|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:
Fitch Ratings downgraded classes of the following prime and Alt-A RMBS:
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:
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:
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 MortgageDaily.com.
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