S&P Delivers Another Right Hook

Under our 'AAA' stress, losses from this vintage range from 12.3% to 60.4%, but these loss rates are commensurate with an extreme economic downturn and do not represent our expected case.

Ten-year super-duper (30% credit-enhanced) classes have a higher potential for downgrades than the shorter weighted-average life classes. The ratings on older vintages (2000-2004), which were issued well before the peaks in valuations (2007) and effective rents (2008), and generally utilized stricter underwriting standards than more recent vintages (2005-2008), saw less downward movement on average in our analysis.