by Tanta on 4/16/2007 07:25:00 AM

In a new report, "Subprime Collateral Trends and Early Payment Defaults," Fitch analyzes serious early payment defaults (here defined as loans 90 days or more delinquent in the first year of the loan) for recent subprime vintages. The not terribly surprising conclusion is that FICO alone has become a less significant indicator of early default than risk layering in general, and particularly increased borrower leverage and lack of income verification.

Although I have not yet seen exactly comparable analysis so far for Alt-A pools, I would expect to see the same pattern, but probably with a greater percentage of "low doc" loans in the EPDs.