Downgrades Hit RMBS, CDOs & Scratch-and-Dent Deals

Moody’s Investors Service downgraded 82 tranches from 18 Alt-A transactions issued by Washington Mutual from 2005 through 2007. The ratings agency cited higher-than-anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels.

Fitch Ratings downgraded the following scratch-and-dent deals:

• $0.2 billion in classes from Structured Asset Securitizations Corporation RMBS issued from 2003 through 2007;
• $0.1 billion in classes from CSFB mortgage pass-through certificates issued from 2004 to 2007;
• $0.1 billion in classes from C-BASS Mortgage Loan Trust mortgage pass-through certificates issued from 2003 through 2007; and
• less than $0.1 billion in classes from Goldman Sachs mortgage pass-through certificates, series 2004-1 and 2006-2.

Fitch downgraded the following CDO transactions:

• three classes of notes and one additional interest component for $1.2 billion issued by Blue Heron Funding VII, Ltd. in 2005;
• three classes of notes and one additional interest component for $1.2 billion issued by Blue Heron Funding VI, Ltd. in 2005; and
• six classes of notes for $0.4 billion issued by Coronado CDO, Ltd. in 2003.

LB-UBS commercial mortgage pass-through certificates, series 2003-C1, saws eight classes for $110 million upgraded by Fitch due to 4.3 percent pay down and 2.0 percent defeasance as well as stable performance of the pool since the last rating action.

Fitch upgraded a $17 million class of Office Portfolio Trust commercial mortgage pass-through certificates, series 2001 HRPT, due to receiving restated yearend 2007 financials from the borrower.

Fitch downgraded four classes for $9 million and assigned a Distressed Recovery rating to two classes of Mezz Cap’s commercial mortgage pass-through certificates, series 2005-C3, as a result of expected losses on specially serviced assets.

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

e-mail: mtgsam@aol.com