Hundreds of Subprime RMBS Classes Downgraded

Securitizations from 2004 and 2005 backed by subprime loans originated by New Century Mortgage Corp. saw 81 tranches downgraded by Moody’s Investors Service, based on an analysis of the credit enhancement provided by subordination, overcollateralization and excess spread relative to expected losses. The issuers on the 17 transactions include Asset Backed Securities Corporation Home Equity Loan Trust, Carrington Mortgage Loan Trust, GSAMP Trust, MASTR Asset Backed Securities Trust, Morgan Stanley ABS Capital I Inc., New Century Home Equity Loan Trust and Securitized Asset Backed Receivables LLC Trust.

Moody’s cited similar logic in its downgrade of 22 tranches from Structured Asset Investment Loan Trust, series 2004-2, 2004-9, 2004-11 and 2005-6. The deals are backed by subprime loans.

Moody’s downgraded 64 tranches from 17 Bear Stearns Asset Backed Securities Trust transactions from 2004 and 2005 because the subprime deals have experienced an increasing proportion of severely delinquent loans. Seven RAMP and RASC subprime transactions from 2005 issued by RFC saw 33 tranches downgraded by Moody’s for the same reason.

Moody’s used the same logic in its downgrade of four tranches of ABFC 2005-HE1 and two classes of Accredited Asset-Backed Notes, series 2005-2. Both deals consist of subprime loans.

Three classes for less than $0.1 billion of UBS Mortgage Asset Securitization Transactions Asset Back Securities Trust mortgage pass-through certificates, series 2002-NC1 and series 2003-OPT1, were downgraded by Fitch Ratings, reflecting deterioration in the relationship between credit enhancement and loss expectation. The deals are backed by subprime loans.

Recent and expected pool losses, and the resulting erosion of credit support, resulted in the downgrade of 11 tranches of ACE Securities Corp. Home Equity Loan Trust, series 2005-HE3 and series 2005-HE4 by Moody’s. Further erosion is expected on the home equity deals.

Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through Certificates, series 2005-4, 2005-5, 2006-1 and 2006-2, had 38 tranches downgraded by Moody’s because of higher-than-anticipated rates of delinquency, foreclosure and real estate owned in the underlying Alt-A collateral relative to credit enhancement levels. Additionally, 10 tranches remain on review for further downgrades, and six tranches were placed on review.

Similar performance of the underlying adjustable-rate mortgage Alt-A collateral relative to credit enhancement levels also led Moody’s to downgrade 11 tranches from GSC Capital Corp. Mortgage Trust, series 2006-1 and 2006-2. In addition, six tranches remain on review for further downgrade, and four tranches were placed on review.

In addition, three tranches of Sequoia Alternative Loan Trust 2006-1 were downgraded by Moody’s for the same reasons, as were three tranches from Luminent Mortgage Trust 2005-1.

Fitch downgraded nine classes for less than $0.1 billion from five Bear Stearns Prime Mortgage Trust mortgage pass-through certificates issued last year and in 2006.

Three classes for $158 million of Wachovia Bank Commercial Mortgage Trust pass-through certificates, series 2005-C21, were upgraded by Fitch as a result of pay down and defeasance since the agency’s last rating action.

Credit Suisse First Boston Mortgage Securities Corp., series 2001-CF2, had four classes for $60 million upgraded by Moody’s due to increased credit support from loan pay offs and amortization as well as defeasance. In addition, two classes for $19 million were downgraded due to realized and anticipated losses on the specially serviced loans.

JP Morgan Chase Commercial Mortgage Securities Corporation’s commercial mortgage pass-through certificates, series 2003-CIBC6, saw four classes for $69 million upgraded by Fitch due to the defeasance of 11 loans and principal paydown since Fitch’s last rating action.

Three classes for $54 million of LB-UBS Commercial Mortgage Trust 2003-C8, Commercial Mortgage Pass-Through Certificates, series 2003, were upgraded by Moody’s.

Moody’s upgraded six classes for $38 million of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, series 2004-FL1, due to credit support buildup resulting from the loan payoffs amortization, and the stable performance of the pool’s remaining loans.

Morgan Stanley Capital I Inc., Commercial Pass-Through Certificates, series 2006-XLF, saw one class for $32 million upgraded due to increased credit support from the loan payoffs as well as the stable performance of the loans remaining in the pool.

Eight classes for $26 million from CBA Commercial Assets, LLC, series 2005-1, 2006-1 and 2006-2, were downgraded by Fitch. The move was made as a result of additional specially serviced loans and increased loss expectations.

LaSalle Commercial Mortgage Pass-Through Certificates, series 2006-MF3, had seven classes for $16 million downgraded by Moody’s because of projected losses on specially serviced loans.

Two classes for $15 million of ML-CFC commercial mortgage pass-through certificates, series 2006-3, were downgraded by Fitch due to expected losses on three specially serviced loans. In addition, four classes for $49 million were placed on watch.

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

e-mail: mtgsam@aol.com