Amherst Securities Group is warning MBS investors that not all triple-A rated restructured REMICs are the same and some could run into problems including possible downgrades under "modest stress" conditions. The investment banking boutique notes that Wall Street has restructured $43 billion in downgraded REMICs over the past 11 months — five times the volume it did last year. Amherst says the credit rating agencies are requiring different subordination levels for triple-A rated tranches. "As a result of the ratings patchwork, some of the ratings are too aggressive to us while others are too conservative," the company said.
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