Twelve-month default rate expectations on certain U.S. RMBS collateral have doubled since the previous quarterly survey, with U.S. 2007 Alt-A pay option ARM RMBS collateral default rate predictions rising to 25% from 12% polled in Q3.
For the same vintage, U.S. prime fixed-rate collateral default forecasts rose to 5.75% from 4.00%; U.S. prime adjustable-rate collateral default forecasts moved up to 10.50% from 6.25%; and U.S. subprime collateral default forecasts increased to 34.36% from 23.00%.
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