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NEW YORK (Standard & Poor's) April 25, 2007—Standard & Poor's Ratings Services
today placed its ratings on 52 subordinate classes from 45 residential
mortgage-backed securities (RMBS) transactions issued in 2005 on CreditWatch
with negative implications. The affected classes are rated 'A-','BBB+',
'BBB-', 'BB+', 'BB', and 'B' (see list).
The CreditWatch placements reflect early signs of poor performance of the
collateral backing these transactions. The percentage of loans in these pools
that are severely delinquent (90-plus days, foreclosure, and REO) for the
Alt-A transactions ranges from 0.47% (IndyMac INDA Mortgage Loan Trust
2005-AR2) to 11.20% (American Home Mortgage Assets Trust 2005-2, loan group 1)
of the current pool balances. Cumulative losses range from zero (several of
the pools) to 0.20% (Adjustable Rate Mortgage Trust 2005-1, loan group 5) of
the original pool balances. The percentage of loans in these pools that are
severely delinquent for the subprime transactions ranges from 7.37% (Ownit
Mortgage Loan Trust series 2005-5) to 17.04% (Aegis Asset Backed Securities
Trust 2005-5) of the current pool balances. Cumulative losses range from to
0.03 (CWABS Asset-Backed Certificates Trust 2005-IM2) to 0.88% (Structured
Assets Investment Loan Trust 2005-HE1) of the original pool balances.
Most of these transactions have not experienced significant losses. The
placement of our ratings on CreditWatch when a transaction has not experienced
a loss represents a new methodology derived from our normal surveillance
practice. We had not used this methodology before applying it to the 2006 and
2005 vintages because transactions from earlier vintages did not see the
combination of early high delinquencies and minimal or no losses. Because
these deals have not incurred substantial cumulative realized losses, we
measured deal performance against the stressed time to disposition of the
loans and a reinstatement rate assumption of zero for all severely delinquent
loans.
Many of the 2005-vintage transactions may be showing weakness because of
origination issues, such as aggressive residential mortgage loan underwriting,
first-time homebuyer programs, piggyback second-lien mortgages, hybrid ARMs
entering their reset periods, and the concentration of affordability loans.
Credit support for each series is derived from either subordination or a
combination of subordination, excess interest, and overcollateralization
(O/C). O/C levels generally are below their targets because early losses are
outpacing available excess interest, prohibiting growth toward the targeted
amounts, and subordination amounts have not yet declined.
Standard & Poor's will continue to closely monitor the performance of
these transactions. Over the next three months, we will monitor any losses
incurred from the liquidation of REO assets. If these losses are material, and
if delinquencies continue at their present pace, we will likely lower our
ratings up to three notches, depending on individual performance. Conversely,
if the delinquency rates decline and the transactions do not realize
substantial cumulative losses, we will affirm the ratings and remove them from
CreditWatch negative.
These transactions are collateralized by Alt-A and subprime mortgage
loans. The transactions were initially backed by pools of fixed- and
adjustable-rate mortgage loans secured by first, second, or third liens on
one- to four-family residential properties.
ALT-A RATINGS PLACED ON CREDITWATCH NEGATIVE
Adjustable Rate Mortgage Trust
Rating
Series Class To From
2005-1 5-M-4 BBB-/Watch Neg BBB-
2005-2 6-M-5 BBB/Watch Neg BBB
2005-12 5-M-5 BBB-/Watch Neg BBB-
Alternative Loan Trust
Rating
Series Class To From
2005-2 B-3 BB/Watch Neg BB
2005-AR1 M-7 BBB+/Watch Neg BBB+
American Home Mortgage Assets Trust 2005-2
Rating
Series Class To From
2005-2 1-B-4 BB/Watch Neg BB
2005-2 1-B-5 B/Watch Neg B
2005-2 2-B-5 B/Watch Neg B
Bear Stearns Asset Backed Securities I Trust 2005-AC5
Rating
Series Class To From
2005-AC5 II-B-5 B/Watch Neg B
Citigroup Mortgage Loan Trust Inc.
