Abstract: Delinquencies among U.S. subprime residential mortgage-backed securities (RMBS) transactions originally rated in 2006 and 2007 continued to increase as of the August 2008 distribution date, while delinquencies for the 2005 vintage started to decline. Total delinquencies were 38.05%, 42.89%, and 32.79% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively. Compared with the July 2008 distribution date, these figures marked increases of approximately 3% for the 2006 vintage and 5% for 2007 and a 0.1% decline for the 2005 vintage. Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) rose for all three vintages since the last distribution date, although 2005 saw only a slight increase. As of the most recent reporting period, serious

Brief Excerpt: RESEARCH Ratings Definitions U.S. Subprime RMBS Performance Update: August 2008 Distribution Date Publication date: 30-Sep-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
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