Alt-A Issuances Annihilated Again

Chase Flex Trust, series 2007-1 and 2007-3, saw nine classes downgraded by Fitch because of expected default and loss from the underlying delinquent Alt-A loans in addition to projected losses from the currently performing pool.

Higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying Alt-A collateral relative to credit enhancement levels led Moody’s to downgrade the following classes from transactions backed by a mix of fixed-rate, hybrid adjustable-rate, negatively amortizing and option-ARM mortgages:

• 206 tranches from 30 Residential Accredit Loans Inc. RMBS from 2005, 2006 and 2007;
• 186 tranches from 32 transactions issued by Harborview Mortgage Loan Trust from 2004 to 2007;
• 56 classes of seven Deutsche Alt-A Securities Mortgage Loan Trust deals issued in 2006 and 2007;
• 52 tranches nine Luminent Mortgage Trust transactions from 2006 and 2007;
• 17 tranches of four HarborView Mortgage Loan Trust RMBS from 2005 and 2006;
• 17 classes of three GSR Mortgage Loan Trust issuances in 2006 and 2007;
• nine tranches from three Banc of America Funding RMBS issued in 2004 and 2005;
• eight tranches from Alliance Securities Corp., mortgage-backed pass-through certificates, series 2007-OA1; and
• seven classes from Bella Vista Mortgage Trust 2004-2, 2005-1 and 2005-2.

The latest ratings actions on Alt-A RMBS follow downgrades on more than 1,000 Alt-A classes reported earlier this week.

Because of deteriorating housing market and rising delinquencies, foreclosures and REOs being seen in many scratch-and-dent pools originated since 2004, Moody’s downgraded 19 tranches from four GSRPM Mortgage Loan Trust from 2003, 2006 and 2007. Also impacted were seven tranches from Citigroup Mortgage Loan Trust, series 2006-SHL1 and 2007-SHL1, and 52 tranches from Bear Stearns Asset Backed Securities Trust deals issued from 2005 through 2007.

On the CMBS side, COMM 2001-J2 commercial mortgage pass-through certificates saw four classes upgraded by Moody’s due to the overall improving financial performance of the collateralized assets associated with the certificates as well as the defeasance of two loans since last review.

Three classes of Banc of America Commercial Mortgage Inc., commercial mortgage pass-through certificates, series 2004-2 were upgraded by Moody’s because of increased defeasance and credit support and overall stable pool performance.

Moody’s upgraded three classes of Wachovia Bank Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2005-C16, due to increased defeasance and credit support and overall stable pool performance.

One class of Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2005-TFL1, was upgraded by Moody’s due to improvements in property performance.

Nine classes of Salomon Brothers Commercial Mortgage Trust 2001-MM, commercial mortgage pass-through certificates, series 2001-MM were upgraded due to increased subordination levels due to loan payoffs and amortization as well as the improved overall performance of the associated loan group. One class, however, was downgraded because of a decline in performance of the largest loan in its loan group.

Moody’s upgraded six classes of Credit Suisse First Boston Mortgage Securities Corp., commercial mortgage pass-through certificates, series 2002-CKS4, as a result of increased defeasance and credit support and overall stable pool performance. But three classes were downgraded due to increased losses from specially serviced loans and increased loan-to-value dispersion.

Merrill Lynch Mortgage Loans Inc., 1st Street Tower Trust pass-through certificates, series 1999-1STT, saw three classes downgraded by Moody’s.

Related:

Alt-A Avalanche
Residential mortgage-backed securities backed by Alternative-A loans were the target of a series of downgrades, though a number of commercial MBS saw upgrades.

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

e-mail: mtgsam@aol.com