Citing rising six-month default rates, Moody's Investors Service says the fallout from aggressive mortgage underwriting and a prolonged housing downturn will produce downward ratings pressure on subprime and alternative-A tranches of recent-vintage U.S. residential mortgage-backed securities.Moody's said six-month default rates have continued to rise significantly for loans backing RMBS issued in the third and fourth quarters of 2006. In addition, Moody's said new data show that deteriorating performance is also evident in 12-month default rates. For example, 12-month collateral defaults for subprime RMBS issued in the second quarter of 2006 rose to 7.39%, more than three times the average of 2.00% for subprime RMBS issued between the first quarter of 2002 and the second quarter of 2005, Moody's reported. The rating agency can be found on the Web at http://www.moodys.com.
