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Standard & Poor’s Ratings Services has released its most recent assessment of projected principal recoveries for residential mortgage-backed securities (RMBS) in prime, Alt-A, and subprime transactions. These show that in the most likely scenario, subprime securities would return two thirds of their original value, while Alt–Securities would return almost 80%.

Released Wednesday are 756 selected securities that originally rated ‘AAA’ but have since downgraded to ‘CCC’ or ‘CC’ from the 2005, 2006, and 2007 Alt-A vintages.” The results of our recovery analysis on the securities released today show an average principal recovery of 59.3% of a security’s current balance and 69% of a security’s initial par value (inclusive of principal already received) in a ‘A’ rating stress scenario. Similarly, under a ‘B’ expected case scenario, our recovery results show an average of 70.5% of a security’s current balance and 77.7% of a security’s initial par value.”

In total, S&P has performed recovery analysis on 1,297 Alt-A securities representing an initial aggregate par value of $139,678,435,332 and an aggregate balance outstanding of $99,716,617,365 (as of the stated performance date), and 680 subprime securities representing an initial aggregate par value of $115,493,410,000 and an aggregate balance outstanding of $76,370,072,818.

The average projected principal recovery for Alt-A securities released to date show a 62.2% recovery of a security’s current balance and 70.7% recovery of a security’s initial par value (inclusive of principal already received) in a ‘A’ rating stress scenario. Under a ‘B’ expected case scenario, our recovery results for Alt-A securities show an average recovery of 72.5% of a security’s current balance and 78.8% of a security’s initial par value.

Similarly, the average principal recovery for all subprime securities released to date show a 43.5% recovery of a security’s current balance and 52.2% recovery of a security’s initial par value in a ‘A’ rating stress scenario. Under a ‘B’ expected case scenario, our recovery results for subprime securities show an average recovery of 60.5% of a security’s current balance and 66.0% of a security’s initial par value.

For tables of specific securities, see Standard&Poor’s U.S. RMBS Recovery Analytics Update: Selected 2005, 2006, And 2007 Vintage Prime, Alt-A, And Subprime Transactions (Premium)

Source: Subprime Mortgage Securities Projected to Return Two-Thirds of Their Original Principal