 |
NEW YORK (Standard & Poor's) June 11, 2008--Standard & Poor's Ratings Services
today lowered its ratings to 'D' on 80 classes from 71 U.S. residential
mortgage-backed securities (RMBS) transactions backed by closed-end
second-lien mortgage collateral. Specifically, we lowered our ratings on 12
classes from nine deals to 'D' from 'CC' and 66 classes from 60 deals to 'D'
from 'CCC'. In addition, we lowered our rating on class I-B-5 from Terwin
Mortgage Trust 2006-1 to 'D' from 'B'. Finally, we lowered our rating on class
IV-M-6 from American Home Mortgage Investment Trust 2006-3 to 'D' from 'BBB+'
(see list).
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. The affected classes experienced
principal write-downs during the May 2008 remittance period.
As of the May 2008 distribution period, cumulative realized losses ranged
from 3.11% (Terwin Mortgage Trust 2003-7SL) to 31.43% (CWABS Asset Backed
Certificates Trust 2006-SPS1) of the original principal balances, and total
delinquencies ranged from 10.76% (Nomura Asset Acceptance Corp. Alternative
Loan Trust Series 2005-S1) to 41.25% (Structured Asset Securities Corp.
Mortgage Loan Trust 2006-ARS1) of the current principal balances. Seasoning
for these transactions ranged from 11 months (Merrill Lynch Mortgage Investors
Trust Series 2007-SL1) to 52 months (Terwin Mortgage Trust 2003-7SL), and
these transactions have outstanding pool factors ranging from approximately
4.86% (Terwin Mortgage Trust 2003-7SL) to 78.60% (ACE Securities Corp. Home
Equity Loan Trust Series 2007-ASL1). If delinquencies continue to translate
into realized losses, we will likely take further negative rating actions on
the outstanding classes from these transactions.
Subordination, O/C, and excess interest cash flow provide credit support
for these deals. The collateral originally consisted of 30-year, fixed-rate,
closed-end second-lien mortgage loans secured by one- to four-family
residential properties.
RATINGS LOWERED
ACE Securities Corp. Home Equity Loan Trust, Series 2005-SL1
Series 2005-SL1
Rating
Class CUSIP To From
M-5 004421RZ8 D CCC
Ace Securities Corp. Home Equity Loan Trust, Series 2006-ASL1
Series 2006-ASL1
Rating
Class CUSIP To From
M-9 00442AAK9 D CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL1
Series 2006-SL1
Rating
Class CUSIP To From
M-6 004421VM2 D CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL3
Series 2006-SL3
Rating
Class CUSIP To From
M-4 004423AF6 D CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL4
Series 2006-SL4
Rating
Class CUSIP To From
M-5 00441WAH9 D CCC
ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASL1
Series 2007-ASL1
Rating
Class CUSIP To From
M-7 00443MAJ5 D CC
ACE Securities Corp. Home Equity Loan Trust, Series 2007-SL1
Series 2007-SL1
Rating
Class CUSIP To From
M-5 00442FAG7 D CC
Alliance Bancorp Trust 2007-S1
Series 2007-S1
Rating
Class CUSIP To From
M-2 01853GAF7 D CC
American Home Mortgage Investment Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
IV-M-6 026929BF5 D BBB+
Bear Stearns Mortgage Funding Trust 2006-SL5
Series 2006-SL5
Rating
Class CUSIP To From
M-2 07401HAD4 D CCC
C-BASS 2006-SL1
