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NEW YORK (Standard & Poor's) March 17, 2008--Standard & Poor's Ratings
Services today lowered its ratings on 91 classes from 23 residential
mortgage-backed securities (RMBS) transactions backed by U.S. subprime
mortgage loan collateral issued in 2006. At the same time, we removed all of
the lowered ratings from CreditWatch with negative implications. In addition,
we affirmed our ratings on 58 classes from 20 RMBS transactions backed by U.S.
subprime loans and removed them from CreditWatch negative (see list). All of
the ratings had been placed on CreditWatch negative on Jan. 30, 2008.
The downgrades reflect our opinion that projected credit support for the
affected classes is insufficient to maintain the previous ratings, given our
current projected losses. As announced in ?S&P Provides Projected Losses For
U.S. RMBS Affected By Jan. 30, 2008, Rating Actions,? published Feb. 4, 2008,
we calculated our projected deal-specific losses utilizing 2006 subprime
default curves, which we published Oct. 19, 2007 (see the article, ?Standard &
Poor?s Revised Default And Loss Curves For U.S. Subprime RMBS?). Due to
current market conditions, we are assuming that it will take approximately 15
months to liquidate loans in foreclosure and approximately eight months to
liquidate loans categorized as real estate owned (REO). In addition, we are
assuming a loss severity of approximately 45% for U.S. subprime RMBS
transactions issued in 2006.
The lowered ratings reflect our assessment of credit support under two
constant prepayment rate (CPR) scenarios. The first scenario utilizes the
lower of the lifetime or 12-month CPR, while the second utilizes a six-month
CPR, which is very slow by historical standards. We assumed a constant default
rate for each pool. Because the analysis focused on each individual class with
varying maturities, prepayment scenarios may cause an individual class or the
transaction itself to prepay in full before it incurs the entire loss
projection. Slower prepayment assumptions lengthen the average life of the
mortgage pool, which increases the likelihood that total projected losses will
be realized. The longer a class remains outstanding, however, the more excess
spread it generates.
Standard & Poor's has updated its projected excess spread to account for
the recent cuts in U.S. interest rates. In an upwardly sloping mortgage rate
environment, Standard & Poor's announced that it would be discounting a
portion of excess spread to account for potential interest rate modifications.
An interest rate modification may extend the initial fixed-rate period of a
mortgage loan to five years from two and three years. The reduction in
interest rates has effectively extended the initial interest rates beyond the
interest rate reset period. As a result of the reduction in excess spread,
many loan modifications may no longer be needed. Standard & Poor's has updated
its assumptions on excess spread to reflect the current environment.
In assessing the creditworthiness of each class, we reviewed the
individual delinquency and loss trends of each transaction, changes, if any,
in risk characteristics, servicing, and the ability to withstand additional
credit deterioration. For pools that are continuing to show increasing
delinquencies, we increased our cash flow stresses to account for potential
increases in monthly losses. In order to maintain a rating higher than 'B', a
class had to absorb losses in excess of the base case assumption we assumed in
our analysis. For example, a class may have to withstand 115% of our base case
loss assumption in order to maintain a 'BB' rating, while a class had to
withstand 125% of our base case loss assumption to maintain a 'BBB' rating.
Each class that has an affirmed 'AAA' rating can withstand approximately 150%
of our base case loss assumptions under our analysis, subject to individual
caps assumed on specific transactions. We determined the caps by limiting the
amount of remaining defaults to 90% of the current pool balances.
Credit support for these transactions is provided through a combination
of subordination, excess spread, and overcollateralization. The underlying
collateral for these transactions consists of fixed- and adjustable-rate U.S.
subprime mortgage loans that are secured by first and second liens on one- to
four-family residential properties.
To date, including the classes listed below and actions on both publicly
and confidentially rated classes, we have resolved the CreditWatch placements
of 137 classes from 23 U.S. RMBS subprime transactions from the 2006 and 2007
vintages. Currently, our ratings on 2,455 classes from 492 U.S. RMBS subprime
transactions from the 2006 and 2007 vintages are on CreditWatch negative.
