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MBS' impact on daylight wall of revelation

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  • MBS' impact on daylight wall of revelation


    of 499 RMBSs downgraded by S&P last week, 15 percent were originally rated A- or better, while another 56 percent held various B ratings
    Given what you see below - it will be an interesting exercise to see just how much is at risk even for the 15% or so at the A, AA and AAA levels.

    B levels have that mouse in the garbage disposal feel.

    From an earlier post:

    Interesting additional info from:

    We (Robert L Rodriguez & Co.) were on the March 22 call with Fitch regarding the sub-prime securitization market’s difficulties. In their talk, they were highly confident regarding their models and their ratings. My associate asked several questions. “What are the key drivers of your rating model?” They responded, FICO scores and home price appreciation (HPA) of low single digit (LSD) or mid single digit (MSD), as HPA has been for the past 50 years. My associate then asked, “What if HPA was flat for an extended period of time?" They responded that their model would start to break down. He then asked, “What if HPA were to decline 1% to 2% for an extended period of time?” They responded that their models would break down completely. He then asked, “With 2% depreciation, how far up the rating’s scale would it harm?” They responded that it might go as high as the AA or AAA tranches.