Moody's Updates Sub-Prime Loss Estimate

Moody’s has issued a press release:

According to Moody’s, and as outlined in the Special Report referenced above, lifetime cumulative losses on 2006 vintage subprime first-lien pools are now projected to average 22%, considering pool performance through the July 2008 remittance reports. Projected losses increase progressively with the 2006 quarter of origination, averaging 17% for Q1 2006 and rising to 26% for Q4 2006. This compares to Moody’s previous projections in January, which estimated losses in a range between 14-18%.

This estimate may also be compared with Fitch’s earlier estimate of 21% on 2006 subprime, compared to 10% for 2005 and 26% for 2007 vintage. Fitch’s report has been discussed on PrefBlog.

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