Standard & Poor's (S&P) has downgraded 1,413 U.S. residential mortgage-backed securities (RMBS) backed by first-lien subprime mortgage loans that were issued from the beginning of the fourth quarter of 2005 through the fourth quarter of 2006.
These downgraded securities, S&P says, had an original par value of $22.02 billion, which represents 4% of the $554.4 billion of U.S. RMBS backed by first-lien subprime mortgage loans rated by S&P during this period.
These actions, combined with downgrades previously announced by S&P, impact a total of 1,671 securities of U.S. RMBS backed by first-lien subprime mortgage loans issued during this period.
Of the 1,413 securities, approximately 47% were rated in the BBB category and below. Fifteen AAA securities were downgraded, accounting for roughly 0.01% of all downgraded securities, and 1.1% of the total dollar amount downgraded. No AAA rating was lowered below AA.
S&P says it took these rating actions because, based on the most recent data, further delinquencies and losses on the underlying mortgage loans are anticipated.