Downgrades Hit 2003, 2004 Vintages

The servicer quality rating of GMAC-RFC as a Master Servicer was downgraded to SQ2 from SQ1- by Moody’s Investors Service as a result of Moody’s rating action on the senior unsecured debt rating of GMAC-RFC’s corporate parent, Residential Capital, LLC. Moody’s also cited a decline in the master servicing portfolio, the company’s commitment to the service platform and the resignation of two independent directors — which the rating agency considered “a key component of ResCap’s corporate governance due to their responsibility to protect the interests of ResCap’s creditors in certain matters.”

GMAC-RFC affiliate Homecomings Financial LLC saw its servicer quality rating as a primary servicer of prime loans downgraded by Moody’s to SQ2- from SQ2. In addition, Homecomings’ ratings as a primary servicer of subprime mortgages, second liens, high loan-to-value loans and as a special servicer was downgraded to SQ3+ from SQ2-.

The latest subprime RMBS to be downgraded as a result of changes to Fitch Ratings’ subprime loss forecasting assumptions included six classes for $0.2 billion from J.P. Morgan Mortgage Acquisition Corp. 2006-WMC3.

Fitch also downgraded the following subprime deals that were issued in 2003 and 2004:

• $0.8 billion in classes from 34 Morgan Stanley mortgage pass-through certificates with delinquency of between 11.1 percent and 38.0 percent;
• $0.3 billion in classes from five New Century deals with delinquency at 14.6 percent to 30.1 percent;
• $0.2 billion in classes from eight Aegis Mortgage Corp. transactions with delinquency ranging from 15.4 percent to 39.2 percent;
• $0.1 billion in classes from 11 Ace Securities Corp. transactions with delinquency ranging from 15.1 percent to 33.5 percent;
• less than $0.1 billion in classes from CitiFinancial Mortgage Securities mortgage pass-through certificates with delinquency between 30.9 percent and 31.1 percent;
• less than $0.1 billion in classes from three Citigroup mortgage pass-through certificates with delinquency from 11.1 percent to 22.7 percent
• less than $0.1 billion in classes from seven UBS MABS deals with delinquency ranging from 10.2 percent to 21.5 percent;

Worsening performance on transactions backed by closed-end-second liens prompted Moody’s to downgrade six certificates from Ownit Mortgage Trust 2006-OT1 and 63 classes of Nomura Asset Acceptance Corp. transactions from 2005, 2006 and 2007.

In commercial, six classes for $92 million from Wachovia Bank Commercial Mortgage Trust, series 2004-C12, were upgraded by Fitch due to 9 percent defeasance and 1 percent paydown since last review.

JER CRE CDO 2006-2, which is backed by CMBS, saw 14 classes for $558 million downgraded by Fitch because the risks facing first loss (unrated) and junior rated bonds within the capital structure of CMBS transactions have increased with expectations of a rise in commercial real estate defaults from current low levels.

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

e-mail: mtgsam@aol.com