Abstract: Total delinquencies for U.S. residential mortgage-backed securities (RMBS) backed by closed-end second-lien collateral declined for the second consecutive month for transactions originally rated in 2005, and they were also down for 2007 vintage transactions. As of the April 2008 distribution date, total delinquencies were 13.96%, 15.34%, and 12.56% of the aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Compared with the March 2008 distribution date, these figures were down roughly 1% for the 2005 and 2007 vintages and up approximately 2% for 2006. As with total delinquencies, serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) for the 2005 vintage also decreased for the second consecutive month. Serious delinquencies were down for 2007 deals as well,

Brief Excerpt: RESEARCH Ratings Definitions U.S. Closed-End Second-Lien RMBS Performance Update: April 2008 Distribution Date Publication date: 20-May-2008 Primary Credit Analyst: Lal Mahabir, New York (1) 212-438-2395; lal_mahabir@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
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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.