by Calculated Risk on 10/15/2007 05:48:00 PM

U.S. Subprime Classes Issued During First Three Quarters Of 2005 Affected By Oct. 15, 2007, Rating Actions (hat tip Brian)

From Reuters: S&P cuts $4.6 bln of subprime mortgage backed assets (hat tip FFDIC)

Standard & Poor's on Monday cut its ratings on $4.6 billion worth of residential mortgage-backed securities exposed to subprime mortgages, citing expectations of further defaults and losses in the securities.

The downgrades include 402 pieces of 138 transactions. All are backed by first-lien subprime mortgage loans issued in the first three quarters of 2005.

The majority of the ratings cuts were in the "BBB" category, which is the lowest tier of investment grade.

"These rating actions incorporate our most recent economic assumptions, and reflect our expectation of further defaults and losses on the underlying mortgage loans and the consequent reduction of credit support from current and projected losses," S&P said in a statement.