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| Nearly 2,200 classes from Alternative-A residential mortgage-backed securities issued from 2005 to 2007 were recently downgraded. Transactions backed by junior liens and subprime loans also saw negative activity, though ratings on commercial MBSÂ continued to be mixed.
Moody’s Investors Service downgraded 43 tranches from 11 Fremont Home Loan Trust subprime securitizations from 2002 through 2005 due to an analysis of the credit enhancement provided by subordination, overcollateralization and excess spread relative to expected losses. Six notes issued by Renaissance Home Equity Loan Trust 2007-3 were downgraded by Moody’s as a result of continued and worsening performance of transactions backed by closed-end-second and home-equity line-of-credit collateral. The same reasoning was cited in Moody’s downgrade of three certificates issued by Nomura Asset Acceptance Corporation, Alternative Loan Trust, series 2007-S2. Classes of the following Alt-A RMBS were downgraded by Moody’s because of higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels:
Moody’s cited the same reasoning in its downgrade of 20 classes from CWABS Asset-Backed Certificates Trust 2007-12 and 2007-13 and its downgrade of nine certificates of Renaissance Home Equity Loan Trust 2007-3. Noting that many scratch-and-dent pools are exhibiting higher-than-expected rates of delinquency, foreclosure and REO, Moody’s downgraded classes from the following RMBS:
The primary servicer rating of Capstone Realty Advisor was downgraded by Moody’s to CPS3 from CPS2 due to the departure of the company’s senior management team and the declining financial strength of parent company, National City Corp. Capstone serviced 167 loans for $1.2 billion from 61 CMBS transactions as of Dec. 31, 2007. Fitch Ratings upgraded five classes of GS Mortgage Securities Corp. II, series 2004-C1, because of increased credit enhancement due to the payoff of eight loans and scheduled amortization since Fitch’s last rating action. Three classes of Deutsche Mortgage & Asset Receiving Corp. COMM 1999-1 were upgraded by Fitch becaus of additional paydown since the agency’s last rating action in April 2008. GMAC Commercial Mortgage Securities Inc. 1998-C2 saw two classes upgraded by Fitch as a result of additional credit enhancement due to significant pay down since Fitch’s last review. One class of Heller Financial Comm’l Mortgage Asset Corp. 2000-PH1 was upgraded by Fitch, reflecting increased credit enhancement due to principal paydown as a result of loan payoffs and scheduled amortization since Fitch’s last rating action. Morgan Stanley Dean Witter Capital I Trust 2002-IQ3 saw one class upgraded by Moody’s due to overall stable pool performance and increased credit enhancement levels. Three classes were downgraded as a result of realized losses from specially serviced loans and a decline in performance of the fourth largest loan in the pool. Four classes of Credit Suisse First Boston Mortgage Securities Corp., series 2006-TFL2, were downgraded by Moody’s due to the declining metrics of the properties. Fitch downgraded two classes of PNC Mortgage Acceptance Corp., series 2000-C1, as a result of an increase in expected losses from one new specially serviced loan. Two classes of JP Morgan Commercial Mortgage Securities Corp. 2003-PM1 were downgraded by Fitch because of expected losses on the four loans currently in special servicing as well as higher than expected losses on a loan disposed from the trust. |
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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 |
