Continuing the wave of downgrades that have hit 2006 RMBS collateral, Moody's Investors Service downgraded $33.4 billion of securities issued in 2006 that are backed by subprime first-lien mortgages. These downgrades represent 7.8% of the original dollar volume of such securities rated by Moody's.

 

Of the $33.4 billion in downgraded securities, $3.8 billion remain on review for further downgrade, Moody's said.  The rating agency also affirmed the ratings on $258.6 billion of 'Aaa' securities and $21.3 billion of 'Aa' securities. Additionally, another $23.8 billion of first-lien RMBS were placed on review for downgrade, including 48 'Aaa'-rated securities and 529 'Aa' -rated securities. RMBS hit the hardest were rated 'A,' 'Baa' and 'Ba.'

 

The rating agency said it expects a decline in future rating volatility for 2006 first-lien RMBS as long as home price depreciation remains less than 10% from peak to trough and the current economic environment remains stable.

 

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