NEW YORK (Standard & Poor's) Sept. 25, 2007--Standard & Poor's Ratings
Services toda
y lowered its ratings on two classes from Nomura Asset Acceptance
Corp. Alternative Loan Trust Series 2006-S2 (see list).
The downgrades reflect the poor performance of the collateral pool.
Monthly net losses have consistently exceeded monthly excess interest cash
flows, resulting in the complete write-down of the overcollateralization (O/C)
for this deal, as well as a $2.66 million principal write-down to class B-5.
We lowered our rating on this class to 'D' as a result.
As of the August 2007 distribution period, total delinquencies were
13.28%, and severe delinquencies were 7.37%. Although the transaction is 14
months seasoned, it has seen approximately 6.21% in cumulative realized losses
to date. The outstanding pool factor is 64.20%.
Subordination, O/C, and excess interest cash flows provide credit support
for this transaction. The collateral consists of 30-year, fixed-rate,
closed-end second-lien mortgage loans secured by one- to four-family
residential properties.
RATINGS LOWERED
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-S2
Rating
Series Class To From
2006-S2 B-1 CCC B
2006-S2 B-5 D CCC
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