First things first -- S&P issued a correction to its earlier bombshell that it was looking to downgrade $12.078 billion in rated securities, saying the actual dollar amount was $7.35 billion. Tanta over at Calculated Risk has a post questioning how nearly $5 billion in value could have been overstated. Whatever the face value of the 612 securities that were placed on negative watch on Tuesday, S&P went ahead and downgraded 498 of them late yesterday:
498 classes were downgraded, 26 classes remain on CreditWatch, and the ratings on 74 classes were affirmed and removed from CreditWatch. Additionally, the ratings on nine other classes were affirmed and removed from CreditWatch because they involve Alternative A mortgage collateral and were not intended to be included in July 10, 2007, action. ... The ratings on 26 classes remain on CreditWatch because the issuer has appealed the decision based on the presence of mortgage insurance in those transactions.
S&P said it also downgraded 64 additional classes of RMBS that had been placed on negative watch prior to July 10, bringing the total number of downgrades to 562 -- totalling approximately $6.39 billion in rated securities, or 1.13% of all RMBS first-lien subprime mortgage collateral rated by Standard & Poor's between the fourth quarter of 2005 and the fourth quarter of 2006. The majority of downgrades were in the BBB- class, S&P said. S&P's downgrades come on the heels of a Moody's ratings cut earlier in the week, which affected 399 securities and roughly $5 billion in face value. And Fitch looks to be joining the party now as well, issuing a press release late yesterday that put 170 RMBS securities under negative watch (reg. required):
Fitch Ratings identified 170 U.S. subprime transactions among its $428 billion rated universe of subprime transactions as 'Under Analysis', indicating that Fitch will be issuing a rating action over the next several weeks. The total amount of bonds rated in the BBB category and below, which are the ones most likely to face rating actions, is $7.1 billion, representing 1.7% of Fitch's rated subprime portfolio.