Series 2006-SL1
Rating
Class CUSIP To From
B-1 14983AAK5 D CCC
C-BASS 2007-SL1 Trust
Series 2007-SL1
Rating
Class CUSIP To From
B-3 1248MKAG0 D CC
CWABS Asset Backed Certificates Trust 2006-SPS1
Series 2006-SPS1
Rating
Class CUSIP To From
M-2 12666MAC5 D CCC
CWABS Asset-Backed Certificates Trust 2006-SPS2
Series 2006-SPS2
Rating
Class CUSIP To From
M-5 12667BAF1 D CCC
First Franklin Mortgage Loan Trust 2006-FFB
Series 2006-FFB
Rating
Class CUSIP To From
M3 32028JAH2 D CCC
First Franklin Mortgage Loan Trust, Series 2007-FFA
Series 2007-FFA
Rating
Class CUSIP To From
M-4 32027AAE9 D CC
Fremont Home Loan Trust 2006-B
Series 2006-B
Rating
Class CUSIP To From
M-11 35729QAR9 D CCC
SL-M1 35729QAT5 D CCC
GSAA Home Equity Trust 2006-S1
Series 2006-S1
Rating
Class CUSIP To From
I-M-4 40051CAF4 D CCC
GSAMP Trust 2006-S2
Series 2006-S2
Rating
Class CUSIP To From
M-2 362334HN7 D CCC
GSAMP Trust 2006-S4
Series 2006-S4
Rating
Class CUSIP To From
M-4 36244MAG6 D CCC
Home Equity Mortgage Loan Asset-Backed Trust, Series INDS 2006-A
Series 2006-A
Rating
Class CUSIP To From
M-6 43709UAG2 D CCC
Home Equity Mortgage Trust 2005-4
Series 2005-4
Rating
Class CUSIP To From
M-7 2254584K1 D CCC
M-8 2254584L9 D CCC
Home Equity Mortgage Trust 2005-5
Series 2005-5
Rating
Class CUSIP To From
M-6 225470RG0 D CCC
Home Equity Mortgage Trust 2005HF-1
Series 2005-HF1
Rating
Class CUSIP To From
M-9 2254W0LR4 D CCC
Home Equity Mortgage Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
1M-4 225470X57 D CCC
Home Equity Mortgage Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
M-3 436944AG7 D CCC
Home Equity Mortgage Trust 2006-4
Series 2006-4
Rating
Class CUSIP To From
M-2 43709JAF9 D CCC
Home Equity Mortgage Trust 2006-5
Series 2006-5
Rating
Class CUSIP To From
M-2 43709PAG3 D CCC
Home Equity Mortgage Trust 2006-6
Series 2006-6
Rating
Class CUSIP To From
M-2 43709YAG4 D CCC
Merrill Lynch Mortgage Investors Trust
Series 2006-SL1
Rating
Class CUSIP To From
B-2 59020U2S3 D CCC
Merrill Lynch Mortgage Investors Trust, Series 2005-NCB
Series 2005-NCB
Rating
Class CUSIP To From
B-3 59020UU52 D CCC
Merrill Lynch Mortgage Investors Trust, Series 2005-SL3
Series 2005-SL3
Rating
Class CUSIP To From
B-2 59020UK79 D CCC
Merrill Lynch Mortgage Investors Trust, Series 2006-SL2
Series 2006-SL2
Rating
Class CUSIP To From
M-6 59021BAG1 D CCC
Merrill Lynch Mortgage Investors Trust, Series 2007-SL1
Series 2007-SL1
Rating
Class CUSIP To From
B-1 59025AAH7 D CC
B-2 59025AAJ3 D CC
Morgan Stanley Mortgage Loan Trust 2005-8SL
Series 2005-8SL
Rating
Class CUSIP To From
B-1 61748HQR5 D CCC
Morgan Stanley Mortgage Loan Trust 2006-14SL
Series 2006-14SL
Rating
Class CUSIP To From
B-4 61749SAA4 D CCC
Morgan Stanley Mortgage Loan Trust 2006-4SL
Series 2006-4SL
Rating
Class CUSIP To From
B-1 61748HYG0 D CCC
Morgan Stanley Mortgage Loan Trust 2007-4SL
Series 2007-4SL
Rating
Class CUSIP To From
B-5 61751PAL1 D CCC
Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2005-S2
Series 2005-S2
Rating
Class CUSIP To From
B-2 65535VLX4 D CCC
Nomura Asset Acceptance Corporation Alternative Loan Trust, Series 2005-S1
Series 2005-S1
Rating
Class CUSIP To From
