Standard & Poor’s studied the top 20 issuers of Alt-A mortgage securities who make up 95 percent of the total market, finding that delinquencies more than doubled on Alt-A bonds issued in 2006 compared to 2005, a trend that appears to be continuing this year.
Bad performance “at first seemed limited to the subprime mortgage sector, but has since filtered through to virtually every corner of the non-prime mortgage industry,” S&P said in the report.
S&P said that Alt-A mortgage-backed securities issued by Nomura Holdings, Impac, and Bear Stearns performed the worst in 2006.
The report found that the delinquency rate on $4 billion in Alt-A mortgage bonds issued by Nomura hit a whopping 9.83 percent as of the end of September, more than double the 4.61 percent average.
Impac was second worst, with an 8.31 percent delinquency rate on $6.6 billion in Alt-A loans, followed by Bear Stearns’ 7.13 percent delinquency on $46.7 billion in Alt-A loans.
Morgan Stanley and Deutsche Bank AG rounded out the worst five, with delinquency rates of 6.95 percent and 6.32 percent on their Alt-A loans, respectively.
Citigroup had the lowest delinquency rate, just 2.7 percent, followed by First Horizon, UBS, Bank of America, and now-defunct American Home Mortgage Corp.
Yesterday, S&P downgraded more than $7 billion in Alt-A MBS, or about 1 percent of the $694 billion rated by the agency in 2005 and 2006.
Generally, delinquency is defined as mortgage payments that are three or more months past due.