2009-11-09 19:33:05 -
Fitch Ratings has taken various rating actions on five Re-Performing HUD U.S. residential mortgage-backed securities (RMBS) transactions in the course of its ongoing RMBS reviews. Fitch's rating actions include.
affirmations; downgrades; Rating Outlook, Loss Severity (LS), and Recovery Rating (RR) assignments; and RR revisions as indicated below.
BCF LLC, Series 1997-R1
--Class A-4 affirmed at 'AAA/LS3'; Outlook Negative;
--Class WAC affirmed at 'AAA'; Outlook Negative;
--Class B-1 downgraded to 'BB/LS3' from 'AA'; Outlook Negative;
--Class B-2 downgraded to 'C/RR3' from 'BB'; removed from Rating Watch Negative;
--Class B-3 downgraded to 'D/RR6' from 'C/DR6'.
BCF LLC, Series 1997-R3
--Class A WAC affirmed at 'AAA'; Outlook Negative;
--Class B-1 downgraded to 'BB/LS3' from 'AA'; Outlook Negative;
--Class B-2 downgraded to 'D/RR4' from 'C/DR6';
--Class B-3 downgraded to 'D/RR6' from 'C/DR6'.
Bear Stearns Mortgage Securities, Series 1996-6
--Class PO affirmed at 'AAA/LS5';
--Class X1 affirmed at 'AAA';
--Class B1 affirmed at 'AAA/LS3';
--Class B2 affirmed at 'AAA/LS3';
--Class B3 downgraded to 'BBB/LS3' from 'A+'; Outlook Negative.
Salomon Brothers Mortgage Securities VII, Series 1997-HUD1
--Class A-4 affirmed at 'AAA/LS3';
--Class A WAC affirmed at 'AAA';
--Class IO affirmed at 'AAA';
--Class B-1 affirmed at 'AAA/LS4'; Outlook Negative;
--Class B-2 downgraded to 'BB/LS4' from 'A+'; Outlook Negative;
--Class B-3 downgraded to 'D/RR5' from 'BBB';
--Class B-4 downgraded to 'D/RR6' from 'C/DR4'.
Salomon Brothers Mortgage Securities VII, Series 1997-HUD2
--Class A-4 affirmed at 'AAA/LS3';
--Class A WAC affirmed at 'AAA';
--Class IO affirmed at 'AAA';
--Class B-1 affirmed at 'AA+/LS3';
--Class B-2 downgraded to 'B/LS3' from 'A'; Outlook Negative;
--Class B-3 downgraded to 'D/RR5' from 'B+';
--Class B-4 downgraded to 'D/RR6' from 'C/DR6'.
The underlying collateral for these transactions consists primarily of mortgage loans purchased from the United States Department of Housing and Development (HUD). Each mortgage loan is a fixed-rate or adjustable-rate loan secured by a first lien on a one- to four-family residential property. All of the mortgage loans in the Trust have previously defaulted and all HUD insurance on the loans has terminated.
When determining each collateral pool's projected base-case loss, Fitch incorporated actual deal and sector level performance trends. The severities used in this review ranged from 55%-74% depending on the actual severity history and vintage average. The weighted average frequency of foreclosure (FOF) for the transactions ranged from 20.67% to 34%.
The average updated expected collateral loss as a percentage of the original pool balance is 12.46% with losses ranging from 7.1% - 17.3%.
As a percentage of the remaining pool balances, the average expected loss is 18.64% with losses ranging from 11.4% - 25.1%. The remaining pool balances of the reviewed transactions extending from 1996-1997 have paid down to approximately 6.9% of the original pool balances on average.
After determining each pool's projected base-case and stressed scenario loss assumptions, Fitch took rating actions based on the relationship between each bond's credit enhancement and the expected loss.
In conjunction with today's rating actions, Fitch has assigned Loss Severity (LS) ratings to 13 bonds with Long-Term Credit (LTC) ratings of 'B' or higher. Introduced in February, LS ratings are meant to complement the existing LTC ratings for structured finance securities.
LTC ratings exclusively address the probability of default of a security. The LS ratings provide an indication of the relative degree of risk that a security might suffer a high loss severity in the event that the security defaults. It will always be necessary to consider loss severity (as indicated by the LS rating) in conjunction with probability of default (as indicated by the LTC rating.) The LS rating scale consists of five rating categories from 'LS1' to 'LS5'. LS ratings are only assigned to securities that have corresponding LTC ratings in rating categories 'AAA' through 'B'. The LS rating category to be assigned will be determined through a calculation that measures the size of the tranche ('tranche thickness') relative to the base expected loss determined for the asset portfolio underlying the transaction.
Additional information is available in Fitch's Feb. 17 global report, 'Criteria for Structured Finance Loss Severity Ratings', available at ' www.fitchratings.com :
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Fitch will continue to closely monitor these transactions. Further information regarding current delinquency, loss and credit enhancement statistics is available on the Fitch Ratings web site at ' www.fitchratings.com :
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Additional details are available in the following research, also available at ' www.fitchratings.com :
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--'Global Structured Finance Rating Criteria' (Sept. 30, 2009).
Additional information is available at ' www.fitchratings.com :
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FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS :
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IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE ' WWW.FITCHRATINGS.COM :
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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 YorkMichele Patterson, 212-908-0779Tara
Sweeney, 212-908-0347orMedia Relations:Sandro Scenga,
212-908-0278Email:
sandro.scenga@fitchratings.com : mailto:sandro.scenga@fitchratings.com
