S&P Downgrades 102 Classes of 33 Prime Jumbo RMBS

Standard & Poor’s downgraded ratings on 102 classes from 33 US prime jumbo residential mortgage-backed securities (RMBS) transactions issued from 1998 through 2004.

“The downgrades reflect our opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given our current projected losses,” S&P says in a statement today.

To assess the classes’ creditworthiness, S&P studied the delinquency and loss trends of each transaction and gauged its ability to weather losses with adequate amounts of capital. Where necessary, the rating agency projected continued monthly losses on mortgage pools experiencing increasing delinquencies.

The rating agency also affirmed its ratings on 669 classes from 32 of the downgraded transactions and 34 other transactions, reflecting its belief the credit enhancement available for the affirmed classes should sufficiently cover losses at the current rating levels.

Most of the classes involved in the actions were issued by CHL Mortgage Pass-Through Trust, although several were issued by Citigroup Mortgage Loan Trust. Fannie Mae Remic Trust issued several of the classes, while PHH Mortgage Corp, PNC Mortgage Securities Corp. and Provident Funding Mortgage Loan Trust issued other sets of classes involved in the actions.

Write to Diana Golobay.

Disclosure: The author held no relevant investment positions when this story was published. Indirect holdings may exist via mutual fund investments.