Friday, 21 May 2010 10:55

Recent Mortgage Loss and Credit Performance Commentary

This is the public version of our quarterly review of Alt-A and subprime mortgage performance sourced from the NY Fed and FDIC data. All paying subscribers can access the entire document here: 4Q09 Alt-A and Subprime commentary (452.33 kB 2010-05-21 05:49:09).



Foreclosures on First Lien Mortgages increased from 11.5% as on 31st October 2009 to 11.74% as on 31st January, 2010. Mortgage rates on Prime loans and Alt-A loans increased by 25bps and 21bps to 7.66% and 12.23% respectively over the same period. Delinquency rates for first lien mortgages on the other hand decreased by 7bps to 5.6%, for the quarter ended December 31, 2009.. While Net Charge-off rates for Alt-A loans increased by 2.12% points q-o-q to 30.49% as on 31st Dec 2009, delinquency rates dropped by 27bps over the same period to 12.1%

In case of Subprime loans, Net Charge off rates and Foreclosure rates, both rose to 44.6% and 15.6% respectively during 4Q09, compared to 42.9% and 15.4% during 3Q09. Delinquency rates declined from 26.4% in 3Q09 to 25.3% in 4Q09. Net charge of rates for HELOCs rose 13bps to 3.34% during 4Q09 while delinquency rates had a negligible decline.

Net charge-off rates and delinquency rates for Business Loans (C&I loans) marginally declined during 4Q09 remaining more or less constant at 2.5% and 4.5% respectively.

Delinquency rates under CRE loans remained steady during 4Q09 at 8.8% when compared with 3Q09. While delinquency rates for multifamily loans did not show any drastic changes in 4Q09, net charge-off rates under construction loans increased considerably from 6.3% in 3Q09 to 8.4% in 4Q09

Credit cards had a better quarter with net charge off rates and delinquency rates showing marginal improvements in 4Q09. Net charge off rates declined from 10.2% in 3Q09 to 9.5% in 4Q09, while delinquency rates declined from 6.6% to 6.4% over the same period.

Other consumer loans showed a healthier 2.7% net charge off rate in 4Q09 as against 3.2% in the previous quarter. Delinquency rate in this segment also improved marginally, declining by 19 bps to 3.5% in 4Q09.

Net charge-off rates and delinquency rates for Other loans marginally increased. While net charge off rates increased from 1.7% in 3Q09 to 1.8% in 4Q09, Delinquency rates remained constant at 1.1% over 4Q09.


Last modified on Monday, 24 May 2010 11:31