Rating
Series Class To From
2005-5 I-B5 B/Watch Neg B
CWABS Asset-Backed Certificates Trust
Rating
Series Class To From
2005-AB4 B BBB+/Watch Neg BBB+
2005-AB5 B BBB+/Watch Neg BBB+
2005-IM1 B BBB-/Watch Neg BBB-
2005-IM3 B BBB/Watch Neg BBB
Deutsche Alt-A Securities Inc. Mortgage Loan Trust Series 2005-AR1
Rating
Series Class To From
2005-AR1 B-4 B/Watch Neg B
GMACM Mortgage Loan Trust 2005-AF2
Rating
Series Class To From
2005-AF2 B-2 B/Watch Neg B
Impac CMB Trust Series 2005-5
Rating
Series Class To From
2005-5 B A-/Watch Neg A-
IndyMac INDA Mortgage Loan Trust 2005-AR2
Rating
Series Class To From
2005-AR2 B-5 B/Watch Neg B
IndyMac INDB Mortgage Loan Trust 2005-1
Rating
Series Class To From
2005-1 B-5 B/Watch Neg B
IndyMac INDX Mortgage Loan Trust
Rating
Series Class To From
2005-AR19 B-5 B/Watch Neg B
2005-AR21 B-5 B/Watch Neg B
2005-AR33 B-5 B/Watch Neg B
Lehman XS Trust
Rating
Series Class To From
2005-3 1-M3 BBB/Watch Neg BBB
2005-8 1-M6 BBB/Watch Neg BBB
Morgan Stanley Mortgage Loan Trust
Rating
Series Class To From
2005-2AR B-5 B/Watch Neg B
2005-5AR 1-B-3 BBB-/Watch Neg BBB-
2005-5AR B-5 B/Watch Neg B
2005-11AR B-5 B/Watch Neg B
Terwin Mortgage Trust Series TMTS
Rating
Series Class To From
2005-18ALT B-4 BB/Watch Neg BB
2005-18ALT B-5 B/Watch Neg B
Wells Fargo Alternative Loan Trust 2005-2
Rating
Series Class To From
2005-2 B-2 BBB-/Watch Neg BBB-
2005-2 B-3 BB+/Watch Neg BB+
SUBPRIME RATINGS PLACED ON CREDITWATCH NEGATIVE
Ace Securities Corp. Home Equity Loan Trust
Rating
Series Class To From
2005-HE2 B-2 BB/Watch Neg BB
2005-HE3 B-3 BB/Watch Neg BB
2005-HE5 B-3 BB/Watch Neg BB
Aegis Asset Backed Securities Trust
Rating
Series Class To From
2005-5 B7 BB/Watch Neg BB
CWABS Asset-Backed Certificates Trust
Rating
Series Class To From
2005-IM2 B BBB/Watch Neg BBB
FBR Securitization Trust 2005-2
Rating
Series Class To From
2005-2 M-10 BBB-/Watch Neg BBB-
Fremont Home Loan Trust 2005-2
Rating
Series Class To From
2005-2 B-5 BB-/Watch Neg BB-
Merrill Lynch Mortgage Investors Trust 2005-FM1
Rating
Series Class To From
2005-FM1 B-3 BBB-/Watch Neg BBB-
Option One Mortgage Loan Trust 2005-1
Rating
Series Class To From
2005-1 M-9 BBB-/Watch Neg BBB-
Ownit Mortgage Loan Trust Series 2005-5
Rating
Series Class To From
2005-5 B-3 BBB-/Watch Neg BBB-
Structured Asset Investment Loan Trust
Rating
Series Class To From
2005-8 B BB+/Watch Neg BB+
2005-9 B2 BB/Watch Neg BB
2005-11 B1 BB+/Watch Neg BB+
2005-11 B2 BB/Watch Neg BB
2005-HE1 B3 BB+/Watch Neg BB+
Terwin Mortgage Trust
Rating
Series Class To From
2005-2HE B-3 BBB-/Watch Neg BBB-
2005-6HE B-5 BBB/Watch Neg BBB
2005-6HE B-6 BBB-/Watch Neg BBB-
2005-10HE B-7 BB/Watch Neg BB
2005-14HE B-3 BBB-/Watch Neg BBB-
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