TEXT-S&P on April 2008 U.S. prime jumbo RMBS delinquency

(The following statement was released by the rating agency)

May 22 - Delinquencies for U.S. prime jumbo residential mortgage-backed securities (RMBS) transactions originally rated in 2005, 2006, and 2007 continue to increase, according to a recent report published by Standard & Poor's Ratings Services.

As of the April 2008 distribution date, total delinquencies were 2.85%, 3.31%, and 2.50% of the current aggregate pool balances for the 2005, 2006, and 2007 vintages, respectively.

These figures were up roughly 5.2% for the 2005 vintage, 5.4% for 2006, and 9.2% for 2007 when compared with the March 2008 distribution date. Serious delinquencies (90-plus days, foreclosures, and real estate owned {REO}) have also increased since the last distribution date.

As of the most recent reporting period, serious delinquencies for the 2005, 2006, and 2007 vintages were approximately 1.49%, 1.70%, and 1.16%, respectively.

Since the March 2008 distribution date, serious delinquencies were up 8.0% for the 2005 vintage, 9.0% for 2006, and 20.8% for 2007. For all vintages but 2007, cumulative realized losses of 0.01% or more of the original pool balances haven't started to appear until 24 months of seasoning. The 2007 vintage, represented only by the deals issued during January through April (which have had 12 months of seasoning), has cumulative realized losses of 0.01% after only 12 months of seasoning.

Transactions issued in 2006 have now performed the worst, with 0.03% in cumulative realized losses at month 24 (but only four months of issuance have reached that seasoning level), compared with 0.02% for 2001.

The full report, "U.S. Prime Jumbo RMBS Performance Update: April 2008 Distribution Date," was published May 20, 2008, on RatingsDirect. Standard & Poor's also published similar articles on each of the four other main RMBS collateral types, titled "U.S. HELOC RMBS Performance Update: April 2008 Distribution Date," "U.S. Subprime RMBS Performance Update: April 2008 Distribution Date," "U.S. Alternative-A RMBS Performance Update: April 2008 Distribution Date," and "U.S. Closed-End Second-Lien RMBS Performance Update: April 2008 Distribution Date."