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Standard & Poor’s Tuesday updated its loss projections for 2005-2007 vintage prime, subprime, and Alt-A residential mortgage-backed securities transactions, leading it to place 12,000 classes of securities (RMBS) issued in 2005-2007 on CreditWatch with negative implications.

In addition, 222 ratings remain on CreditWatch negative. The affected classes are from 1,809 transactions, have a total original par amount of approximately $962.96 billion, and have a current aggregate principal balance of roughly $537.90 billion.

Our revised loss projections for the prime transactions also reflect an increase in our loss severity assumption for prime collateral to 45%. In addition, the performance of residential collateral supporting the affected transactions continues to deteriorate, which has resulted in elevated defaults and losses for all three asset types.

S&P’s overall vintage and product-specific lifetime weighted average loss projections for 2005-2007 vintage prime, subprime, and Alt-A RMBS are now as follows:

For outstanding prime transactions,

  • 2005 vintage losses have increased to approximately 4.00% from approximately 2.82%;
  • 2006 vintage losses have increased to approximately 6.60% from approximately 5.08%; and
  • 2007 vintage losses have increased to approximately 9.75% from approximately 6.97%.

For Alt-A transactions,

  • 2005 vintage losses have increased to approximately 11.25% from approximately 10.00%;
  • 2006 vintage losses have increased to approximately 26.25% from approximately 22.50%; and
  • 2007 vintage losses have increased to approximately 31.25% from approximately 27.00%.

For subprime transactions,

  • 2005 vintage losses have increased to approximately 15.40% from approximately 14.00%;
  • 2006 vintage losses have increased to approximately 35.00% from approximately 32.00%; and
  • 2007 vintage losses have increased to approximately 43.20% from approximately 40.00%.