| The past five days have seen ratings downgrades to nearly $10 billion in classes of collateralized-debt obligations, nearly 200 tranches of Alt-A RMBS and more than $3 billion in classes of subprime residential mortgage-backed securities issued in 2003 and 2004. Even prime RMBS from 2003 and 2004 saw classes downgraded, though just a single commercial MBS class was downgraded.
Fitch Ratings continued its downgrades to the following classes of subprime RMBS issued in 2003 and 2004:
- $1.2 billion in classes from six Park Place Securities Inc. transactions with delinquency of at least 60 days ranging from 26.0 percent to 32.1 percent;
- $0.4 billion in tranches from 18 Ameriquest Mortgage Securities Inc. mortgage pass-through certificates having late pays of between 8.6 percent to 28.8 percent;
- $0.4 billion in classes from 14 RASC 2004 transactions with delinquency of between 6.3 percent and 40.2 percent;
- $0.3 billion in classes from eight CDC Mortgage Capital Trust RMBS with late pays ranging from 23.2 percent to 29.9 percent;
- $0.2 billion from 10 Goldman Sachs deals with delinquency falling between 4.6 percent and 30.9 percent;
- $0.1 billion in classes from eight Merrill Lynch Mortgage Investors RMBS with delinquency ranging from 14.4 percent to 26.7 percent;
- $0.1 billion in tranches from 10 Asset Backed Funding Corp. deals with late pays of between 10.8 percent and 28.9 percent;
- $0.1 billion in classes of People’s Choice Home Loan mortgage pass-through certificate transactions, series 2004-1 and 2004-2, with delinquency of 23.6 percent and 27.1 percent, respectively;
- $0.1 billion in classes from four Structured Asset Investment Loan mortgage pass-through certificates with delinquency ranging from 16.1 percent and 28.7 percent;
- $0.1 billion in classes from four Structured Asset Securities Corporation mortgage pass-through certificates with delinquency falling between 16.2 percent and 46.4 percent;
- $0.1 billion in classes from 19 Chase Funding Loan Acquisition Trust deals with delinquency from 0.3 percent to 22.6 percent;
- $0.1 billion in tranches of nine Argent Securities Inc. RMBS with late pays ranging from 14.8 percent to 35.2 percent; and
- $0.1 billion in classes from three Specialty Underwriting and Residential Finance mortgage pass-through certificate transactions with delinquency of between 16.4 percent and 23.0 percent.
Moody’s Investors Service downgraded 63 certificates from 19 subprime First Franklin Mortgage Loan Trust transactions issued in 2002, 2003 and 2004 because the current credit enhancement provided by subordination, overcollateralization and excess spread for each deal is low compared to the projected pipeline losses of the underlying pool.
Among classes of closed-end second lien-backed securitizations downgraded by Moody’s due to credit enhancement levels, including excess spread and subordination were low compared to the current projected loss numbers at the previous rating levels, were:
- 30 certificates from seven transactions issued by Merrill Lynch Mortgage Investors Trust from 2005 to 2007;
- 19 classes from 11 transactions issued by Structure Asset Securities Corp. in 2005 and 2006; and
- four certificates from Terwin Mortgage Trust, series 2005-13SL and 2005-11.
Moody’s cited higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels in its downgrade of the following Alt-A RMBS:
- 60 tranches from six transactions issued by BCAP LLC Trust during 2006 and 2007;
- 45 tranches from 13 transactions securitized by Citigroup Mortgage Loan Trust in 2005, 2006 and 2007;
- 36 tranches from six RMBS issued by TBW Mortgage-Backed Trust in 2006 and 2007;
- 28 tranches from 11 Lehman Mortgage Trust deals issued from 2005 through 2007;
- 24 tranches from three transactions issued by ChaseFlex in 2007;
- three tranches from Prime Mortgage Trust 2006-CL1; and
- two tranches from RBSGC Mortgage Loan Trust, series 2007-A and 2007-B.
Fitch downgraded classes from the following scratch-and-dent deals:
- $0.2 billion in classes from UBS Mortgage Asset Securitization Transactions mortgage pass-through certificates, series 2005-1, 2007-1 and 2007-2;
- less than $0.1 billion in classes from three Union Planters RMBS issued from 1998 to 2000;
- $0.1 billion in tranches from seven Ace Securities Corporation mortgage pass-through certificates issued from 2004 through 2006; and
- less than $0.1 billion in classes from four Countrywide deals issued in 2003 and 2004.
Five classes of Merrill Lynch Mortgage Investors Merrill Lynch Credit Corp., series 2003-C and 2004-G, were downgraded by Fitch. Prime mortgages back the deals.
Less than $0.1 billion in classes from Quest 2006-X2 were downgraded by Fitch.
CDOs downgraded by Fitch included:
- eight classes of notes for $0.7 billion issued by Monterey CDO, Ltd./LLC;
- eight classes for $1.5 billion of notes issued by Orient Point CDO, Ltd. and Orient Point CDO, Inc.;
- six classes of notes for $0.9 billion issued by Broderick CDO 1 Ltd.;
- six classes of notes for $0.9 billion issued by Fort Sheridan ABS CDO, Ltd.;
- six classes for $0.6 billion of notes issued by Pyxis ABS CDO 2006-1 Ltd.;
- six classes for $1.7 billion of notes issued by Ipswich Street CDO, Ltd./LLC;
- five classes of notes for $0.3 billion issued by Dalton CDO, Ltd.;
- five classes of notes for $0.3 billion issued by Duke Funding X CDO, Ltd.;
- five classes for $0.2 billion of notes issued by Enhanced Mortgage Backed Securities Fund III, Ltd.;
- five classes for $0.2 billion of notes issued by Enhanced Mortgage Backed Securities Fund IV, Ltd.;
- four classes for $0.6 billion of notes issued by C-BASS CBO XV LTD;
- four classes for $0.4 billion of notes issued by C-BASS CBO XIV LTD;
- four classes for $0.4 billion of notes issued by C-BASS CBO XVI LTD;
- three classes for $1.0 billion of notes issued by TORO ABS CDO I Ltd.; and
- three classes for $0.1 billion of notes issued by Benazzi CDO 2005-1, Ltd.
Fitch downgraded one $65 million class of Morgan Stanley Capital I Inc. series 2005 XLF, commercial mortgage pass-through certificates. |