B-2 65535VJW9 D CCC
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-S4
Series 2005-S4
Rating
Class CUSIP To From
M-6 65535VQW1 D CCC
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-S3
Series 2006-S3
Rating
Class CUSIP To From
M-3 65536WAG0 D CCC
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2006-S4
Series 2006-S4
Rating
Class CUSIP To From
M-4 65537DAF3 D CCC
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2007-S1
Series 2007-S1
Rating
Class CUSIP To From
M-3 655374AD8 D CC
M-4 655374AE6 D CC
Ownit Mortgage Trust 2006-OT1
Series 2006-OT1
Rating
Class CUSIP To From
M-3 88156AAD6 D CCC
SACO I Trust 2005-10
Series 2005-10
Rating
Class CUSIP To From
I-B-1 785778NQ0 D CCC
II-M-6 785778NP2 D CCC
SACO I Trust 2005-5
Series 2005-5
Rating
Class CUSIP To From
I-B-2 785778GF2 D CCC
SACO I Trust 2006-10
Series 2006-10
Rating
Class CUSIP To From
M-4 785812AE8 D CCC
SACO I Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
I-B-1 785778PK1 D CCC
SACO I Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
M-4 785778QQ7 D CCC
SACO I Trust 2006-4
Series 2006-4
Rating
Class CUSIP To From
M-4 785778RH6 D CCC
SACO I Trust 2006-5
Series 2006-5
Rating
Class CUSIP To From
I-M-5 785811AJ9 D CCC
II-M-3 785811AN0 D CCC
SACO I Trust 2006-6
Series 2006-6
Rating
Class CUSIP To From
M-2 785779AC3 D CCC
SACO I Trust 2006-9
Series 2006-9
Rating
Class CUSIP To From
M-5 78577RAF6 D CCC
SACO I Trust 2007-1
Series 2007-1
Rating
Class CUSIP To From
M-5 785814AG9 D CC
SACO I Trust 2007-2
Series 2007-2
Rating
Class CUSIP To From
M-5 78581NAG7 D CC
M-6 78581NAH5 D CC
SACO I Trust, 2005-7
Series 2005-7
Rating
Class CUSIP To From
B-1 785778KS9 D CCC
SACO I Trust, 2005-WM3
Series 2005-WM3
Rating
Class CUSIP To From
M-4 785778LY5 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2005-S6
Series 2005-S6
Rating
Class CUSIP To From
M8 86359DTY3 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2006-ARS1
Series 2006-ARS1
Rating
Class CUSIP To From
M3 86358LAD2 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S1
Series 2006-S1
Rating
Class CUSIP To From
M5 86359DXJ1 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S2
Series 2006-S2
Rating
Class CUSIP To From
M5 86359FAH5 D CCC
M6 86359FAJ1 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S3 Trust
Series 2006-S3
Rating
Class CUSIP To From
M6 86359WAH8 D CCC
Structured Asset Securities Corporation Mortgage Loan Trust 2006-S4
Series 2006-S4
Rating
Class CUSIP To From
M9 86363AAK3 D CCC
Terwin Mortgage Trust 2003-7SL
Series 2003-7SL
Rating
Class CUSIP To From
B-3 881561CV4 D CCC
Terwin Mortgage Trust 2005-11
Series 2005-11
Rating
Class CUSIP To From
II-B-1 881561A79 D CCC
Terwin Mortgage Trust 2005-13SL
Series 2005-13SL
Rating
Class CUSIP To From
M-1 881561D35 D CCC
Terwin Mortgage Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
I-B-5 881561N59 D B
Terwin Mortgage Trust 2006-10SL
Series 2006-10SL
Rating
Class CUSIP To From
M-1 88156VAC2 D CCC
Terwin Mortgage Trust 2006-8
Series 2006-8
Rating
Class CUSIP To From
I-M-2 88156UAE0 D CCC
II-M-1 88156UAY6 D CCC
Terwin Mortgage Trust 2006-HF-1
Series 2006-HF-1
Rating
Class CUSIP To From
B-2 881561S21 D CCC
|
