Saturday, December 22, 2007

Fastest Downgrade Contest

by Tanta on 12/22/2007 11:10:00 AM

Our friend P.J. at Housing Wire did the world a big favor last night by sorting out the details of Fitch's giant $5.3 billion heap o' RMBS downgrades yesterday. Go here for the handy list of what deals were included in that.

What jumped out at me, of course, was that $783MM WaMu deal. This little puppy (2007-HE3) was closed on May 10, 2007. That's a whopping seven months before the first downgrade. (It's too young, of course, to have noticeable realized losses, but the 60-day delinquency is up to 9.17% already, for loans originated primarily in the first quarter of this year. Wowsers.)

I haven't been paying enough attention, I confess, to recent downgrades to know if that's a record for fastest downgrade or not. Does anyone else know? It's fair-to-middlin' pointless, of course, in the grand scheme of things, but I do think that issuing the fastest-downgraded mortgage-backed security in history is an accomplishment that should be given recognition.