RMBS Ratings Still Suffering

Negative ratings actions continue as a result of changes to Fitch Ratings’ subprime loss forecasting assumptions.

Classes totaling $7.2 billion from 12 First Franklin Mortgage Loan Trust deals from 2006 were downgraded and another $3.5 billion in classes were placed on Rating Watch Negative. Loan delinquency of at least 60 days on the transactions falls between 17.63 percent and 22.65 percent, while cumulative losses are estimated from 11.68 percent to 23.31 percent.

Six SASCO mortgage pass-through certificates from last year had $3.5 billion in classes downgraded, with $1.1 billion in classes left on ratings watch. Delinquency on the deals ranges from 11.24 percent to 27.64 percent, while cumulative losses are expected to reach between 20.99 percent and 38.31 percent.

Two Asset Backed Funding Corp. mortgage pass-through certificate transactions from 2007 had $1.7 billion in classes placed on watch for downgrades. Delinquency on the deals is 7.06 percent and 13.91 percent. Two Saxon mortgage pass-through certificates, also from 2007, had $1.7 billion placed on watch. The Saxon transactions have delinquency of 8.63 percent and 4.02 percent.

BNC Mortgage Loan Trust, series 2007-1 and 2007-2 saw $1.5 billion in classes downgraded and $0.5 billion placed on watch. Delinquency is 14.38 percent and 10.72 percent, while expected cumulative losses are 27.26 percent and 23.39 percent.

Classes amounting to $1.1 billion of nine J.P. Morgan mortgage pass-through certificates from 2007 were downgraded and another $1.1 billion in classes was placed on ratings watch. Delinquency ranges from 2.27 percent to 18.64 percent, and cumulative losses are expected to be between 2.58 percent and 31.62 percent.

Two Structured Asset Securities Corporation Mortgage Loan Trust deals from last year had $1.0 billion in classes placed on watch for a downgrade. Delinquency is 4.20 percent and 10.42 percent on the two transactions.

More than $0.8 billion in classes of Merrill Lynch First Franklin Mortgage Loan Trust 2007-H1 were placed on ratings watch. Delinquency is 8.34 percent. The deals have respective delinquency of 4.20 percent and 10.42 percent.

Classes totaling $0.6 billion of Bear Stearns Asset Backed Securities I Trust 2007-HE6 were on watch for downgrades. Delinquency is 7.83 percent.

More than $0.5 billion in classes from two Wells Fargo Home Equity Trust mortgage pass-through certificate transactions in 2007 were downgraded and less then $0.1 billion was left on ratings watch. Delinquency is 14.26 percent and 15.20 percent, while cumulative losses are expected at 25.09 percent and 27.00 percent.

Just under $0.3 billion in classes of Societe Generale Mortgage Securities Trust mortgage pass-through certificate transaction, series 2007-NC1, were downgraded and another $0.1 billion was placed on watch. Delinquency on that deal is 16.60 percent and cumulative losses are forecasted to be 25.62 percent.

But classes affected by changes to Fitch’s assumptions weren’t the only tranches to see activity.

Moody’s Investors Service upgraded three classes of IndyMac INDX Mortgage Loan Trust 2004-AR2 based on the current level of credit enhancement relative to the projected pipeline losses. The deal is backed by negative amortization Alt-A loans.

Three IndyMac Home Equity Mortgage Loan Asset-Backed Trust transactions from 2004 and 2005 had 19 tranches placed on review for possible downgrade by Moody’s based on the respective tranches’ current credit enhancement levels relative to current projected pool losses. The issuances are backed by subprime loans.

Sam Garcia worked in mortgage lending for twenty years prior to becoming publisher of MortgageDaily.com.

e-mail: mtgsam@aol.com