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NEW YORK (Standard & Poor's) March 26, 2008--Standard & Poor's Ratings
Services today lowered its ratings to 'D' on three classes of U.S. residential
mortgage-backed securities (RMBS) backed by U.S. closed-end second-lien
mortgage collateral issued during 2007. We lowered the rating on class II-M-5
from American Home Mortgage Investment Trust 2007-2 to 'D' from 'BBB-', the
rating on class III-PO from American Home Mortgage Assets Trust 2007-3 to 'D'
from 'BB', and the rating on class B4 from SACO I Trust 2007-1 to 'D' from
'BB+'. At the same time, we placed our ratings on 206 classes backed by U.S.
closed-end second-lien mortgage collateral issued during 2007 on CreditWatch
with negative implications (see list).
DOWNGRADES TO 'D'
The downgrades reflect the deteriorating performance of the collateral pools
as monthly net losses continue to significantly outpace monthly excess
interest cash flows, resulting in the complete write-down of the
overcollateralization (O/C) for these deals. Some of these transactions have
already experienced a complete write-down to the principal balance of other
subordinate classes over the past few months. Consequently, the three
downgraded classes experienced principal write-downs during the February 2008
remittance period.
As of the February 2008 distribution period, cumulative realized losses for
the classes with ratings lowered to 'D' ranged from 4.14% (American Home
Mortgage Investment Trust 2007-2, loan group 2) to 9.30% (SACO I Trust 2007-1)
of the original principal balances, and total delinquencies ranged from 17.27%
(American Home Mortgage Assets Trust 2007-3, loan group 3) to 32.42% (American
Home Mortgage Investment Trust 2007-2, loan group 2) of the current principal
balances. Seasoning for these transactions ranges from eight months (American
Home Mortgage Assets Trust 2007-3) to 13 months (SACO I Trust 2007-1). These
transactions have outstanding pool factors ranging from approximately 76.50%
(SACO I Trust 2007-1) to 85.09% (American Home Mortgage Investment Trust
2007-2, loan
group 2).
Subordination, O/C, and excess interest cash flow provide credit support for
these transactions. The collateral originally consisted of 30-year,
fixed-rate, closed-end second-lien mortgage loans secured by one- to
four-family residential properties.
CREDITWATCH NEGATIVE PLACEMENTS
These CreditWatch actions affect 30 RMBS transactions backed by U.S.
closed-end second-lien mortgage collateral. The CreditWatch actions do not
include classes that are bond insured. When we complete our analysis, we will
update our ratings on all closed-end second-lien classes from the 2007
vintage, including those with bond insurance.
The 206 classes from the closed-end second-lien transactions with ratings
placed on CreditWatch negative had an original total principal balance of
approximately $5.84 billion, which represents 32.55% of the approximately
$17.94 billion in U.S. RMBS backed by closed-end second-lien mortgage loans
rated by Standard & Poor's during 2007. During this period, the total balance
of U.S. RMBS securities backed by all types of residential mortgage loans
issued in the non-agency market was more than $640.21 billion.
The ratings associated with the CreditWatch placements, as a percentage of the
total $5.84 billion in affected securities, are as following:
Rating No. of Orig. cert % of total
category classes bal. ($) actions by bal.
AAA 31 2,224,209,000 38.25
AA+ 5 76,957,000 1.32
AA 7 68,246,000 1.17
AA- 6 377,853,000 6.50
A+ 12 1,030,393,000 17.72
A 7 429,633,000 7.39
A- 8 100,108,000 1.72
BBB+ 9 154,541,000 2.66
BBB 10 129,902,000 2.23
BBB- 15 135,720,000 2.33
BB+ 13 214,620,000 3.69
BB 19 206,938,000 3.56
BB- 14 134,970,000 2.32
B+ 15 159,608,000 2.74
B 9 101,350,000 1.74
B- 26 270,080,000 4.64
Standard & Poor's is taking these CreditWatch actions because we believe that
losses on U.S. RMBS backed by closed-end second-lien collateral issued in the
time period referenced above are expected to significantly exceed historical
precedent and because recent performance data indicates that performance is
likely to be worse than previously anticipated. We believe that this poor
performance is due to a combination of factors including, but not limited to,
an environment of looser underwriting standards; pressure on home prices;
speculative borrowing behavior; risk layering (the combination of several risk
elements for one single borrower); high combined loan-to-values (CLTVs);
financial pressure on borrowers resulting from payment increases on first-lien
mortgages; and questionable data quality. Furthermore, in the past, when
borrowers had difficulty managing their mortgage payments, they were more
readily able to refinance. As a result of tighter underwriting standards and
home price erosion in various regions of the country, we believe it is now
more difficult to refinance, which may result in further delinquencies and
defaults.
