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(Editor's Note: In the press release published Sept. 25, 2007, the prior
rating on class B-1 from series 2006-4SL was misstated in the rating list. A
corrected version follows.)
NEW YORK (Standard & Poor's) Sept. 28, 2007--Standard & Poor's Ratings
Services lowered its ratings on 35 of the classes from four Terwin Mortgage
Trust transactions issued in 2006 (see list).
The downgrades reflect the poor performance of all seven loan group
structures from these transactions, six of which are backed by 30-year
closed-end second-lien (CES) mortgages; the remaining loan group, series
2006-1 loan group 1, is backed by subprime collateral. Monthly net losses for
all seven structures have continued to exceed the monthly excess cash flow and
have deteriorated available credit support. Subordination,
overcollateralization (O/C), and excess interest cash flow provide credit
support for these transactions.
We lowered our 'AAA' ratings on three classes from series 2006-6, loan
group 2, to 'AA-'. This CES structure experienced its first loss four months
after issuance. Since that time, losses have continued to build and have
steadily deteriorated available credit support, preventing O/C from reaching
its target of $5.2 million. This transaction currently has no O/C. In
addition, as a result of losses, the class II-B-5 and II-B-6 balances were
reduced to zero and class II-B-4 has incurred a principal write-down. As of
the August 2007 remittance period, cumulative losses were $8.09 million, or
8.09% of the original principal balance, and the pool had paid down to $63.19
million.
We lowered our ratings to 'D' on three of the affected classes because
they incurred principal write-downs during the August 2007 remittance period.
As of the August 2007 distribution period, total delinquencies on all
four transactions ranged from approximately 10.45% (series 2006-6, loan group
1) to 23.21% (series 2006-1, loan group 1) of the current principal balances,
while severe delinquencies (90-plus days, foreclosures, and REOs) ranged from
approximately 5.22% (series 2006-1, loan group 2) to 16.39% (series 2006-1,
loan group 1). Cumulative losses continue to increase on all deals and ranged
from approximately 0.68% (series 2006-1, loan group 1) to 8.09% (series
2006-6, loan group 2) of the respective original principal balances.
RATINGS LOWERED
Terwin Mortgage Trust
Rating
Series Class To From
2006-1 I-B-2 BB+ BBB+
2006-1 I-B-3 BB BBB
2006-1 I-B-4, I-B-5 B BBB-
2006-1 II-B-1 BB+ BBB-
2006-1 II-B-2 B BB
2006-1 II-B-3 CCC B
2006-6 I-B-1 BBB- A-
2006-6 I-B-2 B+ BBB+
2006-6 I-B-3 CCC BBB
2006-6 I-B-4 CCC B
2006-6 I-B-6 D CCC
2006-6 II-A-1, II-A-2, II-G AA- AAA
2006-6 II-M-1a, II-M-1b BBB- AA
2006-6 II-M-2 BB A
2006-6 II-M-3 CCC BB+
2006-6 II-B-1 CCC B
2006-8 I-M-3 A A+
2006-8 I-B-1 BB+ A-
2006-8 I-B-2 CCC BB+
2006-8 I-B-3 CCC B
2006-8 I-B-4 CCC B
2006-8 I-B-6 D CCC
2006-8 II-M-1 A AA
2006-8 II-M-2 BB A
2006-8 II-M-3 B BB+
2006-8 II-B-1 CCC B
2006-8 II-B-2 CCC B
2006-4SL B-1 BBB+
A-
2006-4SL B-2 BB BBB+
2006-4SL B-3 CCC BB+
2006-4SL B-6 D CCC
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