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

Brief Excerpt: RESEARCH Ratings Definitions U.S. Closed-End Second-Lien RMBS Performance Update: August 2008 Distribution Date Publication date: 30-Sep-2008 Primary Credit Analysts: 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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