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| 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.
Citing current credit enhancement levels and excess spread, Moody’s Investors Service downgraded 11 classes of five subprime RMBS issued by Credit Suisse First Boston Mortgage Securities Corp. during 2001 and 2002. Two classes from Soundview Home Equity Loan Trust 2001-1 were downgraded by Fitch Ratings. The subprime deal has 60-day delinquency of 33.9 percent. Nine classes from four Centex Home Equity Loan Trust RMBS were downgraded by Fitch. Delinquency on the 2001 and 2002 subprime transactions ranges from 10.4 percent to 27.0 percent. Moody’s said last week it was reviewing option adjustable-rate mortgage RMBS as part of a wider review of all RMBS transactions in light of the deteriorating housing market, rising delinquencies and worsening foreclosures. Higher-than-anticipated rates of delinquency, foreclosure, and real estate owned in the underlying collateral relative to credit enhancement levels prompted Moody’s to downgrade the following Alt-A classes:
Downgrades hit 59 tranches of 15 RAMP RMBS issued in 2004 and 2005. Moody’s took the actions on the deals, which are backed by loans acquired by Residential Funding Company LLC under its Negotiated Conduit Asset, because of the deteriorating housing market as well as rising delinquencies, foreclosures and REOs. Moody’s also downgraded 89 tranches from 19 RAAC transactions issued from 2004 to 2007. The issuances were additionally downgraded due to the housing market and the performance of the re-performing and seasoned loans backing the deals. In the commercial MBS sector, two classes of PNC Commercial Mortgage Acceptance Corp.’s commercial mortgage pass-through certificates, series 2000-C1, were upgraded by Fitch due to increased credit enhancement due to paydown and defeasance since the last Fitch rating action. Moody’s upgraded the following CMBS classes due to increased credit support and defeasance and overall improved pool performance:
Merrill Lynch Financial Assets Inc. CMBS, series 2001-Canada 6, saw one class upgraded as a result of increased defeasance and credit support. One class of Artesia Mortgage CMBS, Inc., Commercial Mortgage Pass-Through Certificates, Series 1998-C1 was upgraded by Moody’s because of increased credit support and overall improved pool performance. Fitch upgraded three classes of DLJ Commercial Mortgage Corp.’s commercial mortgage pass-through certificates, series 1998-CG1, as a result of additional paydown since Fitch’s last rating action. One class from series 1998-CF1 was also upgraded due to additional paydown since Fitch’s last rating action which has resulted in increased subordination levels. COMM 2006-FL12 saw 10 classes upgraded due by Moody’s to decreased leverage from property release payments, though three classes were downgraded because of performance issues. Seven classes of CSFB 2007-TFL-2, series 2007-TFL2, were downgraded by Moody’s due to market credit deterioration and monetary default of the loan. GMAC Commercial Mortgage Securities Inc., series 2001-C1, saw three classes downgraded by Fitch due to an increase in expected losses on special serviced loans. In addition, two classes of series 2001-C2 were downgraded because of similar concerns. Two classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2005-CIBC1, were downgraded by Fitch as a result of projected losses on the seven specially serviced loans. |
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Sam Garcia worked in mortgage lending for twenty years prior to becoming publisher of MortgageDaily.com. e-mail:Â [email protected] |
