Abstract: Delinquencies among U.S. subprime residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 have continued to increase. As of the April 2008 distribution date, total delinquencies were 36.79%, 37.11%, and 25.87% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. This is an increase of approximately 2% for the 2005 vintage, 4% for 2006, and 6% for 2007 when compared with the March 2008 distribution date. Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) have also risen since the last distribution date. As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 26.60%, 26.61%, and 17.33% of the current aggregate pool balances,

Brief Excerpt: RESEARCH Ratings Definitions U.S. Subprime RMBS Performance Update: April 2008 Distribution Date Publication date: 20-May-2008 Primary Credit Analyst: Andrew J Giudici, New York (1) 212-438-1659; andrew_giudici@standardandpoors.com...

Report Type: Commentary
Sector: Asset-Backed Commercial Paper, Asset-Backed Securities, Collateralized Debt Obligations, Commercial MBS, Real Estate Companies, Residential MBS, Servicer Evaluations, Structured Finance
Free Sample: Click Here to Download

Enter the keyword(s) which you would like to search for within this document and click "Search"

 

 S&P Credit Research
S&P Credit Research provides analysis on issuers and debt obligations of corporations, states and municipalities, financial institutions, insurance companies and sovereign governments. S&P also offers insight into the credit risk of structured finance deals, providing an independent view of credit risk associated with a growing array of debt-securitized instruments.