Nothing But Downgrades

Changes to Fitch Ratings’ subprime loss forecasting assumptions led to downgrades on the following subprime residential mortgage-backed securities:

• $0.6 billion in classes of eight Residential Asset Mortgage Products securitization in 2005;
• $0.3 billion of Aegis Securitizations from 2005 through 2007; and
• $0.1 billion in classes of Own It Mortgage Loan Trust mortgage pass-through certificate, Series 2005-2.

Fitch also downgraded less than $0.1 billion of two American Home Mortgage Investment Trust deals from 2005.

Moody’s Investors Service announced downgrades of the following subprime RMBS classes based on higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels:

• 286 tranches from 30 First Franklin Mortgage Loan Trust transactions issued from 2005 to 2007;
• 220 tranches from Citigroup Mortgage Loan Trust deals issued in 2005, 2006 and 2007;
• 208 tranches from 27 Securitized Asset Backed Receivables LLC Trust transactions issued from 2005 through 2007;
• 159 tranches from 17 CSFB Home Equity Asset Trust transactions issued from 2005 until 2007;
• 90 tranches from 12 transactions issued by Specialty Underwriting and Residential Finance from 2005 through 2007;
• 43 tranches from five ABFC Asset-Backed Certificates securitized in 2005 and 2006;
• 34 tranches from five Accredited Mortgage Loan Trust deals issued from 2005 to 2007;
• 27 tranches from three GE-WMC Asset-Backed Pass-Through Certificates securitized in 2005 and 2006;
• 27 tranches from three Aegis Asset Backed Securities Trust securitization from 2005 and 2006;
• 14 tranches from two Park Place Securities Inc. transactions issued in 2005; and
• six tranches from two Aames Mortgage Investment Trust deals done in 2005 and 2006.

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

e-mail: mtgsam@aol.com