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Fitch Downgrades $6.4B from 8 SABR 2007 Subprime 1st Lien Transactions


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© Business Wire 2008
2008-03-03 23:39:26 -

- Fitch Ratings has taken the following rating actions on eight Securitized Asset Backed Receivables LLC Trust mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Downgrades total $6.4 billion. Additionally, $3.6 billion remains on Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class are
included with the rating actions as follows:

Securitized Asset Backed Receivables LLC Trust 2007-BR1

--$241.5 million class A-1 downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 45.47, LCR: 1.19);

--$212.7 million class A-2A downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 57.23, LCR: 1.49 );

--$140.3 million class A-2B downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 45.34, LCR: 1.18 );

--$16.7 million class A-2C downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 44.59, LCR: 1.16 );

--$52.8 million class M-1 downgraded to 'B' from 'AA-' (BL: 38.36, LCR: 1);

--$46.0 million class M-2 downgraded to 'CCC' from 'A+' (BL: 32.86, LCR: 0.86);

--$19.4 million class M-3 downgraded to 'CCC' from 'A' (BL: 30.39, LCR: 0.79);

--$20.4 million class M-4 downgraded to 'CC' from 'A-' (BL: 27.67, LCR: 0.72);

--$17.0 million class M-5 downgraded to 'CC' from 'BBB+' (BL: 25.38, LCR: 0.66);

--$15.5 million class M-6 downgraded to 'CC' from 'BBB' (BL: 23.27, LCR: 0.61);

--$17.0 million class B-1 downgraded to 'CC' from 'BB' (BL: 21.13, LCR: 0.55);

--$12.6 million class B-2 downgraded to 'CC' from 'BB' (BL: 19.86, LCR: 0.52);

Deal Summary

--Originators: NC Capital Corporation (100%);

--60+ day Delinquency: 23.85%;

--Realized Losses to date (% of Original Balance): 0.58%;

--Expected Remaining Losses (% of Current balance): 38.35%;

--Cumulative Expected Losses (% of Original Balance): 35.13%.

Securitized Asset Backed Receivables 2007-BR2

--$229.1 million class A-1 downgraded to 'BBB' from 'AA-', remains on Rating Watch Negative (BL: 43.88, LCR: 1.1);

--$508.3 million class A-2 downgraded to 'BBB' from 'AA-', remains on Rating Watch Negative (BL: 43.61, LCR: 1.09 );

--$46.0 million class M-1 downgraded to 'B' from 'A+' (BL: 38.95, LCR: 0.98);

--$39.5 million class M-2 downgraded to 'CCC' from 'A-' (BL: 34.89, LCR: 0.87);

--$25.2 million class M-3 downgraded to 'CCC' from 'BBB+' (BL: 32.13, LCR: 0.8);

--$21.4 million class M-4 downgraded to 'CC' from 'BBB' (BL: 29.66, LCR: 0.74);

--$20.3 million class M-5 downgraded to 'CC' from 'BBB-' (BL: 27.25, LCR: 0.68);

--$18.1 million class M-6 downgraded to 'CC' from 'BB' (BL: 25.08, LCR: 0.63);

--$18.6 million class B-1 downgraded to 'CC' from 'BB' (BL: 22.86, LCR: 0.57);

--$17.0 million class B-2 downgraded to 'CC' from 'B' (BL: 20.99, LCR: 0.53);

--$16.4 million class B-3 downgraded to 'C' from 'B' (BL: 19.51, LCR: 0.49);

Deal Summary

--Originators: WMC Mortgage Corp. (61.5%), NC Capital Corporation (38.5%);

--60+ day Delinquency: 22.24%;

--Realized Losses to date (% of Original Balance): 0.61%;

--Expected Remaining Losses (% of Current balance): 39.92%;

--Cumulative Expected Losses (% of Original Balance): 37.70%.

Securitized Asset Backed Receivables 2007-BR3

--$72.5 million class A-1 downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 48.04, LCR: 1.18);

--$419.7 million class A-2A downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 56.41, LCR: 1.39);

--$223.6 million class A-2B downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 46.63, LCR: 1.15);

--$12.9 million class A-2C downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 46.27, LCR: 1.14);

--$50.3 million class M1 downgraded to 'B' from 'AA+' (BL: 41.42, LCR: 1.02);

--$46.9 million class M2 downgraded to 'CCC' from 'AA+' (BL: 36.82, LCR: 0.91);

--$27.7 million class M3 downgraded to 'CCC' from 'AA' (BL: 34.03, LCR: 0.84);

--$26.0 million class M4 downgraded to 'CCC' from 'AA-' (BL: 31.32, LCR: 0.77);

--$24.9 million class M5 downgraded to 'CC' from 'A+' (BL: 28.63, LCR: 0.7);

--$20.9 million class M6 downgraded to 'CC' from 'A' (BL: 26.23, LCR: 0.65);

--$19.8 million class B1 downgraded to 'CC' from 'A-' (BL: 23.90, LCR: 0.59);

--$18.1 million class B2 downgraded to 'CC' from 'BBB+' (BL: 21.88, LCR: 0.54);

--$18.7 million class B3 downgraded to 'CC' from 'BBB' (BL: 20.22, LCR: 0.5);

Deal Summary

--Originators: WMC Mortgage Corp.(28%), NC Capital Corporation (72%);

--60+ day Delinquency: 22.66%;

--Realized Losses to date (% of Original Balance): 0.27%;

--Expected Remaining Losses (% of Current balance): 40.65%;

--Cumulative Expected Losses (% of Original Balance): 38.16%.

