgage pool in a transaction, even in transactions where the mortgage pools are cross-collateralized.
For subordinate and non-super senior classes, however, the projected aggregate performance of the cross-collateralized pools is typically the analytical focus for the ratings, since losses across all pools erode the shared credit support for those class types.
For super-senior classes, the analysis focuses on both the aggregate pool and the individual pool which independently collateralizes the super-senior class once all cross-collateralized subordinate classes are written off. It is possible for two super-senior classes in the same transaction to have the same current credit support but different ratings due to a credit distinction in the respective individual pools collateralizing each super-senior class.
It is important to note that Fitch uses the bond's break-loss as determined through the cash flow analysis - not its current credit enhancement percentage - when assessing a bond's credit support. As is the case with most super seniors, a bond's break-loss may be materially lower than its current credit enhancement because the bond is expected to lose credit support due to future principal distribution to support classes.
Many classes in Pre-2005 shifting-interest transactions that are currently passing performance triggers and are distributing principal pro rata across all classes also exhibit this behavior. In other cases, a bond's break-loss may be significantly higher than the current credit enhancement, such as in the case of a senior front-pay sequential class that will pay in full in a short period of time.
Il calo dei prezzi delle case ha inciso drasticamente sull'home equity, portandolo su valori negativi, anche per il 50% debitori con performing loans (ai quali tuttavia non converrebbe continuare a pagare il mutuo) dei mutui Alt -A accesi nel periodo 2005-7 e del 10% di tutti i debitori solvibili con mutui Alt -A accesi prima del 2005.
Pesa inoltre il fattore disoccupazione.
Fitch: Negative Equity, Jobless Claims Weigh on U.S. Alt-A RMBS; Actions on 767 Deals
06 Aug 2009 9:32 AM (EDT)
Fitch Ratings-New York-06 August 2009: Despite early signs of home price stabilization, rampant negative home equity and continued rising unemployment augur for continued performance pressures on U.S. Alt-A RMBS, according to Fitch Ratings.
In response, Fitch has taken various rating actions on 767 U.S. Alt-A RMBS transactions. A spreadsheet detailing Fitch's rating actions on the affected transactions can be found at 'www.fitchratings.com' by performing a title search for 'Alt-A RMBS Rating Actions for August 6, 2009.'
'Home price declines have resulted in negative home equity for approximately half of the remaining performing borrowers in the 2005-2007 vintages and approximately 10% of the remaining performing borrowers for all transactions prior to 2005,' said Managing Director Vincent Barberio. 'Unemployment is up significantly since our last Alt-A rating review, particularly in California where the unemployment rate has jumped from 8% to a record-high of 11.6%.'
This will result in increased pressure on Alt-A loans since approximately 36% of the borrowers in Fitch-rated Alt-A pools are in California.
Today's rating actions reflect Fitch's expected collateral loss from the mortgage pools and cash flow analysis of each bond.
The average updated expected collateral losses as a percentage of the original pool balance for the pre-2005, 2005, 2006 and 2007 vintages are as follows:
--Pre-2005: 1%;
--2005: 8%;
--2006: 18%;
--2007: 26%.
As a percentage of the remaining pool balance, average expected losses for the same cohorts are:
--Pre-2005: 4%;
--2005: 14%,
--2006: 24%
--2007: 29%.
In aggregate, Fitch-rated Alt-A transactions consist of 64% fixed-rate loans, 30% hybrid-ARM adjustable-rate loans (ARM) and 6% option ARM loans.
The expected loss for each mortgage pool, the loss coverage ratio for each bond and the average target loss coverage ratios used in the review are provided in a report on Fitch's web site and can be located by performing a title search for 'RMBS Loss Metrics'.
The updated expected collateral losses incorporate performance trends and home price declines since the last rating revisions, which relied on October 2008 remittance data.
The combination of continued home price and employment decline has increased negative pressure on the roll-rates of performing borrowers into a delinquency status despite the increased seasoning of the loans.
Although net roll-rates have improved from the seasonal high in December, the net roll-rates for both the Pre-2005 and 2005-2007 vintage groups in the first half of 2009 were approximately double that experienced during the same period in 2008 when modified loans are excluded.
The deterioration in the market environment appears to be outweighing any expected improvement in performance from seasoning.
The number of completed loan modifications in Alt-A has risen but remains relatively limited to date. Fitch estimates 2% of Alt-A borrowers reported as 'Current' in Fitch-rated pools have had their loan terms modified. The performance to date of modified loans continues to raise concerns about the sustainability of the modifications as Fitch describes in 'U.S. RMBS Servicers' Loss Mitigation and Modification Efforts' published on May 26, 2009.
The performance to date for Alt-A modifications appears to indicate re-default rates after 12 months of above 50%.
In addition to the higher default rates, loss severities on defaulted loan liquidations have also continued to rise and have averaged approximately 47% for Pre-2005 vintages and 57% for 2005-2007 vintages in the second quarter of 2009, up from 38% and 41%, respectively, for the same quarter of 2008.
When determining each collateral pool's projected base-case and rating stressed default and loss severity assumptions, Fitch uses a proprietary loan-level loss model as described in its May 7 report, 'ResiLogic: U.S. Residential Mortgage Loss Model Criteria' also available at 'www.fitchratings.com'.
After determining each pool's projected base-case and stressed scenario loss assumptions, Fitch projects cashflows to determine the amount of collateral loss which would cause each bond to default, also referred to as the bond's break-loss. Fitch's cash flow assumptions are described in the report 'U.S. RMBS Alt-A Surveillance Criteria' published on Dec. 15, 2008.
When performing cash flow analysis, Fitch projects losses and creates cash-flow assumptions for each individual mortgage pool in a transaction, even in transactions where the mortgage pools are cross-collateralized.
For subordinate and non-super senior classes, however, the projected aggregate performance of the cross-collateralized pools is typically the analytical focus for the ratings, since losses across all pools erode the shared credit support for those class types.
For super-senior classes, the analysis focuses on both the aggregate pool and the individual pool which independently collateralizes the super-senior class once all cross-collateralized subordinate classes are written off. It is possible for two super-senior classes in the same transaction to have the same current credit support but different ratings due to a credit distinction in the respective individual pools collateralizing each super-senior class.
It is important to note that Fitch uses the bond's break-loss as determined through the cash flow analysis - not its current credit enhancement percentage - when assessing a bond's credit support. As is the case with most super seniors, a bond's break-loss may be materially lower than its current credit enhancement because the bond is expected to lose credit support due to future principal distribution to support classes.
Many classes in Pre-2005 shifting-interest transactions that are currently passing performance triggers and are distributing principal pro rata across all classes also exhibit this behavior. In other cases, a bond's break-loss may be significantly higher than the current credit enhancement, such as in the case of a senior front-pay sequential class that will pay in full in a short period of time.
