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RMBS, CMBS Ratings Continue Divergence

RMBS, CMBS Ratings Continue Divergence

Recent MBS ratings activity

November 1, 2007


photo of Coco Salazar
Fitch Ratings lowered ratings on a series of Alt-A residential mortgage backed-securities. But the agency upgraded ratings on several MBS in the commercial sector and one commercial mortgage servicer.

Fitch downgraded four classes of CitiMortgage Alternative Loan Trust, Series 2006-A4, and four classes of Series 2006-A6. The negative actions affected about $17 million of the fixed-rate, Alt-A loan-backed deals’ outstanding certificates and were taken as a result of a deteriorating relationship between credit enhancement and expected loss. The 90+ delinquency is 1.73 percent of current collateral balance for the first of these series, and 1.28 percent for the latter series.

A deteriorating relationship between credit enhancement and expected loss was also cited by Fitch for downgrades on about $217 million and placement on review for downgrade of $22 million in classes of fixed-rate, Alt-A loan-backed Countrywide deals CWALT 2005-49CB and 55CB Group 1, and 2006-6CB, 14CB, 23CB, 24CB, 28CB, 30T1, 36T2, 40T1, 45T1, J3 and J6; and $62 million in downgrades and $9 million placed on Rating Watch Negative for classes of Alt-A loan-backed CMLT, Series 2005-5 Group 1 and 8 Group 1, and 2006-4, AR2 Group 1, AR3 Group 2, AR5 Group 1 and 2, and AR7 Group 1 and 2; and $21 million in downgrades for Alt-A loan-backed J.P. Morgan Alternative Loan Trust 2006-A2 POOL 1, A-3 POOL 2-3, and S1 POOLS 1-2.

Higher ratings were given to two classes or $47 million worth of Morgan Stanley Capital I Inc., series 2006-XLF, commercial mortgage pass-through certificates due to paydown of nearly 53 percent since Fitch’s last rating action, a news release stated.

GECC Commercial Mortgage Securities Corp., series 2004-C2 reportedly saw higher ratings by Fitch for three classes worth $84 million because of 11 percent defeasance since the rating agency’s latest rating action, as well as the stable pool performance since issuance.

The $25 million class A-3 of Asset Securitization Corp.’s commercial mortgage pass-through certificates, series 1997-MDVII received an improved rating to reflect full defeasance of the remaining loan, the Inn Keepers Portfolio, Fitch announced.

Fitch announced it upgraded Bank of America’s commercial mortgage primary servicer rating to CPS1- from CPS2, its master servicer rating to CMS2+ from CMS2 and its special servicer rating to CSS2- from CSS3+. The improved primary servicer rating was due to demonstrated ability to effectively service mortgage loans in commercial mortgage-backed securities transactions while substantially growing its servicing portfolio, as well as implementing and or enhancing monitoring, polices, procedures, and compliance program. Contributing to the better master servicer rating was the addition of surveillance analyst team to support asset management, among other things. The higher rating as a special servicer reflect the company’s stable special servicing team and strong commercial real estate resources provided by the bank.


Coco Salazar is an associate editor and staff writer for

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