Fitch Affirms $291.6MM & Downgrades $989.6MM from 2 BNC 2006 1st Lien Subprime Deals.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has taken the following rating actions on BNC (hardware) BNC - A connector for coaxial cable such as that used for some video connections and RG58 "cheapernet" connections. A BNC connector has a bayonet-type shell with two small knobs on the female connector which lock into spiral slots in the male connector when it is twisted mortgage pass-through certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size . Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Affirmations total $291.6 million and downgrades total $989.6 million. Additionally, $633.9 million remains on Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR See least cost routing. ) for each class are included with the rating actions as follows: BNC Mortgage Loan Trust 2006-1 --$270.8 million class A1 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 38.05, LCR: 1.43); --$127.7 million class A2 affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. at 'AAA', (BL: 67.39, LCR: 2.53); --$69.1 million class A3 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 45.81, LCR: 1.72); --$29 million class A4 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 37.93, LCR: 1.42); --$37.5 million class M1 downgraded to 'B' from 'AA+' (BL: 32.30, LCR: 1.21); --$28 million class M2 downgraded to 'B' from 'AA' (BL: 28.04, LCR: 1.05); --$16.4 million class M3 downgraded to 'CCC' from 'AA-' (BL: 25.51, LCR: 0.96); --$14.2 million class M4 downgraded to 'CCC' from 'A+' (BL: 23.28, LCR: 0.87); --$12.9 million class M5 downgraded to 'CCC' from 'A-' (BL: 21.17, LCR: 0.79); --$10.8 million class M6 downgraded to 'CC' from 'BBB+' (BL: 19.33, LCR: 0.73); --$9 million class M7 downgraded to 'CC' from 'BBB-' (BL: 17.64, LCR: 0.66); --$6 million class M8 downgraded to 'CC' from 'BB+' (BL: 16.40, LCR: 0.62); --$8.6 million class M9 downgraded to 'CC' from 'BB-' (BL: 14.55, LCR: 0.55); --$10.3 million class B downgraded to 'C' from 'B' (BL: 12.74, LCR: 0.48). Deal Summary --Originators: BNC (100%) --60+ day Delinquency delinquency Criminal behaviour carried out by a juvenile. Young males make up the bulk of the delinquent population (about 80% in the U.S.) in all countries in which the behaviour is reported. : 24.81% --Realized Losses to date (% of Original Balance): 0.68% --Expected Remaining Losses (% of Current balance): 26.66% --Cumulative Expected Losses (% of Original Balance): 21.28% BNC Mortgage Loan Trust 2006-2 --$113.9 million class A1 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 38.40, LCR: 1.4); --$163.8 million class A2 affirmed at 'AAA', (BL: 75.54, LCR: 2.76); --$48.9 million class A3 affirmed at 'AAA' (BL: 66.25, LCR: 2.42); --$110.1 million class A4 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 45.03, LCR: 1.65); --$41 million class A5 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 38.18, LCR: 1.4); --$36.1 million class M1 downgraded to 'B' from 'AA+' (BL: 32.66, LCR: 1.19); --$31.2 million class M2 downgraded to 'B' from 'AA' (BL: 27.74, LCR: 1.01); --$13.6 million class M3 downgraded to 'CCC' from 'AA-' (BL: 25.56, LCR: 0.93); --$12.4 million class M4 downgraded to 'CCC' from 'A+' (BL: 23.51, LCR: 0.86); --$12.4 million class M5 downgraded to 'CCC' from 'A' (BL: 21.38, LCR: 0.78); --$8 million class M6 downgraded to 'CC' from 'A-' (BL: 19.91, LCR: 0.73); --$8.4 million class M7 downgraded to 'CC' from 'BBB' (BL: 18.25, LCR: 0.67); --$6.4 million class M8 downgraded to 'CC' from 'BBB-' (BL: 16.92, LCR: 0.62); --$8 million class M9 downgraded to 'CC' from 'BB' (BL: 15.03, LCR: 0.55); --$9.6 million class B1 downgraded to 'C' from 'B+' (BL: 12.92, LCR: 0.47); --$6.8 million class B2 downgraded to 'C' from 'CCC' (BL: 11.71, LCR: 0.43). Deal Summary --Originators: BNC (100%) --60+ day Delinquency: 24.25% --Realized Losses to date (% of Original Balance): 0.89% --Expected Remaining Losses (% of Current balance): 27.36% --Cumulative Expected Losses (% of Original Balance): 22.78% The rating actions are based on changes that Fitch fitch: see polecat. has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating de·te·ri·o·rate v. de·te·ri·o·rat·ed, de·te·ri·o·rat·ing, de·te·ri·o·rates v.tr. To diminish or impair in quality, character, or value: 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 RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities On Watch Negative on Worsening wors·en tr. & intr.v. wors·ened, wors·en·ing, wors·ens To make or become worse. Noun 1. worsening - process of changing to an inferior state decline in quality, deterioration, declension 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 Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing statistics is also available at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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