RMBS Ratings Actions

Fitch Ratings downgraded classes of the following subprime RMBS:

• 17 classes from 15 Delta Funding RMBS securitized from 1997 to 2001 with 60-day delinquency falling between 21.4 percent and 72.9 percent;
• 10 classes from four Asset-Backed Securities Corporation transactions issued in 2001 and 2002 with delinquency of between 24.2 percent and 42.0 percent;
• nine classes from 16 Salomon Brothers mortgage pass-through certificates issued from 1997 to 2002 with delinquency ranging from 14.1 percent to 46.8 percent;
• eight classes from four First Franklin RMBS issued in 2001 and 2002 with delinquency of between 28.2 percent and 41.0 percent;
• seven classes from 16 Option One deals securitized from 1999 to 2002 with delinquency falling between 7.7 percent and 36.6 percent;
• six classes from four CSFB HEAT RMBS from 2002 with delinquency ranging from 22.8 percent to 32.8 percent;
• five classes from three 2002 Goldman Sachs deals with delinquency ranging from 15.2 percent to 38.1 percent;
• four classes from two Equity One mortgage pass-through certificates from 2002 which have delinquency of 14.3 percent and 22.6 percent;
• four classes from DLJ 2000-5 with delinquency of 31.5 percent;
• four classes from four Merrill Lynch Mortgage Investors RMBS issued in 2002 with delinquency from 13.9 percent to 42.5 percent;
• four classes from Ameriquest Mortgage Securities Inc., series 2002-AR1, with delinquency of 24.0 percent;
• three classes from CSFB 2001-HE8 with delinquency of 18.8 percent;
• one class from Long Beach, series 2000-1, with delinquency of 30.1 percent;

Residential Asset Securitization Trust, series 2007-A3, 2007-A7 and 2007-A9, from IndyMac MBS Inc., saw ratings actions by Fitch because of the rating agency’s analysis of expected default and loss from delinquent loans, in addition to projected losses from the currently performing pool. Fitch generates its expectations using its ResiLogic default and loss model.

Fitch cited the same reasoning for ratings actions on Bear Stearns ALT-A Trust 2006-7 Group II, Credit Suisse Mortgage Corporation Trust 2007-5 Group I, CSAB Mortgage-Backed Trust 2007-1 Group 2 and GMAC Mortgage Trust 2005-AF1.

CWCapital Asset Management LLC’s CMBS special servicer rating was raised to CSS2+ from CSS2 by Fitch because of its highly experienced asset management staff, robust asset management technology platform and ability to successfully manage substantial portfolio growth. Also considered are CWCapital’s proactive surveillance team and low special servicing management and staff turnover since the rating agency’s past review.

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

e-mail: mtgsam@aol.com