Alt-A Performance Prompts Negative Ratings Actions

Moody’s Investors Service said last week it was reviewing Alt-A RMBS in light of the deteriorating housing market and rising delinquencies and foreclosures. Many Alt-A pools originated from late 2005 through last year are seeing higher than expected rates of delinquency, foreclosure and real estate owned. But Moody’s indicated that borrowers on loans backing Alt-A deals have credit ranging from near-prime to near-subprime, and the performance varies accordingly.

CWALT, Inc. Mortgage Pass-Through Certificates saw 84 tranches from 11 deals issued in 2006 downgraded or placed on review for downgrade as a result of Moody’s review.

Bear Stearns Asset Backed Securities I Trust, CWABS Asset-Backed Certificates Trust, Impac CMB Trust Series 2005-6 Collateralized Asset-Backed Bonds and Impac Secured Assets Corp. Mortgage Pass-Through Certificates saw 131 tranches from 17 transactions issued from 2005 to 2007 downgraded or placed on review for possible downgrade due to Moody’s actions. Loans backing these deals were originated by Impac.

Residential Asset Mortgage Products mortgage pass-through certificates, series 2006-RZ3, 2006-RZ4, and 2006-RZ5, had $0.6 billion in classes downgraded by Fitch Ratings based on changes to the ratings agency’s subprime loss forecasting assumptions. Delinquency of at least 60 days is between 14.4 percent and 19.9 percent, while cumulative losses are expected to reach between 16.2 percent and 22.3 percent.

GS Mortgage Securities Corporation II Commercial Mortgage pass-through certificates, series 2003-C1, saw seven classes for $86.6 million upgraded by Fitch as a result of increased credit enhancement levels due to loans paying off as well as stable pool performance since Fitch’s last rating action.

Moody’s upgraded two classes for $52 million of GMAC Commercial Mortgage Securities, Inc., Commercial Mortgage Pass-Through Certificates, series 2003-C3.

Two classes for $37 million of Bear Stearns Commercial Mortgage Securities Inc.’s mortgage pass-through certificates, series 2003-PWR2, were upgraded by Fitch due to increased credit enhancement and 8.9% additional defeasance since Fitch’s last rating action in January 2007.

Two classes for $27 million of Bear Stearns Commercial Mortgage Securities Inc., commercial mortgage pass-through certificates, series 1999-C1, were upgraded by Moody’s due to increased subordination levels, improved overall pool performance and an increased percentage of defeased loans. One class for $10 million was downgraded due to realized losses.

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

e-mail: mtgsam@aol.com