Fitch: First Post-Crisis U.S. Prime Jumbo RMBS Called With No Loss
OREANDA-NEWS. The first three post-crisis U.S. prime jumbo RMBS transactions have been called without incurring a dollar of loss, though clean-up call volume should be limited in the coming months, according to Fitch Ratings in its latest quarterly 'US Prime Jumbo RMBS Trends' report.
The aforementioned clean-up call options were exercised on three Sequoia Mortgage Trust transactions issued in 2010 and 2011. Among the three called deals, only one loan out of over 1,000 became more than 90 days delinquent, with no loans incurring a loss. But despite still-exceptional performance of post-crisis prime jumbo RMBS, few remaining transactions are likely to be called in the near future.
Part of the reason is that the called deals along with several others issued in 2012 experienced fast prepayment rates as a result of mortgage rate declines between 2011 and 2013. 'Prime jumbo RMBS issued after 2012 generally do not enjoy the same refinance incentive as 2011-2012 deals,' said Director Sean Nelson. 'As a result, RMBS deals issued post-2012 are not expected to pay down to their clean-up call thresholds for several years.'
In 2015, U.S. prime jumbo RMBS issuance surpassed both 2013 and 2014 in number of transactions and eclipsed 2014 in issuance dollar amount. Fitch reports 35 prime jumbo RMBS deals coming to market in 2015, compared to 31 and 28 transactions in 2013 and 2014, respectively). Total issuance in 2015 was roughly $11.9 billion, compared to the 2014 total of $8.8 billion. To date, only one post-crisis prime jumbo transaction has a 60+ delinquency rate over 1%, while their pre-crisis counterparts generally range between 5%-15%.
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