Securitized Asset Backed Receivables 2007-BR4

--$88.1 million class A-1 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 43.87, LCR: 1.26);

--$344.9 million class A-2A downgraded to 'AA' from 'AAA' (BL: 56.14, LCR: 1.61);

--$200.5 million class A-2B downgraded to 'A' from 'AAA' (BL: 44.57, LCR: 1.28);

--$18.4 million class A-2C downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 43.89, LCR: 1.26);

--$44.2 million class M-1 downgraded to 'B' from 'AA+' (BL: 39.03, LCR: 1.12);

--$40.2 million class M-2 downgraded to 'B' from 'AA+' (BL: 34.54, LCR: 0.99);

--$25.1 million class M-3 downgraded to 'CCC' from 'AA' (BL: 31.67, LCR: 0.91);

--$22.1 million class M-4 downgraded to 'CCC' from 'AA-' (BL: 29.02, LCR: 0.83);

--$21.6 million class M-5 downgraded to 'CCC' from 'A+' (BL: 26.33, LCR: 0.75);

--$17.6 million class M-6 downgraded to 'CC' from 'A' (BL: 24.00, LCR: 0.69);

--$17.1 million class B-1 downgraded to 'CC' from 'A-' (BL: 21.74, LCR: 0.62);

--$15.1 million class B-2 downgraded to 'CC' from 'BBB+' (BL: 19.88, LCR: 0.57);

--$15.6 million class B-3 downgraded to 'CC' from 'BBB' (BL: 18.31, LCR: 0.52);

Deal Summary

--Originators: NC Capital Corporation (100%);

--60+ day Delinquency: 18.67%;

--Realized Losses to date (% of Original Balance): 0.32%;

--Expected Remaining Losses (% of Current balance): 34.93%;

--Cumulative Expected Losses (% of Original Balance): 32.67%;

Securitized Asset Backed Receivables 2007-BR5

--$134.8 million class A-1 downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 43.28, LCR: 1.12);

--$312.9 million class A-2A downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 56.42, LCR: 1.45 );

--$169.1 million class A-2B downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 45.05, LCR: 1.16 );

--$39.5 million class A-2C downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 43.29, LCR: 1.12 );

--$44.0 million class M-1 downgraded to 'B' from 'AA+' (BL: 38.51, LCR: 0.99);

--$40.0 million class M-2 downgraded to 'CCC' from 'AA+' (BL: 34.09, LCR: 0.88);

--$25.0 million class M-3 downgraded to 'CCC' from 'AA' (BL: 31.26, LCR: 0.81);

--$21.5 million class M-4 downgraded to 'CC' from 'AA-' (BL: 28.75, LCR: 0.74);

--$22.0 million class M-5 downgraded to 'CC' from 'A+' (BL: 26.09, LCR: 0.67);

--$18.5 million class M-6 downgraded to 'CC' from 'A' (BL: 23.74, LCR: 0.61);

--$17.5 million class B-1 downgraded to 'CC' from 'A-' (BL: 21.48, LCR: 0.55);

--$15.5 million class B-2 downgraded to 'CC' from 'BBB+' (BL: 19.63, LCR: 0.51);

--$15.5 million class B-3 downgraded to 'C' from 'BBB' (BL: 18.11, LCR: 0.47);

Deal Summary

--Originators: NC Capital Corporation (100%);

--60+ day Delinquency: 15.76%;

--Realized Losses to date (% of Original Balance): 0.18%;

--Expected Remaining Losses (% of Current balance): 38.81%;

--Cumulative Expected Losses (% of Original Balance): 36.55%

Securitized Asset Backed Receivables LLC Trust 2007-HE1

--$207.8 million class A-1 downgraded to 'BBB' from 'AA-', remains on Rating Watch Negative (BL: 43.36, LCR: 1.2);

--$194.8 million class A-2A downgraded to 'AA' from 'AAA' (BL: 55.58, LCR: 1.54);

--$70.4 million class A-2B downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 49.04, LCR: 1.36 );

--$82.1 million class A-2C downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 43.84, LCR: 1.21 );

--$57.6 million class A-2D downgraded to 'BBB' from 'AA-', remains on Rating Watch Negative (BL: 41.40, LCR: 1.14 );

--$56.6 million class M-1 downgraded to 'B' from 'A-' (BL: 34.39, LCR: 0.95);

--$28.5 million class M-2 downgraded to 'CCC' from 'BBB' (BL: 30.66, LCR: 0.85);

--$17.5 million class M-3 downgraded to 'CCC' from 'BBB' (BL: 28.28, LCR: 0.78);

--$15.2 million class M-4 downgraded to 'CC' from 'BBB-' (BL: 26.20, LCR: 0.72);

