Standard & Poor's has put 3,279 ratings of first-lien prime jumbo U.S. RMBS  from 2006 and 2007 on CreditWatch Negative, citing an increase in projected losses to 40% from 30%.

"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 will depress prices further and lead loss severities higher than we had previously assumed," S&P said.

The rating agency said there also has been "a persistent rise in the level of delinquencies among the prime mortgage loans supporting these transactions."

Specifically, it said severe delinquencies (payments late by 90 or more days, foreclosures and real estate owned) have increased by 45.60% over the past three months accounting for, on average, 4.41% of current aggregate pool balances on affected transactions.

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