Standard & Poor’s Drops Ratings on $22 Billion of 2005-6 First Lien Subprime RMBS

Standard and Poor’s Rating Services followed up yesterday’s downgrade of $23.35 billion of 2007-vintage RMBS with another massive downgrade of subprime RMBS backed by 2005-6 vintage first liens. The current cuts hit 1,413 classes, representing an original par amount of approximately $22.02 billion — 4 percent of the $554.4 billion par amount of U.S. RMBS backed by first-lien subprime mortgage loans rated by the agency from the beginning of fourth-quarter 2005 through the fourth quarter of 2006. Standard and Poor’s said that it’s rating actions today bring the total number of classes issued during this period and downgraded to date to 1,671, with approximately $3.4 billion of the total amount downgraded representing repeat rating actions. Here’s the list of all downgraded classes. The ratings transition matrix clearly shows that most downgrades exceeded one notch, with BBB+, BBB and BBB- rated classes taking most of the downgrade volume. Fifteen downgrades affected tranches previously rated AAA, the highest possible rating category assigned by Standard and Poor’s.