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S&P: Recoveries Strong on Defaults From Securitized Mortgage Portfolios.
Defaults of U.S. structured finance securities rated by Standard & Poor's rose significantly from July 1, 2001 through June 30, 2002, but they show potential for "remarkably high" recoveries, according to an updated S&P report.
Among residential mortgage-backed securities, there were 19 new defaulted credit classes, bringing total defaults among S&P-rated RMBS to 102 since 1978.
The new defaults averaged an "impressive" recovery rate of 87%, the rating agency reported. But for classes that were already in default, the recovery rate fell from 58% to 54%.
Among commercial MBS, new defaults exceeded the total number of defaults for S&P-rated CMBS from 1985 through the second quarter of last year, but their recovery rate was even more impressive than that for RMBS, the study found.
CMBS defaults totaled 18 for the latest study period, surpassing the 14 defaults recorded during the previous 16 years, S&P said, but the recovery rate averaged a "whopping" 98%.
While terming the number of new CMBS defaults "alarming," S&P said it was "consoling" that they had all originally been assigned non-investment-grade ratings no higher than BB. Moreover, all but two had been downgraded to default status due to interest shortfalls, with zero loss of principal.
Among the previous CMBS defaults, however, there was still a ...
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