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Alt-A, Subprime RMBS Ratings Downgraded

Alt-A, Subprime RMBS Ratings DowngradedRecent MBS ratings activity

March 20, 2008


Ratings on classes from dozens of Alternative-A deals were assailed by Moody’s Investors Service. Subprime residential mortgage-backed securities continued to see negative ratings actions by Fitch Ratings, while activity was mixed on commercial deals.

Moody’s downgraded National City Bank’s second lien primary servicer quality rating to SQ2 from SQ2+. Although servicing performance has been maintained, the action was taken because parent National City Corp.’s fundamental rating was downgraded.

Changes Fitch made to its subprime loss forecasting assumptions led to downgrades on eight classes for $0.4 billion of Argent Securities Inc. series 2005-W4. Delinquency of at least 60 days is 31.1 percent, and cumulative losses are expected to accumulate to 11.4 percent of the original balance.

A deteriorating relationship between credit enhancement and expected loss prompted Fitch to downgrade 13 classes for $0.3 billion of three Ameriquest Mortgage Co. mortgage pass-through certificates issued in 2004. The subprime deals were either originated by Ameriquest Mortgage Co. or Argent Mortgage Co.

Moody’s said it downgraded ratings of 164 tranches from 21 Alt-A transactions issued by Deutsche Alt-B Securities Mortgage Loan Trust from 2005 to 2007. The actions were the result of higher-than-anticipated delinquency, foreclosure and REO relative to credit enhancement levels.

Citing the same reasons, Moody’s downgraded 100 tranches from 17 Nomura Asset Acceptance Corporation Alternative Loan Trust Alt-A transactions from 2005, 2006 and 2007 with 144 tranches remaining or placed on review for downgrades.

Moody’s also used the same logic for downgrading 26 tranches from eight Terwin Mortgage Trust Alt-A transactions issued either last year or in 2006.

Eight classes for $27 million of Washington Mutual Asset Securities Corp., Series 2003-C1, were upgraded by Moody’s. The ratings agency cited increased subordination levels and stable pool performance.

A $25 million class from Lehman Brothers Floating Rate Commercial Mortgage Trust Commercial Pass Through Certificates, Series 2005-LLF C4, was downgraded by Moody’s due to performance issues, and another tranche for $5 million was upgraded due to the improved performance of one loan.

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


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