Downgrades of Late-Vintage Alt-A RMBS Continue
Standard & Poor’s says credit enhancement for the affected classes is insufficient to cover projected losses on the non-quite-prime mortgages due to increased delinquencies and the current condition of the housing market.
Standard & Poor’s Ratings Services said it lowered its ratings on 150 classes from 10 residential mortgage-backed securities (RMBS) transactions backed by U.S. Alternative-A (Alt-A) mortgage loan collateral issued in 2005, 2006, and 2007.
“We removed 94 of the lowered ratings from CreditWatch with negative implications. In addition, we affirmed our ratings on 46 classes from four of the transactions with lowered ratings and from three additional transactions. We removed 11 of the affirmed ratings were removed from CreditWatch negative.”
Details available here.
In a separate announcement S&P said it lowered its ratings on 75 classes from eight 2006-2007 Alt-A RMBS transactions “We removed 45 of the lowered ratings from CreditWatch with negative implications. In addition, we raised our ratings on classes 1X-PPP and 2X-PPP issued by WaMu Mortgage Pass-Through
Certificates Series 2007-OA2 Trust. Furthermore, we affirmed our ratings on four classes from three of the transactions with lowered ratings.”
The downgrades reflect our opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given our current projected losses.
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