Alt-A Ratings Crumble

Moody’s Investors Service downgraded five certificates from two GSAMP Mortgage Loan Trust transactions issued in 2002 and 2004 due to low current credit enhancement levels relative to current pool projected losses.

Fitch Ratings downgraded classes of the following Alt-A RMBS:

• First Horizon transactions issued from 2003 to 2007;
• First Horizon Alternative RMBS from 2006 and 2007;
• Mortgage Asset Securitization Transactions Inc. deals securitized in 2003 and 2004;
• ABN AMRO deals from 2002 and 2003;
• RALI issuances from 1999 through 2004;
• MLMI RMBS from 2003 and 2005;
• MLMI MLCC securitizations from 2003 and 2004;
• WAMU transactions from 2002, 2003 and 2004;
• Bear Stearns ARM Trust deals from 2006 and 2007;
• CWMBS issuances from 1998 through 2004;
• Sequoia Mortgage Funding Corp RMBS from 2003 and 2004;
• Sequoia Mortgage Trust 10, 11 and 5;
• GMAC Mortgage deals from 2005 and 2006;
• HALO 2007-AR1 and 2007-AR2;
• HSI Asset Loan Obligation Trust 2007-2;
• IndyMac IMSC issuances from 2006 and 2007;
• IndyMac MBS RAST securitizations from 2006 and 2007;
• J.P. Morgan Alternative Loan Trust RMBS issued from 2005 to 2007;
• Lehman Mortgage Trus transactions from 2006 and 2007;
• PHHMC 2007-2, 2005-2, 2006-2, 2005-6, 2006-1 and 2006-4;
• Alternative Loan Trust transactions from 2007;
• American Home Mortgage Assets Trust RMBS from 2005 and 2006;
• BA Mortgage issuances from 2003;
• Banc of America deals from 2003 and 2004;
• CitiGroup Mortgage Loan Trust transactions from 2004 through 2007;
• CWALT RMBS securitized in 2005, 2006 and 2007;
• CWMBS issuances from 2006;
• Deutsche Alt-A Securities Mortgage Loan Trust issued in 2006 and 2007;
• Banc of America ALT RMBS from 2006 and 2007;
• Banc of America Funding deals from 2005 through 2007;
• Banc of America Funding Corporation issuances from 2007;
• CitiMortgage Alternative Loan Trust transactions from 2006 and 2007;
• Merrill Lynch Mortgage Backed Securities Trust deals issued in 2007;
• Prime Mortgage Trust transactions from 2006 and 2007;
• RFMSI RMBS issued in 2005, 2006 and 2007;
• STARM deals from 2007; and
• WaMu Mortgage Pass-Through Certificates from 2007.

Moody’s also did some Alt-A downgrading due to higher-than-anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels. Classes from the following deals were impacted:

• 177 tranches from 19 Deutsche Bank transactions securitized from 2005 through 2007;
• 108 tranches from 16 GSAA securitizations from 2005 to 2007;
• 89 classes from 13 Bear Stearns issuances from 2005 through 2007;
• 42 tranches from 14 First Horizon deals from 2005, 2006 and 2007; and
• 23 classes from MortgageIT Mortgage Loan Trust, series 2006-1 and 2007-1.

Moody’s downgraded 55 tranches from 10 scratch-and-dent deals from the Structured Asset Securities Corporation GEL shelf because many scratch-and-dent pools originated since 2004 are exhibiting higher-than-expected rates of delinquency, foreclosure, and REO. The SASCO transactions were issued from 2005 to 2007.

In commercial MBS activity, Moody’s reported today that it upgraded 234 CMBS and commercial real estate collateralized-debt obligation tranches and downgraded 123 tranches during the first half of 2008. While upgrades should continue to outpace downgrades, the overall upgrade-to-downgrade ratio will moderate as the weak economy impacts commercial real estate.

Eight classes of GS Mortgage Securities Corporation II, series 2001-GL III, were upgraded by Moody’s due to the improved operating performance of the five loans in the trust. At the same time, six classes of GS Mortgage Securities Corporation II, Series 2006-RR2 were downgraded by Moody’s.

Fitch downgraded one class of Merrill Lynch Floating Trust 2006-1 due to low leasing activity and the upcoming maturity of the pool’s third-largest loan.

DLJ Commercial Mortgage Corp., series 1998-CG1, saw one class upgraded as a result of increased credit enhancement due to payoff of additional four loans, partial prepayments and scheduled amortization since Fitch’s last rating action. One Class of DLJ Commercial Mortgage Corp., series 1998-CF2, was upgraded by Moody’s due to increased credit enhancement levels due to loan payoffs and amortization.

Two classes of J.P. Morgan Commercial Mortgage Finance Corp., series 1999-C8 were downgraded by Fitch because of an increase in specially serviced loans and expected losses since Fitch’s last rating action. Meanwhile, Fitch upgraded one class of J.P. Morgan Commercial Mortgage Finance Corp., series 1999-C7, reflecting increased credit enhancement due to scheduled amortization and loan payoffs since last review. Moody’s upgraded six classes and downgraded two classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., series 2003-C1.

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

e-mail: mtgsam@aol.com