JANUARY 2004

Mixed Results for Subprime Delinquencies

According to a survey of top mortgage loan services regularly conducted by Inside B&C Lending (Bethesda, MD), the weighted-average delinquency rate (30+ days) for subprime mortgage loans was 9.34% at the end of the third quarter, 2003, down 54 basis points from the previous quarter. The percentage of loans seriously delinquent (more than two payments past due or in foreclosure) declined to 7.82%, down 50 basis points from the previous quarter. The Inside B&C Lending survey covers nearly $210 billion in outstanding loans.

Similar results for the third quarter were reported by Loan Performance, a research and consulting firm that tracks the portfolios of over two dozen mortgage lenders. Loan Performance reported that 6.94% of loans in its database were seriously delinquent (90+ days past due or in foreclosure), down 39 basis points from the previous quarter. The highest rate of serious delinquency was in Ohio, South Carolina, Mississippi, Indiana, Kentucky, Pennsylvania and West Virginia. In contrast, the lowest rates of serious delinquency were in California, Rhode Island, New Hampshire, Wyoming and Massachusetts.

Inside B & C Lending also reports that at least one performance index for a subset of subprime loans bucked the downward trend and worsened during the third quarter. In the securitized subprime portfolios tracked by Credit Suisse First Boston, the percent of loans made between 1997 and 2000 that were at least two payments past due or in foreclosure rose to 22.03% at the end of the third quarter, up 99 basis points from the second quarter and up 133 basis points from the first quarter of 2003.