|Recent rounds of downgrades on subprime securitizations reached back to the 2000 vintage.
Moody’s Investors Service conducted an analysis of credit enhancement relative to updated collateral loss projections on subprime residential mortgage-backed securities. The analysis found deterioration in collateral performance in recent months. It also found that some performance triggers had been exceeded and that the transaction has released portions of credit enhancement. The findings led to downgrades on the following transactions.
Increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral were all factors that contributed the downgrade by Moody’s of classes from the following two subprime RMBS. In addition, continued deterioration in the housing market also impacted increased loss expectations for subprime pools.
Standard & Poor’s announced on May 29 that it lowered 323 ratings on 318 subprime RMBS to ‘D.’ The issuances were securitized between 2002 and 2007. Another 85 ratings were placed on CreditWatch Negative.
Last month’s downgrades followed S&P’s April 29 downgrade of 272 ratings from 266 subprime transactions issued between 2003 and 2007 to ‘D.’
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