The weighted average projected loss for the 2005 vintage transactions is approximately 10.00% of the original pool balance, and 80% of the loss projections range from 3.18% to 16.72%. The weighted average projected loss for the 2006 transactions is approximately 22.50%, and 80% of the loss projections range from 9.42% to 31.93%. The weighted average projected loss for the 2007 transactions is approximately 27.00%, and 80% of the loss projections range from 12.03% to 41.99%.
For the complete list of projected losses for the individual transactions, please see "Revised Projected Losses For U.S. Alternative-A RMBS Transactions Issued In 2005, 2006, And 2007," published July 13, 2009, on RatingsDirect, at www.ratingsdirect.com. The list is also available on Standard & Poor's Web site, at www.standardandpoors.com. Select "Ratings," then "Structured Finance," and then "Residential Mortgage-Backed Securities." Locate the list under the "News and Commentary" tab.
A key component of our loss projection analysis for U.S. RMBS transactions is our default curve, which we initially discussed in an article titled "Standard & Poor's Revised Default And Loss Curves For U.S. Alt-A RMBS Transactions," published Dec. 19, 2007. We have since revised some of the initial curves. For information on the revisions, see "S&P Updates Its Default And Loss Assumptions For U.S. Fixed-Alt-A RMBS Transactions," published Sept. 25, 2008, and "Standard & Poor's Revises 2005 Vintage U.S. Alternative-A RMBS Loss Assumptions And Default Curve For Option ARM Transactions," published Feb. 23, 2009.
We also applied our latest loss severity assumptions, which we discussed in "Criteria | Structured Finance | RMBS: Standard & Poor's Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For Transactions Issued In 2005, 2006, And 2007," published July 6, 2009. We observed average loss severities ranging from 33% to 76% for the 2005 vintage; 32% to 79% for the 2006 vintage; and 41% to 77% for the 2007 vintage.
We continue to incorporate each transaction's current delinquency (including 60- and 90-plus-day delinquencies), default, and loss trends in our projections. Specifically, we weigh the impact on credit enhancement of potential losses from the loans 60- and 90-plus-days delinquent, coupled with the losses projected from the default curve.
We assume that the loans currently classified as real estate owned (REO) will be liquidated over the next eight months and that loans in foreclosure will be liquidated over the next 15 months. We form our estimate of the lifetime projected losses by adding these losses to the actual losses that the transactions have experienced to date.
2009 Reuters Limited.
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