Standard & Poor's will continue to monitor the RMBS transactions it rates
and take rating actions, including CreditWatch placements, when appropriate.
For additional information and updates on Standard & Poor's residential
mortgage-related rating actions, please visit RatingsDirect, at
www.ratingsdirect.com, or www.spviews.com.
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
ABFC Trust
Rating
Series Class To From
2006-OPT2 M-1 BB AA+/Watch Neg
2006-OPT2 M-2 B AA/Watch Neg
2006-OPT2 M-3 CCC AA-/Watch Neg
ACE Securities Corp Home Equity Loan Trust
Rating
Series Class To From
2006-ASAP4 M-2 BBB AA+/Watch Neg
2006-ASAP4 M-3 BB AA+/Watch Neg
2006-ASAP4 M-4 B AA/Watch Neg
2006-ASAP4 M-5 B AA/Watch Neg
2006-ASAP4 M-6 CCC AA-/Watch Neg
2006-NC1 M-4 BBB AA/Watch Neg
2006-NC1 M-5 B AA-/Watch Neg
2006-NC3 A-1A A AAA/Watch Neg
2006-NC3 A-1B A AAA/Watch Neg
2006-NC3 A-2D A AAA/Watch Neg
2006-NC3 M-1 B AA+/Watch Neg
2006-NC3 M-2 B AA/Watch Neg
2006-NC3 M-3 CCC AA-/Watch Neg
Argent Securities Trust
Rating
Series Class To From
2006-W1 M-3 BBB AA/Watch Neg
2006-W1 M-4 B AA/Watch Neg
Asset Backed Securities Corp. Home Equity Loan Trust
Rating
Series Class To From
OOMC 2006-HE5 M-2 BBB AA/Watch Neg
OOMC 2006-HE5 M-3 B AA-/Watch Neg
FFMLT Trust
Rating
Series Class To From
2006-FF4 M-3 BBB AA/Watch Neg
2006-FF4 M-4 BB AA/Watch Neg
2006-FF4 M-5 B AA-/Watch Neg
2006-FF13 A-1 BBB AAA/Watch Neg
2006-FF13 A-2D BBB AAA/Watch Neg
2006-FF13 M-1 BB AA+/Watch Neg
2006-FF13 M-2 B+ AA+/Watch Neg
2006-FF13 M-3 B AA/Watch Neg
2006-FF13 M-4 CCC AA/Watch Neg
2006-FF13 M-5 CCC AA-/Watch Neg
Fremont Home Loan Trust 2006-A
Rating
Series Class To From
2006-A M-2 B AA/Watch Neg
GSAMP Trust 2006-HE5
Rating
Series Class To From
2006-HE5 M-2 A AA/Watch Neg
2006-HE5 M-3 BB AA/Watch Neg
2006-HE5 M-4 B AA/Watch Neg
Home Equity Asset Trust 2006-5
Rating
Series Class To From
2006-5 M-1 AA- AA+/Watch Neg
2006-5 M-2 BB AA+/Watch Neg
2006-5 M-3 B AA/Watch Neg
2006-5 M-4 CCC AA/Watch Neg
2006-5 M-5 CCC AA-/Watch Neg
IXIS Real Estate Capital Trust 2006-HE2
Rating
Series Class To From
2006-HE2 M-1 BB AA+/Watch Neg
2006-HE2 M-2 CCC AA/Watch Neg
2006-HE2 M-3 CCC AA/Watch Neg
2006-HE2 M-4 CCC AA-/Watch Neg
Long Beach Mortgage Loan Trust
Rating
Series Class To From
2006-1 M-2 BBB AA+/Watch Neg
2006-1 M-3 B+ AA/Watch Neg
2006-1 M-4 B AA/Watch Neg
2006-1 M-5 CCC AA-/Watch Neg
2006-6 I-A AA AAA/Watch Neg.
