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Criteria | Structured Finance | RMBS: Rating Assumptions For U.S. First-Lien High Loan-To-Value RMBS Transactions Mar 09 Product Image

Criteria | Structured Finance | RMBS: Rating Assumptions For U.S. First-Lien High Loan-To-Value RMBS Transactions Mar 09

  • Published: March 2009
  • Standard & Poors

Abstract
Standard & Poor's Ratings Services is publishing its criteria for reviewing U.S. residential mortgage-backed securities (RMBS) transactions backed by first-lien high loan-to-value (HLTV) mortgage collateral. The characteristics of first-lien HLTV RMBS transactions are similar to those of conventional securitized RMBS, except the collateral has higher loan-to-value (LTV) ratios. First-lien HLTV transactions are typically backed by mortgage pools with an average LTV of more than 95%. We use our subprime and Alternative-A (Alt-A) default curve methodology to project defaults over the life of the transactions; and We use the loss severities provided in the table below to account for the higher LTV ratios, the increasing trend in reported loss severities, and the persisting negative outlook for the U.S. housing market. This...

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