Cumulative defaults measured by including any loan ever reaching 60 days or more delinquency status for these vintages range from 13% for 2005 MBS transactions to 24% for transactions closed in 2007.
In the case of the JPMCC 2008-C2 expected losses are at 25.5% and the highest among the vintage asset classes, Fitch said.
Fitch weighted average expected losses of the original pool balance, including realized losses excluding one transaction with classes on Rating Watch Negative, explained managing director Mary MacNeill in a recent report.
The ratings agency expects losses on pools of 34 mortgage backed security transactions from 2005 to average at 7.8%, which is the lowest rate compared to more recent vintages.
Expected losses on 34 MBS transactions from 2006 along with losses from four transactions in 2008 are roughly the same at 12.1% and 12.3%, respectively, and lower-than-expected losses from 43 transactions conducted in 2007 during the height of the crisis at 15.6%.
A review of the individual transactions expected losses, which includes vintages from 2004 through 2008, reveals that, on average, realized losses for these vintages remain relatively low at 3%.
Several factors including aggressive loan workouts helped keep losses at bay.
According to MacNeill, “Many loans are currently performing under modified terms with low debt service payments,” plus a number of real estate owned assets in special servicing that “are yet to be liquidated” may take time to clear out of the banks’ books.