Standard & Poor's said today that it may cut its ratings on $962 billion of RMBS as a result of deteriorating credit performance and upward revisions to its loan loss projections.
S&P's latest action affected 1,809 RMBS transactions, with a total original par amount of about $962.96 billion and an estimated current value of roughly $537.90 billion, S&P said.
S&P said it placed the ratings on 12,000 RMBS supported by prime, Alt-A and subprime loans originated between 2005 and 2007 under review for downgrade.
S&P recently increased its loss severity assumption for prime RMBS to 45%. Prime RMBS accounted for $243.99 billion (par value) of the securities under review, with a current value of about $180.2 billion, it said.
The rating agency said the performance of residential loans supporting the affected transactions continues to deteriorate, which has resulted in elevated defaults and losses for all three asset types.
The CreditWatch placement also reflected updated loss projections for Alt-A and subprime RMBS transactions.
Alt-A RMBS securities comprised $368.2 billion (par value) with current value estimated at $182.09 billion, while subprime RMBS consisted of $350.77 billion (par value) with a current value of about $175.61 billion, S&P said.