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Alt-A, Commercial Deals Downgraded

Alt-A, Commercial Deals Downgraded

Recent MBS ratings activity

January 11, 2008


photo of Coco Salazar
In addition to a number of Alt-A deals that saw negative actions taken on their ratings, three commercial deals were downgraded or placed on review for downgrades. But two commercial deals saw positive ratings activity.

Since Thursday, Moody’s Investors Service has announced ratings downgrades on 32 Alt-A deals by five issuers in 2007. The negative actions reflect higher-than-anticipated rates of delinquency, foreclosure, and real estate owned in underlying collateral relative to credit enhancement levels, plus Moody’s updated methodology for non-delinquent portions of the transactions.

A dozen of the deals were issued by IndyMac and saw 28 classes downgraded, plus 16 placed on review for possible downgrade. Meanwhile, four deals by BCAP saw downgrades on 20 tranches and face potential worse ratings on six tranches, three Citigroup transactions received worse ratings on eight tranches and had 11 classes placed on review for possible downgrades, three American Home deals saw eight classes downgraded and nine facing possible downgrades, and HomeBanc Mortgage Trust 2007-1 had ratings knocked down on one class.

ChaseFlex deals from last year were also affected by Moody’s Alt-A actions, with 14 tranches downgraded and another tranche placed on under review for possible downgrade.

American Home Mortgage Investment Trust 2007-2 received lower ratings by Moody’s on six classes of certificates, with two of these placed on review for possible further downgrade. The ratings agency said it decided on these actions due to extremely poor performance in the collateral, which consists of closed-end second lien mortgage loans that have seen a high rate of early default.

Three classes worth $27 million from Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, were downgraded because of loan loan-to-value dispersion and $16 million in projected losses, Moody’s said. The ratings agency’s LTV ratio is almost 110 percent, compared to about 104 percent at securitization. Thirty-nine loans, representing about 23 percent of the pool, have a Moody’s LTV in excess of 120 percent, compared to six loans representing about 6 percent of the pool at securitization.

Almost $13 million or three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2004-CIBC8, reportedly had ratings lowered by Moody’s because of realized losses in the transaction. Series 2007-FL1 saw $88 million in classes placed on review for downgrade because a underlying loan is secured by four casinos with reduced cash flow.

However, upgrades were seen in five classes or $107 million of Wachovia Bank Commercial Mortgage Securities Trust 2004-C10, Series 2004-C, due to defeasance, increased credit support and stable overall pool performance., Moody’s announced.

Moody’s also raised the rating of FNBC 1993-A Pass Through Trust, 8.08% Pass Through Certificates, Series 1993-A to Aaa from Aa3 to align it with the current rating of J.P. Morgan Chase Bank NA. The certificates, worth about $200 million , are secured by a mortgage on a 2.2 million-square-foot office building in Chicago, Ill., leased to JPM Chase. Amounts payable under the lease are sufficient to pay in full when due all payments of interest and principal of the certificates, the ratings agency said.


Coco Salazar is an associate editor and staff writer for

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