From the wire services:
S&P: 9,430 US ALT A RMBS CLASSES FROM ”05,”06,”07 ON WATCH NEG; THE AFFECTED CLASSES HAD AN ORIGINAL PAR AMOUNT OF ABOUT $552.8B AND HAVE A CURRENT PRINCIPAL BALANCE OF $445.4B
- The CreditWatch placements reflect an increase in S&P’s projected losses for Alt A transactions from these vintage years.
- Our revised loss projections reflect an increase in our loss severity assumptions for Alt-A transactions issued in 2005 through 2007. This change is based on our belief that the influence of continued foreclosures, distressed sales, an increase in carrying costs for properties in inventory, costs associated with foreclosures, and more declines in home sales may depress prices further and lead loss severities higher than we had previously assumed.
- Additionally, there has been a persistent rise in the level of delinquencies among the Alt-A mortgage loans supporting these transactions. As of the February 2009 distribution date, what we consider severely delinquent loans (90-plus days, foreclosures, and REOs) for the affected transactions accounted for, on average, 22.92% of the current aggregate pool balance. Over the past three months, severe delinquencies have increased by 24.50%.(emphasis added)
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