2006-6 II-A4 AA AAA/Watch Neg.
2006-6 M-1 BB AA+/Watch Neg.
2006-6 M-2 B AA+/Watch Neg.
2006-6 M-3 CCC AA/Watch Neg
2006-6 M-4 CCC AA/Watch Neg
2006-6 M-5 CCC AA-/Watch Neg
2006-WL3 M-2 AA- AA/Watch Neg
2006-WL3 M-3 BB AA-/Watch Neg
Merrill Lynch Mortgage Investors Trust
Rating
Series Class To From
2006-FM1 M-1 AA- AA+/Watch Neg
2006-FM1 M-2 BB AA/Watch Neg
2006-FM1 M-3 B AA-/Watch Neg
2006-HE6 A-1 AA AAA/Watch Neg
2006-HE6 A-2C AA AAA/Watch Neg
2006-HE6 M-1 BBB AA+/Watch Neg
2006-HE6 M-2 B AA/Watch Neg
2006-HE6 M-3 CCC AA-/Watch Neg
Morgan Stanley ABS Capital I Inc. Trust
Rating
Series Class To From
2006-WMC2 A-1 BB AAA/Watch Neg
2006-WMC2 A-2C AA AAA/Watch Neg
2006-WMC2 A-2D BB AAA/Watch Neg
2006-WMC2 M-1 B AA+/Watch Neg
2006-WMC2 M-2 CCC AA/Watch Neg
2006-WMC2 M-3 CCC AA/Watch Neg
RAMP Trust 2006-NC2
Rating
Series Class To From
2006-NC2 M-2 BBB AA/Watch Neg
2006-NC2 M-3 BB AA/Watch Neg
2006-NC2 M-4 B AA-/Watch Neg
RASC Trust
Rating
Series Class To From
2006-KS9 A-I-4 AA AAA/Watch Neg
2006-KS9 A-II AA AAA/Watch Neg
2006-KS9 M-1S BB AA+/Watch Neg
2006-KS9 M-2S B AA/Watch Neg
2006-KS9 M-3S CCC AA/Watch Neg
2006-KS9 M-4 CCC AA-/Watch Neg
Securitized Asset Backed Receivables LLC Trust
Rating
Series Class To From
2006-OP1 M-4 A AA-/Watch Neg
2006-WM4 A-1 BB AAA/Watch Neg
2006-WM4 A-2C A AAA/Watch Neg
2006-WM4 A-2D BB AAA/Watch Neg
Structured Asset Securities Corp. Mortgage Loan Trust
Rating
Series Class To From
2006-BC1 A-1 AA AAA/Watch Neg
2006-BC1 A-2 AA AAA/Watch Neg
2006-BC1 A-6 AA AAA/Watch Neg
2006-BC1 M-1 BBB AA+/Watch Neg
2006-BC1 M-2 B AA+/Watch Neg
2006-BC1 M-3 CCC AA+/Watch Neg
2006-BC1 M-4 CCC AA/Watch Neg
2006-BC1 M-5 CCC A/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
ABFC Trust
Rating
Series Class To From
2006-OPT2 A-1 AAA AAA/Watch Neg
2006-OPT2 A-2 AAA AAA/Watch Neg
2006-OPT2 A-3A AAA AAA/Watch Neg
2006-OPT2 A-3B AAA AAA/Watch Neg
2006-OPT2 A-3C AAA AAA/Watch Neg
2006-OPT2 A-3D AAA AAA/Watch Neg
ACE Securities Corp. Home Equity Loan Trust
Rating
Series Class To From
2006-NC1 M-2 AA AA/Watch Neg
2006-NC1 M-3 AA AA/Watch Neg
2006-NC3 A-2A AAA AAA/Watch Neg
2006-NC3 A-2B AAA AAA/Watch Neg
2006-NC3 A-2C AAA AAA/Watch Neg
Argent Securities Trust
Rating
Series Class To From
2006-W1 M-2 AA+ AA+/Watch Neg