--$14.3 million class M-5 downgraded to 'CC' from 'BB' (BL: 24.17, LCR: 0.67);

--$12.9 million class M-6 downgraded to 'CC' from 'B' (BL: 22.26, LCR: 0.62);

--$12.9 million class B-1 downgraded to 'CC' from 'B' (BL: 20.11, LCR: 0.56);

--$10.6 million class B-2 downgraded to 'CC' from 'B' (BL: 18.31, LCR: 0.51);

--$8.7 million class B-3 downgraded to 'C' from 'CCC' (BL: 17.18, LCR: 0.48);

Deal Summary

--Originators: WMC Mortgage Corp. (90.51%), NC Capital Corporation (9.49%);

--60+ day Delinquency: 28.22%;

--Realized Losses to date (% of Original Balance): 1.35%;

--Expected Remaining Losses (% of Current balance): 36.17%;

--Cumulative Expected Losses (% of Original Balance): 33.39%;

Securitized Asset Backed Receivables LLC Trust 2007-NC1

--$230.0 million class A-1 downgraded to 'A' from 'AAA' (BL: 46.39, LCR: 1.36);

--$136.8 million class A-2A rated 'AAA', remains on Rating Watch Negative (BL: 61.12, LCR: 1.79);

--$127.2 million class A-2B downgraded to 'A' from 'AAA' (BL: 46.11, LCR: 1.35);

--$18.1 million class A-2C downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 45.20, LCR: 1.32);

--$47.1 million class M-1 downgraded to 'B' from 'A+' (BL: 38.64, LCR: 1.13);

--$42.0 million class M-2 downgraded to 'B' from 'A-' (BL: 32.70, LCR: 0.96);

--$15.3 million class M-3 downgraded to 'CCC' from 'BBB+' (BL: 30.45, LCR: 0.89);

--$20.4 million class M-4 downgraded to 'CCC' from 'BBB' (BL: 27.36, LCR: 0.8);

--$15.3 million class M-5 downgraded to 'CC' from 'BBB-' (BL: 25.02, LCR: 0.73);

--$11.9 million class M-6 downgraded to 'CC' from 'BB' (BL: 23.11, LCR: 0.68);

--$13.6 million class B-1 downgraded to 'CC' from 'B' (BL: 20.78, LCR: 0.61);

--$7.6 million class B-2 downgraded to 'CC' from 'B' (BL: 19.41, LCR: 0.57);

--$11.0 million class B-3 downgraded to 'CC' from 'B' (BL: 17.70, LCR: 0.52);

Deal Summary

--Originators: NC Capital Corporation (100%);

--60+ day Delinquency: 25.99%;

--Realized Losses to date (% of Original Balance): 0.53%;

--Expected Remaining Losses (% of Current balance): 34.20%;

--Cumulative Expected Losses (% of Original Balance): 29.88%;

SABR 2007-NC2

--$227.0 million class A-1 downgraded to 'A' from 'AAA' (BL: 49.14, LCR: 1.45);

--$138.9 million class A-2A rated 'AAA', remains on Rating Watch Negative (BL: 62.88, LCR: 1.85);

--$116.0 million class A-2B downgraded to 'A' from 'AAA' (BL: 49.07, LCR: 1.44);

--$10.5 million class A-2C downgraded to 'A' from 'AAA' (BL: 48.50, LCR: 1.43);

--$49.7 million class M-1 downgraded to 'B' from 'AA-' (BL: 41.66, LCR: 1.23);

--$41.0 million class M-2 downgraded to 'B' from 'A+' (BL: 35.94, LCR: 1.06);

--$19.2 million class M-3 downgraded to 'B' from 'A-' (BL: 33.18, LCR: 0.98);

--$23.0 million class M-4 downgraded to 'CCC' from 'BBB+' (BL: 29.76, LCR: 0.88);

--$15.9 million class M-5 downgraded to 'CCC' from 'BBB' (BL: 27.37, LCR: 0.8);

--$13.8 million class M-6 downgraded to 'CC' from 'BBB-' (BL: 25.21, LCR: 0.74);

--$15.5 million class B-1 downgraded to 'CC' from 'BB' (BL: 22.62, LCR: 0.67);

--$9.2 million class B-2 downgraded to 'CC' from 'B' (BL: 21.00, LCR: 0.62);

--$11.3 million class B-3 downgraded to 'CC' from 'B' (BL: 19.39, LCR: 0.57);

Deal Summary

--Originators: NC Capital Corporation (100%);

--60+ day Delinquency: 22.58%;

--Realized Losses to date (% of Original Balance): 0.43%;

--Expected Remaining Losses (% of Current balance): 34.01%;

--Cumulative Expected Losses (% of Original Balance): 30.15%;

The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2007, 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com

--'Fitch Places $139B U.S. Subprime RMBS On Watch Negative on Worsening Mortgage Performance' (Feb. 1, 2008);

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);

--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007).

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

Fitch Ratings, New York
Tara Sweeney, 212-908-0347
Michele Patterson, 212-908-0779
or
Media Relations:
Sandro Scenga, 212-908-0278


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