RMBS Ratings All Bad, CMBS Mixed

Standard & Poor’s Rating Services named Residential Credit Solutions Inc. to its select servicer list as a residential subprime and special servicer. The move reflects a positive assessment of its financial position, regulatory compliance, management strengths and weaknesses. The high-touch servicer manages around $1 billion in performing and non-performing residential loans.

Moody’s Investors Service downgraded Popular Mortgage Servicing Inc.’s subprime servicer rating to SQ3-. The move was prompted by an announcement that the company would sell a majority of its loans and mortgage servicing rights to Goldman Sachs Mortgage Co., Goldman, Sachs & Co. and Litton Loan Servicing, LP.

“The substantial transfer of the majority of [Popular’s] servicing portfolio creates uncertainty in the servicer’s ability to maintain servicing performance, the level of investment in the servicing platform, the maintenance of appropriate staffing levels, and the ability to retain key managers,” Moody’s explained. “Furthermore, [Popular’s] profitability will be squeezed because of the decline in the revenue base generated by the limited servicing assets that will remain after the transfer.”

Terwin Mortgage Trust 2006-4SL, 2005-13SL and 2006-8 saw four certificates downgraded by Moody’s. The second-lien deals were downgraded because credit enhancement levels, including excess spread and subordination, were low compared to the current projected loss numbers at the previous rating levels.

Moody’s downgraded two certificates issued by SACO I Trust 2006-12 because credit enhancement levels, including excess spread and subordination, were too low compared to the current projected loss numbers at the previous rating levels. The deal is backed by HELOCs — an asset type that has seen worsening performance.

Fitch Ratings downgraded three classes from CWALT Resecuritization Mtge Trust 2006-22R Group 2 as part of its ongoing surveillance process of existing transactions. The deal is backed by Alt-A loans.

Moody’s downgraded tranches of the following Alt-A residential mortgage-backed securities because of higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels:

• 240 classes from 31 Harborview negative amortization RMBS securitized between 2004 and 2007;
• 218 certificates from 19 negative amortization option-ARM transactions issued by Structured Asset Mortgage Investments II Trust from 2005 through 2007;
• 214 tranches from 16 negative amortization Lehman XS Trust issuances from 2005, 2006 and 2007;
• 157 tranches from 10 negative amortization option-ARM RMBS issued by WaMu Mortgage Pass-Through Certificates WMALT series between 2005 and 2007;
• 135 tranches from 12 deals issued by Washington Mutual in 2006 and 2007;
• 124 classes from 15 negative amortization option-ARM securitizations issued by American Home from 2005 to 2007;
• 119 tranches from 21 option-ARM transactions issued by IndyMac from 2004 to 2007;
• 27 classes of ChaseFlex Trust Series 2007-3 and 2007-M1;
• 19 tranches of HarborView Mortgage Loan Trust 2005-14, 2006-11 and 2006-3;
• seven certificates from negative amortization Chevy Chase Funding LLC 2007-2; and
• one class of RALI 2006-QO3 Trust, backed by negative amortization loans.

Three classes of Banc of America Mortgage Securities Inc., series 2004-7, were downgraded by Fitch as part as its ongoing surveillance process of existing transactions. The deal is backed by prime mortgages.

Nine scratch-and-dent Bayview Financial Mortgage deals issued from 2004 to 2007 saw 46 certificates downgraded by Moody’s. The actions were taken as a result of higher-than-expected rates of delinquency, foreclosure and REO being experienced on many scratch-and-dent pools in light of the deteriorating housing market and rising delinquencies and foreclosures.

Moody’s downgraded classes of the following RMBS due to higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels — though the type of loans backing the deals were not stated:

• 13 tranches from Saxon Asset Securities Trust 2007-3;
• 10 classes from Citigroup Mortgage Loan Trust 2007-FS1 and 2007-WFHE4; and
• seven certificates from Newcastle Mortgage Securities Trust 2007-1.

Several commercial MBS also saw recent ratings activity.

GMAC Commercial Mortgage Securities Inc. 2000-C3 saw seven classes upgraded by Moody’s as a result of increased defeasance and credit enhancement levels.

Five classes of classes of Wachovia Bank Commercial Mortgage Trust 2003-C5 were upgraded by Moody’s due to increased credit enhancement and defeasance and improved overall pool performance.

First Union National Bank Commercial Mortgage Trust, series 2000-C1, saw three classes upgraded by Fitch because of increased credit enhancement levels as a result of the defeasance of seven loans and one loan payoff since Fitch’s last rating action.

Fitch upgraded two classes of First Union National Bank-Chase Manhattan Bank 1999-C2, reflecting improved credit enhancement levels resulting from loan payoffs and scheduled amortization since Fitch’s last rating action.

Two classes of NationsLink Funding Corporation, series 1999-1, were upgraded by Fitch as a result of increased credit enhancement due to additional paydown and defeasance since Fitch’s last rating action.

Moody’s upgraded one class of Nomura Asset Securities Corporation, series 1998-D6, due to increased credit enhancement and defeasance. The ratings agency cited the same logic in its upgrade of one class of Merrill Lynch Mortgage Loans Inc. 1999-Canada 2.

Credit Suisse First Boston Mortgage Securities Corp., series 2000-C1, saw two classes upgraded by Fitch as a result of increased credit enhancement from loan payoffs and scheduled amortization.

LB Multifamily Mortgage Trust, series 1991-4, saw one class upgraded because of additional credit enhancement provided by a reserve fund which offsets realized losses.

Three classes of BSDB 2005-AFR1 Trust were upgraded by Moody’s due to an increase in subordination levels resulting from the defeasance of approximately $52 million of the mortgage loan and the posting of an additional $5.0 million to the debt service reserve account. The same deal saw another three classes downgraded because of a decline in net cash flow from securitization attributable to little accretive leasing, leasing at rental rates that have been below expectations and higher property expenses combined with lower rates of expense recovery.

LB-UBS Commercial Mortgage Trust 2004-C7 saw three classes downgraded due to realized losses, projected losses from specially serviced loans and increased dispersion.

Moody’s downgraded three classes of Merrill Lynch Mortgage Trust 2004-Key2 as result of estimated losses from specially serviced loans and increased dispersion.

Two classes of Morgan Stanley Capital I Trust 2003-IQ6 were downgraded by Moody’s due to increased dispersion.

Morgan Stanley Capital I Inc., series 1999-FNV1, saw two classes downgraded by Fitch because the transaction is experiencing adverse selection warranting affirmations of the current ratings.

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

e-mail: mtgsam@aol.com