$6 Billion in Subprime Downgrades

Five IndyMac deals from 2006 saw $2.6 billion in classes downgraded as a result of changes to Fitch’s Ratings’ subprime loss forecasting assumptions. Another $1.0 billion was placed on Ratings Watch Negative. Delinquency ranges from 21.3 percent to 31.1 percent, while losses are expected to total 20.3 percent to 28.2 percent.

Four Asset Backed Funding Corp. mortgage pass-through certificate deals from 2006 had $2.6 billion in classes downgraded and another $1.1 billion placed on watch because of Fitch’s updates. Delinquency ranges from 18.9 percent to 23.5 percent and expected losses are between 22.6 percent and 30.7 percent.

Fitch’s changes to led to downgrades on $0.4 billion in classes from an Option One deal from 2006. Delinquency of at least 60 days is 22.1 percent while cumulative expected losses are 8.74 percent.

GS Mortgage Securities Corp mortgage pass-through certificates, Series 2006-HE6, saw $0.3 billion downgraded and less than $0.1 billion placed on watch because of the updates at Fitch. Delinquency is 21.4 percent while expected cumulative losses are 20.0 percent.

Bear Stearns Asset Backed Securities I Trust 2006-HE7 Group 1 mortgage pass-through certificates saw 13 classes for $0.1 billion downgraded due to Fitch’s updates. Delinquency is 29.1 percent and losses are expected to aggregate 27.9 percent.

Fitch’s updates left less than $0.1 billion of BASIC Asset Backed Securities Trust 2006-1 downgraded.

IndyMac ABS Inc., Series INDS-2006 A, had $0.2 billion downgraded by Fitch due to deterioration in the relationship between credit enhancement and expected losses and reflect continued poor loan performance and home price weakness. 60-day delinquency is 15.8 percent and expected cumulative losses are 45.8 percent.

In commercial activity, Fitch downgraded a $25.3 million class from GMAC Commercial Mortgage Securities, Inc., series 1998-C2, as a result of an increase in specially serviced assets and loss expectations.

A $19.8 class of LB Commercial Conduit Mortgage Trust II’s commercial pass-through certificates, series 1996-C2, was downgraded by Fitch because of higher than expected losses on the specially serviced assets and the potential for losses should poor performing loans default.

Fitch downgraded two classes for $19.6 million of Salomon Brothers Mortgage Securities VII, Inc., series 2000-C2, due to additional specially serviced loans with expected losses.

GMAC Commercial Mortgage Securities, Inc.’s mortgage pass-through certificates, series 2000-C3, had $19.1 million upgraded because of increased credit enhancement due to the defeasance of an additional thirteen loans.

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

e-mail: mtgsam@aol.com