Decade Old Deals Downgraded

Fitch Ratings downgraded classes of the following subprime transactions:

• 37 classes from 20 Morgan Stanley issuances from 2000, 2001 and 2002;
• 31 classes from 18 Lehman HEL, and Structured Asset Securities Corporation mortgage pass-through certificates securitized in 2001 and 2002;
• 25 classes from 12 Credit Based Asset Servicing and Securitization LLC RMBS issued from 1998 to 2002;
• 18 classes from seven IndyMac mortgage pass-through certificates securitized from 2000 to 2002;
• 11 classes from six Asset Back Funding Corp. issuances in 2002;
• 10 classes from Residential Funding Mortgage Securities II 1998-HI2 and four Residential Asset Securities Corporation transactions from 2001;
• 10 classes from 13 AMRESCO Residential Securities Corporation deals issued from 1997 to 1999;
• nine classes from six GE Capital HE issuances in 1997 and 1999;
• eight classes from four Renaissance Home Equity Loan Trust deals from 2002;
• 14 Classes from 7 Chase mortgage pass-through certificates securitized in 2001 and 2002;
• seven classes from 12 Saxon RMBS issued from 1999 to 2001;
• seven classes of CDC Mortgage Capital Trust, series 2002-HE1, 2002-HE2 and 2002-HE3;
• five classes from Cityscape HEL 1997-B Group 1 and HEL 1997-C Group 1;
• four classes of Wilshire, series 1996-3 and 1998-WFC2;
• three classes from Fremont Home Loan Trust 2002-2; and
• three classes from Industry Mortgage Company 1998-5.

Ameriquest saw 259 certificates from 50 subprime transactions issued in 2004 and 2005 downgraded by Moody’s Investors Service based upon recent and expected pool losses and the resulting erosion of credit support.

Moody’s reported that a review it embarked upon during March resulted in the downgrading of 3,077 Alt-A securities for $27.2 billion. Deals from 2006 and 2007 faced the brunt of the actions, though a number of RMBS from 2005 were also impacted.

As part of an ongoing review of all RMBS transactions,Moody’s downgraded 27 tranches from five scratch-and-dent GSAMP Trust deals issued from 2005 to 2007. The actions were taken in light of the deteriorating housing market and rising delinquencies and foreclosures.

The following net interest margin classes were downgraded by Fitch as a result of actual pay-down performance of the NIM securities to date compared to initial projections as well as changes that the agency previously made to its subprime loss forecasting assumptions for the underlying transactions:

• nine classes for $80 million from seven First Franklin NIM deals issued in 2005 and 2006;
• five classes for $11 million from IXIS, series 2005-HE2N, 2005-HE3 and 2005-HE4N; and
• a $5 million class of Merrill Lynch Mortgage Investors NIM Trust, series 2007-RFC1.

Three classes for $49 million from Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, series 2000-2, were upgraded by Moody’s due to increased defeasance and credit support and improved overall pool performance.

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

e-mail: mtgsam@aol.com