Alt-A RMBS Get Slammed

Moody’s Investors has announced negative ratings actions on 39 Alt-A deals from five issuers in 2007 because of higher-than-anticipated rates of delinquency, foreclosure, and real estate owned in the underlying collateral relative to credit enhancement levels. The actions also reflected Moody’s methodology updates to the non-delinquent portion of the transactions.

Eight of the deals were issued by Bear Stearns which had 46 tranches downgraded and 11 placed under review for possible downgrade. Fifteen deals that came from Countrywide saw 30 classes downgraded and 16 facing potential lower ratings, while seven deals by Goldman Sachs saw worse ratings on 47 tranches and could see downgrades on 20. The rest of the affected deals consisted of six by Deutsche Bank that received downgrades on 62 and face potential downgrades on 16 classes, and three deals issued by Impac that saw downgrades on 18 tranches and could see worse ratings on eight.

Inadequate enhancement levels left class B from SASCO Mortgage Loan Trust 2003-GEL1 on review for possible downgrade, Moody’s reported. The RMBS is backed by subprime scratch and dent loans.

But the commercial MBS sector saw Fitch Ratings report upgrades on two classes worth $33 million of Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16. The actions were due to an additional 8 percent defeasance, nearly 5 percent pay down and stable performance since its last review. As of the December 2007 distribution date, the pool’s aggregate principal balance has fallen about 7 percent to $1.08 billion.

Meanwhile, Bear Stearns Commercial Mortgage Securities Inc. series 2000-WF2 reportedly received upgrades by Fitch on two classes totaling nearly $35 million because, since the last rating action, credit enhancement levels improved after a loan payoff, scheduled amortization and the defeasance of 13 loans, or 14 percent.

And better credit enhancement since Fitch’s last rating on Banc of America Securities LLC series 2003-1 reportedly resulted in upgrades to two classes worth $32 million. The improvement reflected prepayment of four loans, scheduled amortization as well as defeasance of an additional five loans, or 11 percent.