by Calculated Risk on 5/13/2008 04:56:00 PM

From Bloomberg: MBIA, Ambac Losses Elevate Aaa Concern, Moody's Says

MBIA Inc. and Ambac Financial Group Inc. had ``meaningfully'' higher losses on home-equity loans and collateralized debt obligations than anticipated, raising concern about their Aaa status, Moody's Investors Service said.

The first-quarter losses reported by the companies in the past two weeks elevate ``existing concerns about capitalization levels relative to the Aaa benchmark,'' Moody's, unit of Moody's Corp., said in a statement today.

Moody's also issued a report today on second liens: U.S. Subprime Second Lien RMBS Rating Actions Update (no link). Moody's noted that losses to date have "greatly exceeded" their expectations, and Moody's increased their loss projections:

... Moody's has increased its loss projections on loan pools backing recent vintage subprime second lien RMBS in light of their continued poor performance. Moody's expects 2005 vintage subprime second lien pools to lose 17% on average, 2006 vintage pools to lose 42% on average, and 2007 pools to lose 45% on average.

Ouch!