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Recent ratings downgrades impacted subprime residential mortgage-backed securities dating back to 1997. Meanwhile, $27 billion in Alt-A RMBS were downgraded and one commercial MBS saw classes upgraded.
Fitch Ratings downgraded classes of the following subprime transactions:
Ameriquest saw 259 certificates from 50 subprime transactions issued in 2004 and 2005 downgraded by Moody’s Investors Service based upon recent and expected pool losses and the resulting erosion of credit support. Moody’s reported that a review it embarked upon during March resulted in the downgrading of 3,077 Alt-A securities for $27.2 billion. Deals from 2006 and 2007 faced the brunt of the actions, though a number of RMBS from 2005 were also impacted. As part of an ongoing review of all RMBS transactions,Moody’s downgraded 27 tranches from five scratch-and-dent GSAMP Trust deals issued from 2005 to 2007. The actions were taken in light of the deteriorating housing market and rising delinquencies and foreclosures. The following net interest margin classes were downgraded by Fitch as a result of actual pay-down performance of the NIM securities to date compared to initial projections as well as changes that the agency previously made to its subprime loss forecasting assumptions for the underlying transactions:
Three classes for $49 million from Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, series 2000-2, were upgraded by Moody’s due to increased defeasance and credit support and improved overall pool performance. |
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Sam Garcia worked in mortgage lending for twenty years prior to becoming publisher of MortgageDaily.com. e-mail:Â mtgsam@aol.com |
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