Fitch Affirms $3.3B & Lowers $11.3B on 16 Morgan Stanley 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 Morgan Stanley  To comply with Wikipedia's , the introduction of this article needs a complete rewrite. 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 $3.3 billion and downgrades
total $11.3 billion. Additionally, $4.0 billion 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:
Morgan Stanley Capital I Inc. Trust 2006-HE1 --$104.2 million class A-2 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: 89.10, LCR: 3.35); --$207.8 million class A-3 affirmed at 'AAA', (BL: 56.31, LCR: 2.12); --$123.4 million class A-4 rated 'AAA', remains on Rating Watch Negative (BL: 48.00, LCR: 1.8); --$42.5 million class M-1 downgraded to 'BBB' from 'AA+' (BL: 41.57, LCR: 1.56); --$40.1 million class M-2 downgraded to 'BB' from 'AA' (BL: 35.75, LCR: 1.34); --$23.1 million class M-3 downgraded to 'B' from 'AA' (BL: 32.39, LCR: 1.22); --$20.6 million class M-4 downgraded to 'B' from 'AA-' (BL: 29.36, LCR: 1.1); --$20 million class M-5 downgraded to 'CCC' from 'A+' (BL: 26.43, LCR: 0.99); --$17.6 million class M-6 downgraded to 'CCC' from 'A' (BL: 23.81, LCR: 0.9); --$17.6 million class B-1 downgraded to 'CCC' from 'BBB+' (BL: 21.14, LCR: 0.79); --$16.4 million class B-2 downgraded to 'CC' from 'BBB' (BL: 18.76, LCR: 0.71); --$12.1 million class B-3 downgraded to 'CC' from 'BBB-' (BL: 17.25, LCR: 0.65). Deal Summary --Originators: WMC WMC Winter Music Conference WMC Weill Medical College (Cornell University) WMC Wisconsin Manufacturers and Commerce (Madison, WI) WMC Westchester Medical Center WMC Western Mining Corporation Mortgage (78%), Decision One (22%) --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. : 26.65% --Realized Losses to date (% of Original Balance): 2.46% --Expected Remaining Losses (% of Current balance): 26.59% --Cumulative Expected Losses (% of Original Balance): 17.41% Morgan Stanley Capital I Inc. Trust 2006-HE2 --$206.9 million class A-1 downgraded to 'AA' from 'AAA' (BL: 46.11, LCR: 1.6); --$130.2 million class A-2a affirmed at 'AAA', (BL: 93.26, LCR: 3.24); --$196.9 million class A-2b affirmed at 'AAA', (BL: 65.35, LCR: 2.27); --$295.5 million class A-2c downgraded to 'AA' from 'AAA' (BL: 49.65, LCR: 1.73); --$183.8 million class A-2d downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 44.91, LCR: 1.56); --$78.2 million class M-1 downgraded to 'BB' from 'AA+' (BL: 39.43, LCR: 1.37); --$71.4 million class M-2 downgraded to 'B' from 'AA' (BL: 34.63, LCR: 1.2); --$43.1 million class M-3 downgraded to 'B' from 'AA-' (BL: 31.72, LCR: 1.1); --$37.4 million class M-4 downgraded to 'B' from 'A+' (BL: 29.19, LCR: 1.01); --$36.3 million class M-5 downgraded to 'CCC' from 'A' (BL: 26.74, LCR: 0.93); --$32.9 million class M-6 downgraded to 'CCC' from 'BBB+' (BL: 24.49, LCR: 0.85); --$32.9 million class B-1 downgraded to 'CCC' from 'BBB' (BL: 22.05, LCR: 0.77); --$29.5 million class B-2 downgraded to 'CC' from 'BBB-' (BL: 19.79, LCR: 0.69); --$23.8 million class B-3 downgraded