S&P Downgrades More Alt-A, Jumbo RMBS Transactions

More evidence of trouble in the Alt-A and jumbo mortgage markets: Standard & Poor’s lowered ratings on 120 classes from 13 U.S. Alternative-A (Alt-A) residential mortgage-backed securities transactions from various issuers from the 2005, 2006, and 2007 vintages. S&P removed 88 of the lowered ratings from CreditWatch with negative implications and affirmed our ratings on seven classes from four of these transactions and removed two of the affirmed ratings from CreditWatch negative.

Earlier this week, S&P lowered its ratings on 86 classes from 10 transactions backed by U.S. prime jumbo, Alternative-A (Alt-A), subprime and scratch-and-dent mortgage loan collateral issued in 2005, 2006, and 2007. S&P removed 40 of the lowered ratings from CreditWatch with negative implications, affirmed our ratings on 11 classes from four of the same transactions and removed one of the affirmed ratings from CreditWatch negative.

S&P also reviewed 17 RMBS transactions backed by U.S. scratch-and-dent mortgage loan collateral issued between 2003 and 2007. We lowered our ratings on 63 classes from 15 transactions and affirmed our ratings on 18 classes from 11 of these transactions and on two additional transactions. We removed 46 of the lowered ratings and 10 of the affirmed ratings from CreditWatch negative.

The moves reflect S&P’s revised Loss Assumptions For Transactions Issued In 2005, 2006, And 2007.

The downgrades reflect our belief that the amount of credit enhancement available for the downgraded classes will not be sufficient to cover our projected increase in losses due to increases in delinquencies and the current negative condition of the housing market.