Three vintages of subprime residential mortgage-backed securities have continued to see deterioration in loan performance. Based on the worsening performance as well as economic conditions, one ratings agency downgraded more than $20 billion in securities.
The performance of subprime pools issued between 2005 and 2007 has continued to deteriorate, Moody’s Investors Service reported this month.
Factoring in increased loss expectations, home prices and unemployment — the New York-based ratings agency came to the conclusion that the follow subprime tranches should be downgraded.
| Amount | Issuer | # Tranches |
| $5.910 billion | Option One | 63 |
| $4.700 billion | HASCO | 67 |
| $3.100 billion | Renaissance | 59 |
| $2.200 billion | Nomura | 40 |
| $1.700 billion | IXIS | 10 |
| $1.450 billion | Option One | 12 |
| $1.400 billion | Fieldstone | 26 |
| $1.000 billion | Newcastle | 12 |
| $0.785 billion | Aegis | 17 |
| $0.585 billion | Long Beach & WaMu | 5 |
| $0.213 billion | IXIS | 9 |
| $0.131 billion | ResMae Asset-Backed Pass-Through Certificates, Series 2006-1 | 3 |
| $0.112 billion | EquiFirst | 1 |
Moody’s said it downgraded two tranches for $0.051 billion from RASC Series 2002-KS6 Trust. A reallocation of losses and rising 60-day delinquency influenced Moody’s decision.