We are reviewing the affected closed-end second-lien classes with respect to
the cumulative loss curve for the high CLTV transactions issued in 1996 to
project losses. This loss curve is discussed in "How Standard & Poor's Is
Revising Its Loss Curves For U.S. Closed-End Second-Lien RMBS," published Dec.
20, 2007, on RatingsDirect. In addition, we are reviewing these classes with
respect to the current charge-off rate and delinquency levels that we have
observed in recent performance data. It is possible that the continued decline
in performance and the application of our stress assumptions will have an
adverse impact on our ratings.
IMPACT ON ABCP, SIVs, AND CDOs
Standa
rd & Poor's has performed a global review of its rated asset-backed
commercial paper (ABCP) conduits with exposure to the affected classes backed
by U.S. closed-end second-lien collateral. We believe the review shows that
today's rating actions do not adversely affect the ratings on these ABCP
conduits.
Standard & Poor's has also reviewed all rated structured investment vehicle
(SIV) and SIV-lite structures with regard to exposure to these U.S. closed-end
second-lien classes. In our view, the review shows that the ratings on these
SIVs are not adversely affected by these rating actions.
Standard & Poor's has also completed its global review of the collateralized
debt obligation (CDO) transactions it rates with regard to exposure to these
downgraded U.S. closed-end second-lien classes. We believe our review shows
that today's rating actions will have no substantive impact on the ratings on
our publicly rated CDO transactions.
We will keep the market appraised of the results of our review and publish the
results upon completion of our analysis.
RATINGS LOWERED
American Home Mortgage Assets Trust
Rating
Series Class To From
2007-3 III-PO D BB
American Home Mortgage Investment Trust
Rating
Series Class To From
2007-2 II-M-5 D BBB-
SACO I Trust
Rating
Series Class To From
2007-1 B4 D BB+
RATINGS PLACED ON CREDITWATCH NEGATIVE
ACE Securities Corp. Home Equity Loan Trust
Rating
Series Class To From
2007-ASL1 A-1 A+/Watch Neg A+
2007-ASL1 A-2 A+/Watch Neg A+
2007-ASL1 M-1 BBB+/Watch Neg BBB+
2007-ASL1 M-2 BBB-/Watch Neg BBB-
2007-ASL1 M-3 BB/Watch Neg BB
2007-ASL1 M-4 B+/Watch Neg B+
2007-ASL1 M-5 B/Watch Neg B
2007-ASL1 M-6 B-/Watch Neg B-
2007-ASL1 M-7 B-/Watch Neg B-
2007-ASL1 M-8 B-/Watch Neg B-
