Standard & Poor’s has stress tested mortgage-backed securities rated CCC or lower, or not rated. S&P conducted two separate tests on more than 8,900 MBS, most of which were originally AAA rated but had been cut to junk status as of February. The agency found that 156 MBS would recover less than 1% of the remaining principal balance under expected conditions, though the number rose to more than 300 under stressed conditions.
