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Mortgage Backed Securities | MBS News | MBS Statistics
News about commercial and residential mortgage-backed securities. Stories about ratings actions and changes to servicer ratings. Studies and reports about the performance of securitizations and problem vintages and classes. Subprime, Alt-A, home equity and j u m b o analysis.

Rapid Deterioration in Alt-A Performance Pauses

Recent ratings activity on Alt-A issuances

July 13, 2010

By staff

When it comes to downgrades on Alt-A issuances, 2005 wasn't a very good year. Including other vintages, more than $40 billion in Alt-A residential mortgage-backed securities were recently downgraded because of "rapidly deteriorating performance." But last month, Alt-A delinquency improved.

A report today from Fitch Ratings indicated Alt-A delinquency of at least 60 days fell to 33.7 percent in June from May's 33.9 percent. It was only the third monthly decline since April 2006. In Florida, late payments were 51.8 percent, while California stood at 35.1 percent.

The good news followed a July 6 report that Fitch took actions on 761 Alt-A deals, including downgrades on more than 4,000 tranches.

Moody's Investors Service has been reporting -- even today -- that performance is "rapidly deteriorating" on Alt-A residential mortgage-backed securities issued between 2005 and 2007. In addition, macroeconomic conditions remain "under duress."

The following tranches of Alt-A securities issued between 2005 and 2007 have been downgraded by Moody's since May. All but two of the transactions were issued in 2005.

Amount Tranches Transactions Issuer Years Type
$10.0 billion 438 25 Countrywide under the CWALT-CB shelf 2006 fixed
$6.0 billion 250 10 Countrywide under the CWALT-CB shelf 2007 fixed
$5.0 billion 101 8 Bear Stearns 2005 ARM
$4.8 billion 122 16 Structured Adjustable Rate Mortgage Loan Trust 2005 ARM
$3.3 billion 270 8 CSFB Mortgage-Backed Pass-Through Securities 2005 fixed
$3.0 billion 63 8 Bear Stearns ARM Trust shelf 2005 ARM, fixed
$2.0 billion 114 11 RFC 2005 fixed
$2.0 billion 95 8 Deutsche Alt-A Securities, Inc. Mortgage Loan Trust 2005 ARM, fixed
$1.5 billion 59 6 Banc of America 2005 ARM
$1.2 billion 69 10 Nomura 2005 ARM, fixed
$0.8 billion 18 3 American Home 2005 ARM, fixed
$0.7 billion 32 4 Countrywide 2005 fixed
$0.5 billion 9 1 IndyMac INDX Mortgage Loan Trust 2005-AR23 2005 ARM
$0.3 billion 18 1 ChaseFlex Trust Series 2005-2 transaction 2005 fixed
$0.2 billion 6 1 GreenPoint Mortgage Funding Trust 2005 ARM
$0.2 billion 3 1 Luminent Mortgage Trust 2005-1 2005 ARM
$0.1 billion 8 1 Structured Asset Mortgage Investments II Trust 2005-AR1 2005 ARM
$0.1 billion 5 1 New York Mortgage Trust 2005-3 2005 ARM
$0.1 billion 2 2 Terwin 2005 ARM, fixed
$0.1 billion 9 1 SunTrust Alternative Loan Trust, Series 2005-1F 2005 fixed

An accelerated pace of subordination depletion relative to senior tranche amortization drove a downgrade on less than $0.1 billion in tranches of Banc of America Mortgage 2006-8T2 Trust that included originations from American Home Mortgage Corp. and PHH Mortgage Corp. The same reason was cited for the downgrade of one tranche from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OC7.

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