2007-ASL1 M-9 B-/Watch Neg B-
2007-SL1 A-1 A+/Watch Neg A+
2007-SL1 M-1 A-/Watch Neg A-
2007-SL1 M-2 BBB/Watch Neg BBB
2007-SL1 M-3 BBB-/Watch Neg BBB-
2007-SL1 M-4 BB+/Watch Neg BB+
2007-SL1 M-5 BB/Watch Neg BB
2007-SL1 M-6 BB/Watch Neg BB
2007-SL1 M-7 BB-/Watch Neg BB-
2007-SL1 M-8 B+/Watch Neg B+
2007-SL1 M-9 B+/Watch Neg B+
Alliance Bancorp Trust
Rating
Series Class To From
2007-S1 A1 AAA/Watch Neg AAA
2007-S1 A2 AAA/Watch Neg AAA
2007-S1 A3 AAA/Watch Neg AAA
2007-S1 A4 AAA/Watch Neg AAA
2007-S1 M1 AA/Watch Neg AA
2007-S1 M2 A/Watch Neg A
2007-S1 M3 BBB/Watch Neg BBB
American Home Mortgage Investment Trust
Rating
Series Class To From
2007-2 II-A AAA/Watch Neg AAA
2007-2 II-M-1 AA/Watch Neg AA
2007-2 II-M-2 A/Watch Neg A
2007-2 II-M-3 BBB+/Watch Neg BBB+
2007-2 II-M-4 BBB/Watch Neg BBB
Bear Stearns Mortgage Funding Trust
Rating
Series Class To From
2007-SL1 I-A A+/Watch Neg A+
2007-SL1 II-A A+/Watch Neg A+
2007-SL1 M-1 A-/Watch Neg A-
2007-SL
1 M-2 BBB-/Watch Neg BBB-
2007-SL1 M-3 BB+/Watch Neg BB+
2007-SL1 M-4 BB/Watch Neg BB
2007-SL1 M-5 BB-/Watch Neg BB-
2007-SL1 M-6 BB-/Watch Neg BB-
2007-SL1 B-1 B+/Watch Neg B+
2007-SL2 I-A AA-/Watch Neg AA-
2007-SL2 II-A AA-/Watch Neg AA-
2007-SL2 M-1 A/Watch Neg A
2007-SL2 M-2 BBB+/Watch Neg BBB+
2007-SL2 M-3 BBB/Watch Neg BBB
2007-SL2 M-4 BBB-/Watch Neg BBB-
2007-SL2 M-5 BB+/Watch Neg BB+
2007-SL2 B-1 BB/Watch Neg BB
2007-SL2 M-6 BB/Watch Neg BB
2007-SL2 B-2 BB-/Watch Neg BB-
Bear Stearns Second Lien Trust
Rating
Series Class To From
2007-SV1 A-1 AAA/Watch Neg AAA
2007-SV1 M-1 BB+/Watch Neg BB+
2007-SV1 M-2 BB/Watch Neg BB
2007-SV1 M-3 BB-/Watch Neg BB-
2007-SV1 M-4 B+/Watch Neg B+
2007-SV1 M-5 B/Watch Neg B
2007-SV1 B-1 B-/Watch Neg B-
2007-SV1 B-2 B-/Watch Neg B-
2007-SV1 B-3 B-/Watch Neg B-
2007-SV1 M-6 B-/Watch Neg B-
C-BASS 2007-SL1 Trust
Rating
Series Class To From
2007-SL1 B-1 B-/Watch Neg B-
2007-SL1 B-2 B-/Watch Neg B-
2007-SL1 B-3 B-/Watch Neg B-
2007-SL1 M-1 B-/Watch Neg B-
2007-SL1 M-2 B-/Watch Neg B-
FFMLT 2007-FFB-SS
Rating
Series Class To From
2007-FFB-SS M-1 A/Watch Neg A
2007-FFB-SS M-2 A-/Watch Neg A-
2007-FFB-SS M-3 BBB/Watch Neg BBB
2007-FFB-SS M-4 BBB-/Watch Neg BBB-
2007-FFB-SS M-5 BB+/Watch Neg BB+
2007-FFB-SS M-6 BB/Watch Neg BB
2007-FFB-SS M-7 BB-/Watch Neg BB-
First Franklin Mortgage Loan Trust
Rating
Series Class To From
2007-FFA R AAA/Watch Neg AAA
2007-FFA A-1 A/Watch Neg A
