RMBS Downgrades Down

Fitch Ratings announced downgrades to nearly $47 million in classes of Meritage Mortgage Corp. 2004-1 to reflect continued deterioration in the relationship between credit enhancement and future loss expectations. The deal is experiencing monthly losses that exceed the available excess spread.

Such deteriorating relationship was also the reason Fitch cited for downgrades on nearly $6 million and potential downgrades on $13 million of five deals issued by Wells Fargo in 2006 and backed by prime adjustable-rate mortgages. While no losses have been experienced, the deals’ 60-day delinquency rates, as of the November 2007 distribution date, range from of 0.23 percent to 0.47 percent.

Moody’s Investors Service announced its analysis of the credit enhancement provided by subordination, overcollateralization and excess spread relative to the expected loss prompted it to lower ratings on five classes issued by RASC Series 2003-KS3 and RASC Series 2003-KS6 Trusts.

Moody’s said that same reason led to downgrades on six classes issued by RAMP Series 2003-RS9, 10 classes of RAMP Series 2004-KR1 and KR2 Trusts, and 21 classes issued by RAMP Series 2004-RS1, RS2, RS4, RS5, and RS8 Trusts.

In the commercial sector, Lehman Brothers Floating Rate Commercial Mortgage Trust 2006-CCL C2 received $46 million in ratings downgrades by Moody’s because of poor performance of loans in two classes. However, the deal also saw $88 million in upgrades because two pooled classes have experienced increased credit support from loan payoffs and partial property releases, while two non-pooled classes have seen decreased loan leverage from condominium unit releases.

Another deal that reportedly received positive ratings actions from Moody’s was Credit Suisse First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2005-TFL2. Two classes worth $20 million were upgraded to reflect better credit support resulting from loan payoffs, which have reduced the deal’s aggregate certificate balance 96 percent since securitization to $38.7 million.