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NIM Classes Dominate Latest Ratings Actions

Recent servicer, MBS and NIM ratings activity

June 2, 2008

By SAM GARCIA


Some upgrades emerged among a number of ratings agency actions, though more than 100 net interest margin notes saw classes downgraded.

Cenlar FSB's primary servicer rating for prime and Alt-A product was upgraded by Fitch Ratings to RPS2- from RPS3+, while its primary specialty servicer-subservicer rating was upgraded to RPS2 from RPS2-. Fitch took the action as a result of Cenlar's client-branding technology, interim servicing, and new loan set-up expertise. Founded in 1958, the Ewing, N.J.-based company serviced 253,046 mortgage loans for more than $54.4 billion as of Dec. 31, 2007, up from 244,242 loans for approximately $50 billion a year earlier.

Central Mortgage Co.'s residential mortgage primary servicer rating for prime product was upgraded to RPS2 from RPS2- by Fitch. Its primary servicer rating for Alt-A product was upgraded to RPS2- from RPS3+. Fitch cited Central's seasoned management team, highly developed internal quality control processes and procedures and its effective technology platform. As of February 29, 2008, the Little Rock, Ark.-based company serviced 118,205 loans for approximately $24.4 billion.

UBS Mortgage Asset Securitization Transaction Asset Backed Securities mortgage pass-through certificates, series 2002-NC1 and 2002-OPT1, saw three classes downgraded by Fitch. Delinquency of at least 60 days is 34.3 percent and 25.3 percent on the subprime deals.

Standard & Poor's Ratings Services lowered its ratings on two classes of mortgage pass-through certificates issued by GSAMP Trust 2006-S5 and three classes of asset-backed certificates issued by Long Beach Mortgage Loan Trust 2006-A to 'D' from 'CCC.' The downgrades reflect the deterioration of the second-lien collateral pools as these transactions have continued to realize monthly net losses at an unprecedented pace.

Fitch reported Friday that rapidly rising serious delinquency on Alt-A RMBS transactions has prompted it to revise its rating methodology for the troubled asset class.

Fitch downgraded classes of the following Alt-A RMBS, reflecting its analysis of expected default and loss from delinquent loans, in addition to projected losses from the currently performing pools.

  • 69 Countrywide Home Loans securitizations from 2005, 2006 and 2007;
  • 49 Lehman issuance from 2005 to 2007;
  • 31 Banc of America transactions issued from 2005 to 2007;
  • 31 Citigroup deals securitized in 2005, 2006 and 2007;
  • 13 CitiMortgage issuances from 2006 and 2007;
  • 12 J.P. Morgan transactions closed from 2005 to 2007; and
  • nine Credit Suisse First Boston Mortgage Securities Corp. securitizations from 2006 and 2007.

Moody's Investors Service downgraded two tranches from CWALT Inc. Mortgage Pass-Through Certificates, series 2006-J7 based on higher than anticipated rates of delinquency, foreclosure and REO in the underlying Alt-A collateral relative to credit enhancement levels.

Fitch downgraded classes of the following NIM notes, reflecting actual pay-down performance of the NIM securities to date compared to initial projections, as well as changes that Fitch previously made to its subprime loss forecasting assumptions for the underlying transactions:

  • 29 Structure Asset Investment Loan, Structured Asset Securities Corp. and BNC notes issued from 2003 to 2007;
  • 28 classes from 10 Soundview notes issued from 2005 to 2007;
  • 26 Classes from 23 Securitized Asset Backed notes issued in 2005, 2006 and 2007;
  • 13 classes from six HASCO transactions booked in 2006 and 2007;
  • six classes for $36 million from CSFB NIMS Trust HEAT 2006-3 NIM 45 and 2006-5 NIM 47;
  • four classes for $27 million from six J.P. Morgan NIM transactions issued in 2006 and 2007;
  • four classes for $20 million from Asset-Backed Securities Corp. series 2005-KS4, Cayman ABSC NIM 2006-HE3 and Cayman ABSC NIM 2006-HE5;
  • two classes for $23 million from WM Asset Holdings Corp. CI, series 2006-6 and 2006-7;
  • two classes for $10 million from Aegis Asset Backed Securities Trust 2005-3;
  • two classes for $9 million from Fremont CI-5 NIM, series 2005-2 and 2006-A;
  • two classes for $7 million from Option One Mortgage Securities Corp. NIM Trust, series 2005-3;
  • two classes for $6 million from Residential Asset Mortgage Products 2005-NM5 Trust;
  • two classes for $5 million from Meritage CI-4 notes, series 2005-2;
  • two classes for $3 million from Wells Fargo Home Equity Trust, series 2007-2;
  • two classes for $3 million from Societe Generale Mortgage Securities 2005-OPT1;
  • two classes for $3 million from Finance America CI-2 NIM Trust 2004-2; and
  • one class for $3 million from Equifirst CI-3 NIM.

Fitch said it downgraded two classes of notes issued by SHARPS CDO I, Ltd/Corp. (SHARPS I) and wrapped by CIFG following its downgrade of CIFG's Insurer Financial Strength.

In the world of commercial securitizations, a $65 million class of GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, series 2005-GG4, was upgraded by Moody's due to increased defeasance, improved performance of two loans with underlying ratings and overall stable pool performance.

Three classes for $51 million of Banc of America Commercial Mortgage Inc., series 2002-PB2, were upgraded by Moody's as a result of increased defeasance and credit support and overall stable pool performance.

A $34 million class of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, series 2004-WHALE 4, was downgraded by Moody's based on a decline in the estimate of property value resulting from a decrease in sustainable net cash flow.

Two classes for $23 million of Greenwich Capital Commercial Funding Corp., series 2006-GG7, were downgraded by Moody's due to increased projection of losses from specially serviced loans.

Two classes of DLJ Mortgage Acceptance Corp., Commercial Mortgage Pass-Through Certificates, series 1997-CF2, were upgraded by Moody's because of increased credit support and overall stable pool performance.


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

e-mail: [email protected]


Servicing News | Servicer Ranking | Delinquency Statistics
Stories about mortgage servicers, delinquency and f o r e c l o s u r e s. Coverage of servicing lawsuits and loan servicing technology.


Nonprime and Subprime News | Subprime Statistics
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hard money lending. Home-equity loans and home-equity lines of credit.


Commercial Mortgage News | CRE Lender Directory | CRE Statistics
Stories about commercial lending on multifamily, office, retail and industrial properties.



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