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ARCHIVE | Criteria | Structured Finance | RMBS: Assumptions: Standard & Poor's Revises U.S. Prime Jumbo RMBS Lifetime Loss Projections For Transactions Issued In 2005, 2006, And 2007 Jun 09
Standard & Poors, June 2009
Abstract
Standard & Poor's Ratings Services is refining its assumptions related to loss projections for U.S. prime jumbo residential mortgage-backed securities (RMBS) transactions issued in 2005-2007. We are publishing this article to help market participants better understand our approach to reviewing these transactions. This article is related to our criteria article 'Principles-Based Rating Methodology For Global Structured Finance Securities,' which we published May 29, 2007. Standard & Poor's is raising its estimate of projected losses for U.S. RMBS transactions backed by prime jumbo collateral issued in 2005, 2006, and 2007. This increase in our projections resulted from growth in the number of delinquent and defaulted loans beyond what we had previously projected based on our default curves for these vintages. Over...
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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