Standard & Poors has revised their loss assumptions for RMBS Prime and sub Prime:
Due to the generally poor outlook for the U.S. housing market, increased delinquencies and defaults, and residential inventory buildup, Standard & Poor”s is projecting that the underlying mortgage pools supporting subprime RMBS transactions issued in 2006 will experience aggregate cumulative losses ranging from 23% to 27% of the original principal balance, with an average of approximately 25%, and pools supporting transactions issued in 2007 will experience aggregate cumulative losses ranging from 28% to 32%, with an average of approximately 31%.
Additionally, Standard & Poor”s is projecting losses on the underlying mortgage pools supporting prime RMBS in the 0.04%-13.54% range, with an average of approximately 3.65% for 2006 transactions and 0.13%-19.52%, with an average of approximately 4.50% for 2007 transactions. The upper end of the loss ranges reflects the performance of a few outliers, while the majority of the transaction-specific loss projections are more closely distributed around the averages.
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