Bear Stearns Asset Backed Securities I Trust
Rating
Series Class To From
2006-HE3 M-3 AA- AA-/Watch Neg
Citigroup Mortgage Loan Trust
Rating
Series Class To From
2006-WFHE3 M-2 AA AA/Watch Neg
2006-WFHE3 M-3 AA- AA-/Watch Neg
FFMLT Trust
Rating
Series Class To From
2006-FF13 A-2A AAA AAA/Watch Neg
2006-FF13 A-2B AAA AAA/Watch Neg
2006-FF13 A-2C AAA AAA/Watch Neg
Fremont Home Loan Trust
Rating
Series Class To From
2006-A 1-A-1 AAA AAA/Watch Neg
2006-A 1-A-2 AAA AAA/Watch Neg
2006-A 2-A-2 AAA AAA/Watch Neg
2006-A 2-A-3 AAA AAA/Watch Neg
2006-A 2-A-4 AAA AAA/Watch Neg
2006-A M-1 AA AA/Watch Neg
GSAMP Trust
Rating
Series Class To From
2006-HE5 M-1 AA+ AA+/Watch Neg
IXIS Real Estate Capital Trust
Rating
Series Class To From
2006-HE2 A-1 AAA AAA/Watch Neg
2006-HE2 A-2 AAA AAA/Watch Neg
2006-HE2 A-3 AAA AAA/Watch Neg
2006-HE2 A-4 AAA AAA/Watch Neg
Long Beach Mortgage Trust
Rating
Series Class To From
2006-1 I-A AAA AAA/Watch Neg
2006-1 II-A2 AAA AAA/Watch Neg
2006-1 II-A3 AAA AAA/Watch Neg
2006-1 II-A4 AAA AAA/Watch Neg
2006-1 M-1 AA+ AA+/Watch Neg
2006-6 II-A1 AAA AAA/Watch Neg
2006-6 II-A2 AAA AAA/Watch Neg
2006-6 II-A3 AAA AAA/Watch Neg
Merrill Lynch Mortgage Investors Trust
Rating
Series Class To From
2006-FM1 A-2A AAA AAA/Watch Neg
2006-FM1 A-2B AAA AAA/Watch Neg
2006-FM1 A-2C AAA AAA/Watch Neg
2006-FM1 A-2D AAA AAA/Watch Neg
2006-FM1 A-1 AAA AAA/Watch Neg
2006-HE6 A-2A AAA AAA/Watch Neg
2006-HE6 A-2B AAA AAA/Watch Neg
Morgan Stanley ABS Capital I Inc. Trust
Rating
Series Class To From
2006-WMC2 A-2FPT AAA AAA/Watch Neg
2006-WMC2 A-2A AAA AAA/Watch Neg
2006-WMC2 A-2B AAA AAA/Watch Neg
RAMP TRUST
Rating
Series Class To From
2006-NC2 M-1 AA+ AA+/Watch Neg
RASC TRUST
Rating
Series Class To From
2006-KS9 A-I-1 AAA AAA/Watch Neg
2006-KS9 A-I-2 AAA AAA/Watch Neg
2006-KS9 A-I-3 AAA AAA/Watch Neg
Securitized Asset Backed Receivables LLC Trust
Rating
Series Class To From
2006-OP1 M-2 AA+ AA+/Watch Neg
2006-OP1 M-3 AA AA/Watch Neg
2006-WM4 A-2A AAA AAA/Watch Neg
2006-WM4 A-2B AAA AAA/Watch Neg
Structured Asset Securities Corp. Mortgage Loan Trust
Rating
Series Class To From
2006-BC1 A-3 AAA AAA/Watch Neg
2006-BC1 A-4 AAA AAA/Watch Neg
2006-BC1 A-5 AAA AAA/Watch Neg
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