S&P Eyes 207 Alt-A RMBS Classes

More than 200 classes of securities backed by alternative-A residential mortgages have been placed on CreditWatch with negative implications by Standard & Poor's Ratings Services.The rating agency reported that the 207 affected classes total approximately $913.9 million in residential mortgage-backed securities, representing 0.20% of the $455.4 billion in U.S. RMBS backed by first-lien alt-A collateral that were rated by S&P from October 2005 through December 2006. The negative rating actions were attributed to "a rising level of delinquencies among the alt-A collateral supporting these transactions, as well as our expectation that losses on the collateral will exceed historical precedent and may exceed our original expectations." The weak performance was attributed to various factors, including high combined loan-to-value ratios, home price declines, looser underwriting standards, and risk layering (the combination of several risk elements for a single borrower). The rating agency can be found online at http://www.standardandpoors.com.