2007-FFA M-1 BBB+/Watch Neg BBB+
2007-FFA M-2 BB+/Watch Neg BB+
2007-FFA M-3 BB/Watch Neg BB
2007-FFA M-4 BB-/Watch Neg BB-
2007-FFA M-5 B+/Watch Neg B+
2007-FFA M-6 B/Watch Neg B
2007-FFC M-1 BBB-/Watch Neg BBB-
2007-FFC M-2 BB+/Watch Neg BB+
2007-FFC M-3 BB/Watch Neg BB
2007-FFC M-4 BB-/Watch Neg BB-
2007-FFC B-1 B+/Watch Neg B+
2007-FFC B-2 B/Watch Neg B
2007-FFC B-3 B-/Watch Neg B-
2007-FFC B-4 B-/Watch Neg B-
GMACM Home Equity Loan Trust 2007-HE3
Rating
Series Class To From
2007-HE3 IA1 AAA/Watch Neg AAA
2007-HE3 IA2 AAA/Watch Neg AAA
2007-HE3 IIA1 AAA/Watch Neg AAA
2007-HE3 IIA2 AAA/Watch Neg AAA
2007-HE3 M1 AA+/Watch Neg AA+
2007-HE3 M2 A+/Watch Neg A+
GSAA Home Equity Trust 2007-S1
Rating
Series Class To From
2007-S1 A-IO AAA/Watch Neg AAA
HarborView Mortgage Loan Trust 2007-A
Rating
Series Class To From
2007-A A AA-/Watc
h Neg AA-
2007-A B-1 BBB+/Watch Neg BBB+
2007-A B-2 BB+/Watch Neg BB+
2007-A B-3 B+/Watch Neg B+
Home Equity Mortgage Loan Asset Backed Trust INDS 2007-1
Rating
Series Class To From
INDS 2007-1 A AAA/Watch Neg AAA
Home Equity Mortgage Trust 2007-2
Rating
Series Class To From
2007-2 A-R AAA/Watch Neg AAA
2007-2 M-1 BB/Watch Neg BB
2007-2 M-2 BB-/Watch Neg BB-
2007-2 M-3 B+/Watch Neg B+
2007-2 M-4 B/Watch Neg B
HomeBanc Mortgage Trust 2007-1
Rating
Series Class To From
2007-1 IIA AAA/Watch Neg AAA
2007-1 IIM1 AA/Watch Neg AA
Merrill Lynch First Franklin Mortgage Loan Trust 2007-A
Rating
Series Class To From
2007-A A1 AAA/Watch Neg AAA
2007-A A2 AAA/Watch Neg AAA
2007-A A3 AAA/Watch Neg AAA
2007-A R AAA/Watch Neg AAA
2007-A M1 AA+/Watch Neg AA+
2007-A M2 AA/Watch Neg AA
2007-A M3 AA-/Watch Neg AA-
2007-A M4 A+/Watch Neg A+
2007-A M5 A/Watch Neg A
2007-A M6 A-/Watch Neg A-
2007-A B1 BBB+/Watch Neg BBB+
2007-A B2 BBB/Watch Neg BBB
2007-A B3 BBB-/Watch Neg BBB-
2007-A B4 BB+/Watch Neg BB+
Merrill Lynch Mortgage Investors Trust 2007-SL1
Rating
Series Class To From
2007-SL1 A-1 AAA/Watch Neg AAA
2007-SL1 G AAA/Watch Neg AAA
2007-SL1 R AAA/Watch Neg AAA
2007-SL1 A-2 AA-/Watch Neg AA-
2007-SL1 M-1 BBB+/Watch Neg BBB+
2007-SL1 M-2 BB+/Watch Neg BB+
2007-SL1 M-3 BB/Watch Neg BB
2007-SL1 M-4 B+/Watch Neg B+
2007-SL1 B-1 B-/Watch Neg B-
2007-SL1 B-2 B-/Watch Neg B-
2007-SL1 B-3 B-/Watch Neg B-
2007-SL1 M-5 B-/Watch Neg B-
2007-SL1 M-6 B-/Watch Neg B-
Morgan Stanley Mortgage Loan Trust
Rating
Series Class To From
