S&P Downgrades $23.35 Billion of 2007 RMBS

HW readers know I’ve been highlighting early problems in the 2007 mortgage vintage since late August — Standard & Poor’s today took the inevitable action of cutting ratings on 2007 RMBS (registration req’d) backed by numerous subprime, Alt-A, and closed-end seconds. Downgrades hit 1,713 classes of U.S. RMBS in all, S&P said, representing approximately $23.35 billion of original par amount. Put into perspective, this means S&P just downgraded 6.28 percent of original par in total for these three types of securities issued since January — a sign that should be ominous to any investor, given how new these securities are and how many were ostensibly backed by more stringent underwriting guidelines. S&P did not mention in its press statement how many of the downgraded securities were originally rated using new criteria for subprime RMBS put into place by the rating agency. Here’s the full report.