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The MBS Ratings Journal

The MBS Ratings JournalRecent MBS ratings activity

August 22, 2008



The latest ratings downgrades on residential mortgage-backed securities were dominated by Alternative-A transactions — though two Alt-A deals saw upgrades. Commercial MBS ratings activity continued to be mixed.

GreenPoint Mortgage Funding Trust 2005-HE3 saw two classes downgraded by Moody’s Investors Service. The deal, backed by home-equity lines-of-credit, saw the downgrades because credit enhancement levels, including excess spread and subordination, were low compared to the current projected loss numbers at the previous rating levels.

Fitch Ratings upgraded Wilshire Credit Corp.’s primary servicer rating for Alt-A product to RPS1- from RPS2, reflecting its overall servicing expertise as well as the additional year of experience servicing more Alt-A product.

Moody’s cited higher-than-anticipated rates of delinquency, foreclosure, and real estate owned in the underlying collateral relative to credit enhancement levels in its downgrade of classes from the following Alt-A securitizations:

  • 369 tranches from 24 RMBS securitized by Residential Accredit Loans Inc. under the QS shelf in 2005, 2006 and 2007;
  • 320 certificates from 25 transactions issued by Morgan Stanley from 2005 to 2007;
  • 264 classes from 28 IndyMac issuances from 2005, 2006 and 2007;
  • 140 tranches from 11 Residential Asset Securitization Trust RMBS securitized from 2005 through 2007;
  • 87 tranches from five BCAP LLC Trust deals from 2006 and 2007;
  • 43 certificates from three deals issued by SunTrust in 2005 and 2006;
  • 32 classes from five option ARM transactions issued by Luminent Mortgage Trust in 2006;
  • 20 tranches from Wachovia Mortgage Loan Trust, series 2006-ALT1 and 2006-AMN1;
  • seven certificates from GSC Capital Corp Mortgage Trust 2006-1 and 2006-2;
  • four classes from three transactions issued by Bella Vista Mortgage Trust in 2004 and 2005;
  • four tranches from Sequoia Alternative Loan Trust 2006-1;
  • three classes from Structured Asset Mortgage Investments Trust 2001-4;
  • three certificates from Nomura Asset Acceptance Corporation, Alternative Loan Trust, series 2004-AP3; and
  • two tranches from Opteum Mortgage Acceptance Corporation 2005-5 and 2006-2.

Fitch Ratings downgraded classes of the following prime and Alt-A RMBS:

  • CSFB 2002-18 GROUP 2 and 2002-22 Groups 3&4;
  • CWALT 2007-1T1;
  • EASI Synthetic Investment transactions Securities 2007-1 Trust Aggregate Pool;
  • Mellon 1998-A;
  • Morgan Stanley Mortgage Loan Trust 2004-11AR Group 1;
  • NOMURA 1994-3
  • Prime Mortgage Trust 2006-DR1;
  • RAMP 2002-SL1 Group 2;
  • Residential Asset Securitization Trust Series 2007-A8 Pool 1;
  • SASCO 2005-11H;
  • SAMI 1999-1 Group 2 and 1999-2 Group 3; and
  • TMHL 2006-3 (prime).

But Fitch upgraded two classes from CWALT 2006-39CB and one class from CWALT 2007-1T1.

Scratch-and-dent RMBS to see classes downgraded by Moody’s as part of an ongoing, wider review of all RMBS transactions — in light of the deteriorating housing market and rising delinquencies and foreclosures — included:

  • 12 classes of American Home Mortgage Investment Trust 2007-SD1 and 2007-SD2;
  • seven tranches from Truman Capital Mortgage Loan Trust 2006-1;
  • six certificates from FFMLT 2007-FFB-SS, backed by second liens;
  • four classes of Yale Mortgage Loan Trust 2007-1, a hard-money deal;
  • two tranches from Bear Stearns Asset Backed Securities I Trust 2004-BO1;
  • two tranches from Impac CMB Trust Series 2007-A; and
  • one certificate from CSFB Mortgage Pass-Through Certificates, series 2003-CF14.

Moody’s noted that many scratch-and-dent pools originated since 2004 are exhibiting higher-than-expected rates of delinquency, foreclosure, and REO.

Moody’s also downgraded classes from the following RMBS, in general, based on higher-than-anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels:

  • 34 certificates from four Soundview Home Loan Trust transactions issued in 2007;
  • 23 tranches from three Bear Stearns RMBS issued in 2007;
  • 17 classes of Morgan Stanley ABS Capital I Inc. Trust 2007-HE7 and Morgan Stanley Structured Trust I 2007-1;
  • 15 tranches from MASTR Asset Backed Securities Trust 2007-HE2 and 2007-NCW;
  • 11 classes from Structured Asset Securities Corp. 2007-WF2;
  • 10 certificates from HSI Asset Securitization Corporation Trust 2007-WF1;
  • 10 tranches from ResMae Mortgage Loan Trust 2007-1; and
  • nine classes of Securitized Asset Backed Receivables LLC Trust 2007-BR5.

In CMBS ratings activity, TIAA CMBS I Trust 2001-C1 saw four classes upgraded by Fitch, reflecting increased credit enhancement levels due to the payoff of 17 loans and scheduled amortization since Fitch’s last rating action.

Fitch upgraded four classes for $80 million of Credit Suisse First Boston 2003-C5 as a result of increased credit enhancement levels due to principal paydown since the last rating action.

Three classes for $917 million of Wachovia Bank Commercial Mortgage Trust 2003-C7 were upgraded by Moody’s due to increased credit enhancement and defeasance.

Prudential Securities Secured Financing Corp. 1999-NRF1 saw three classes for $44 million upgraded by Fitch because of increased credit enhancement due to 37 percent paydown as the result of scheduled amortization and loan payoffs since last review.

One class for $2 million of Morgan Stanley Capital I Inc. 1997-C1 was upgraded by Fitch primarily as a result of increased credit enhancement levels due to loan payoffs and amortization.

Fitch upgraded one class for $23 million of GS Mortgage Securities Corp. II 1998-C1 because of increased credit enhancement due to the repayment of 30 loans and scheduled amortization since the last rating action.

Moody’s downgraded three classes for $28 million of Citigroup Commercial Mortgage Trust 2006-FL2 based on property value declines.

Lehman Brothers-UBS 2006-C1 saw two classes for $18 million downgraded, reflecting expected losses on six assets that are in special servicing.

One class for $34 million of CS First Boston Mortgage Securities Corp. 2007-TFL2 was downgraded by Fitch as a result of the Resorts Atlantic City not performing to expectations.

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


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