2007-4SL A A+/Watch Neg A+
2007-4SL M-1 A-/Watch Neg A-
2007-4SL M-2 BBB/Watch Neg BBB
2007-4SL M-3 BBB-/Watch Neg BBB-
2007-4SL M-4 BB/Watch Neg BB
2007-4SL M-5 BB-/Watch Neg BB-
2007-4SL B-1 B+/Watch Neg B+
2007-4SL B-2 B/Watch Neg B
2007-4SL B-3 B/Watch Neg B
2007-4SL B-4 B-/Watch Neg B-
2007-9SL M-1 BBB-/Watch Neg BBB-
2007-9SL M-2 BB/Watch Neg BB
2007-9SL M-3 BB-/Watch Neg BB-
2007-9SL B-1 B+/Watch Neg B+
2007-9SL B-2 B/Watch Neg B
2007-9SL B-3 B-/Watch Neg B-
2007-9SL B-4 B-/Watch Neg B-
2007-9SL B-5 B-/Watch Neg B-
Nomura Asset Acceptance Corp., Alternative Loan Trust
Rating
Series Class To From
2007-S1 A A+/Watch Neg A+
2007-S1 M-1 A-/Watch Neg A-
2007-S1 M-2 BBB-/Watch Neg BBB-
2007-S1 M-3
BB+/Watch Neg BB+
2007-S1 M-4 BB/Watch Neg BB
2007-S1 M-5 BB/Watch Neg BB
2007-S1 M-6 BB-/Watch Neg BB-
2007-S1 M-7 B+/Watch Neg B+
2007-S2 M-1 BBB+/Watch Neg BBB+
2007-S2 M-2 BB+/Watch Neg BB+
2007-S2 M-3 B+/Watch Neg B+
2007-S2 M-4 B/Watch Neg B
PHH Mortgage Trust 2007-SL1
Rating
Series Class To From
2007-SL1 A1 AAA/Watch Neg AAA
2007-SL1 M1 AA+/Watch Neg AA+
2007-SL1 M2 AA+/Watch Neg AA+
2007-SL1 M3 AA/Watch Neg AA
SACO I Trust
Rating
Series Class To From
2007-1 IA AAA/Watch Neg AAA
2007-1 IIA AAA/Watch Neg AAA
2007-1 M1 AA+/Watch Neg AA+
2007-1 M2 AA/Watch Neg AA
2007-1 M3 AA-/Watch Neg AA-
2007-1 M4 A+/Watch Neg A+
2007-1 M5 A/Watch Neg A
2007-1 M6 A-/Watch Neg A-
2007-1 B1 BBB+/Watch Neg BBB+
2007-1 B2 BBB/Watch Neg BBB
2007-1 B3 BBB-/Watch Neg BBB-
2007-2 I-A A+/Watch Neg A+
2007-2 II-A A+/Watch Neg A+
2007-2 M-1 A-/Watch Neg A-
2007-2 M-2 BBB/Watch Neg BBB
2007-2 M-3 BBB-/Watch Neg BBB-
2007-2 M-4 BB+/Watch Neg BB+
2007-2 M-5 BB/Watch Neg BB
2007-2 M-6 BB-/Watch Neg BB-
2007-2 B-1 B+/Watch Neg B+
SunTrust Acquisition Closed-End Seconds Trust 2007-1
Rating
Series Class To From
2007-1 M-1 BBB-/Watch Neg BBB-
2007-1 M-2 BB/Watch Neg BB
Terwin Mortgage Trust
Rating
Series Class To From
2007-1SL A-X-1 AAA/Watch Neg AAA
2007-1SL A-X-2 AAA/Watch Neg AAA
2007-1SL G AAA/Watch Neg AAA
2007-1SL M-1 BBB/Watch Neg BBB
2007-1SL M-2 BBB-/Watch Neg BBB-
2007-3SL G AAA/Watch Neg AAA
2007-3SL A-X AA/Watch Neg AA
2007-3SL M-2 BB-/Watch Neg BB-
2007-3SL B-1 B-/Watch Neg B-
2007-3SL M-3 B-/Watch Neg B-
2007-9SL A-2 AAA/Watch Neg AAA
2007-9SL G AAA/Watch Neg AAA
2007-9SL M-1 BBB-/Watch Neg BBB-
2007-9SL B-1 BB/Watch Neg BB
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