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| Residential mortgage-backed securities issued from 2004 through 2007 and backed by first liens, second liens and Alt-A loans saw negative ratings actions recently. And while two commercial-backed deals also saw negative actions, a number of tranches were upgraded.
Fitch Ratings cited a deterioration of credit enhancement relative to future expected losses in negative actions taken on residential Alt-A transactions issued between 2004 and 2007. Among affected deals were $66.8 million in downgraded classes of Banc of America Alternative Loan Trust mortgage pass-through certificates and $1.9 million in classes placed on Rating Watch Negative. First Horizon mortgage pass-through certificates transactions also saw $74.9 million in classes downgraded and $12.5 million placed on watch. Moody’s Investors Service downgraded three classes from BankUnited Trust 2005-1 backed by negatively amortizing adjustable-rate Alt-A loans based on higher than anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels. A Structured Asset Securities Corp Trust deal from 2003 backed by Alt-A loans saw two classes downgraded and another placed on review by Moody’s based on the analysis of the credit enhancement provided by subordination, overcollateralization and excess spread relative to the expected losses. Twenty-eight classes of six other SASCO deals from 2005 backed by second liens were downgraded by Moody’s because the underlying first mortgages are likely to see interest rate resets soon — because of a projected increase in delinquencies and inadequate credit enhancement levels. Another class was placed on review for a possible downgrade. A decline in projected available credit enhancement because of a significant build-up of the pipeline of delinquent loans as well as imminent stepdown date caused Moody’s to place six tranches from Ownit Mortgage Solutions Inc. deals issued in 2005 on watch. Fitch cited the same reasons for negative actions on deals from 2005, 2006 or 2007, including $12.84 million in downgraded classes of SARM RMBS Securitizations another $1.9 million in classes placed on Rating Watch Negative; $152.3 million in downgraded classes from LMT mortgage pass-through certificates and another $7.6 million in classes placed on watch; and $10.5 million in downgraded classes and $10.4 million in classes placed on watch from American Home Mortgage Assets Trust residential mortgage-backed certificates. Defeasance of 15 percent and pay down of 15 percent since its last review led Fitch to upgrade two classes for $30.9 million of Credit Suisse First Boston Mortgage Securities Corp.’s commercial mortgage pass-through certificates, series 2001-CK1. A 16.5 percent paydown led to an upgrade of $20.4 million Class H from Lehman Brothers Inc.’s commercial mortgage pass-through certificates, series 2006-CCL-C2, by Fitch, though $28 million in other classes were downgraded because of the transfer of one loan to special servicing and the likely accrual of special servicing fees on another loan. Scheduled amortization and stable performance since the last rating action prompted upgrades on $69.8 million in classes of LB-UBS Commercial Mortgage, series 2002-C7, commercial mortgage pass-through certificates by Fitch. Fitch lowered the Distressed Recovery rating of Class H for $12 million of Merrill Lynch Mortgage Investors, Inc.’s commercial mortgage pass-through certificates, series 1997-C2 due to increased loss expectations from the transaction’s two specially serviced assets. |
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Sam Garcia worked in mortgage lending for twenty years prior to becoming publisher of MortgageDaily.com. e-mail:Â mtgsam@aol.com |
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