| Abstract: | Total delinquencies for U.S. residential mortgage-backed securities (RMBS) backed by closed-end second-lien collateral increased for transactions originally rated in 2006 and 2007 as of the August 2008 distribution date, but decreased for the 2005 vintage transactions. Total delinquencies were 12.40%, 16.46%, and 14.67% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Compared with the July 2008 distribution date, these figures were down roughly 9% for the 2005 vintage and up 1% for 2006 and 2007. Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) decreased for the 2005 and 2007 vintages and increased for 2006 deals. As of the August 2008 reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately
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| Sector: | Asset-Backed Commercial Paper, Asset-Backed Securities, Collateralized Debt Obligations, Commercial MBS, Real Estate Companies, Residential MBS, Servicer Evaluations, Structured Finance
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