to 'CC' from 'BB+' (BL: 18.13, LCR: 0.63). Deal Summary --Originators: WMC Mortgage (73%), Decision One (27%) --60+ day Delinquency: 28.37% --Realized Losses to date (% of Original Balance): 1.88% --Expected Remaining Losses (% of Current balance): 28.77% --Cumulative Expected Losses (% of Original Balance): 20.53% Morgan Stanley ABS (Automatic Backup System) See backup program. Capital I Inc. Trust 2006-HE3 --$204.6 million class A-1 downgraded to 'A' from 'AAA' (BL: 47.42, LCR: 1.46); --$133.3 million class A-2a affirmed at 'AAA', (BL: 91.85, LCR: 2.83); --$194.4 million class A-2b rated 'AAA', remains on Rating Watch Negative (BL: 63.32, LCR: 1.95); --$272.5 million class A-2c downgraded to 'AA' from 'AAA' (BL: 49.19, LCR: 1.52); --$176.2 million class A-2d downgraded to 'A' from 'AAA' (BL: 44.51, LCR: 1.37); --$91.9 million class M-1 downgraded to 'B' from 'AA+' (BL: 37.88, LCR: 1.17); --$62.7 million class M-2 downgraded to 'B' from 'AA' (BL: 33.47, LCR: 1.03); --$37.6 million class M-3 downgraded to 'CCC' from 'AA-' (BL: 30.83, LCR: 0.95); --$33.4 million class M-4 downgraded to 'CCC' from 'A' (BL: 28.46, LCR: 0.88); --$33.4 million class M-5 downgraded to 'CCC' from 'BBB+' (BL: 26.08, LCR: 0.8); --$29.2 million class M-6 downgraded to 'CC' from 'BBB' (BL: 23.78, LCR: 0.73); --$29.2 million class B-1 downgraded to 'CC' from 'BBB-' (BL: 21.37, LCR: 0.66); --$26.1 million class B-2 downgraded to 'CC' from 'BB+' (BL: 19.20, LCR: 0.59); --$20.9 million class B-3 downgraded to 'CC' from 'BB' (BL: 17.58, LCR: 0.54). Deal Summary --Originators: WMC Mortgage (40%), New Century (41%), Decision One (19%) --60+ day Delinquency: 29.15% --Realized Losses to date (% of Original Balance): 1.74% --Expected Remaining Losses (% of Current balance): 32.42% --Cumulative Expected Losses (% of Original Balance): 23.53% Morgan Stanley ABS Capital I Inc. Trust 2006 HE4 --$230.8 million class A-1 affirmed at 'AAA', (BL: 77.23, LCR: 2.56); --$261.7 million class A-2 rated 'AAA', remains on Rating Watch Negative (BL: 60.15, LCR: 1.99); --$371 million class A-3 downgraded to 'AA' from 'AAA' (BL: 48.45, LCR: 1.6); --$238.4 million class A-4 downgraded to 'A' from 'AAA' (BL: 44.23, LCR: 1.46); --$74.5 million class M-1 downgraded to 'BB' from 'AA+' (BL: 39.18, LCR: 1.3); --$65.9 million class M-2 downgraded to 'B' from 'AA' (BL: 34.95, LCR: 1.16); --$40 million class M-3 downgraded to 'B' from 'AA-' (BL: 32.21, LCR: 1.07); --$34.6 million class M-4 downgraded to 'CCC' from 'A+' (BL: 29.80, LCR: 0.99); --$35.6 million class M-5 downgraded to 'CCC' from 'A-' (BL: 27.28, LCR: 0.9); --$32.4 million class M-6 downgraded to 'CCC' from 'BBB+' (BL: 24.90, LCR: 0.82); --$30.2 million class B-1 downgraded to 'CCC' from 'BBB' (BL: 22.59, LCR: 0.75); --$28.1 million class B-2 downgraded to 'CC' from 'BB+' (BL: 20.36, LCR: 0.67); --$21.6 million class B-3 downgraded to 'CC' from 'BB' (BL: 18.82, LCR: 0.62). Deal Summary --Originators: WMC Mortgage (45%), Decision One (37%), New Century (18%) --60+ day Delinquency: 29.24% --Realized Losses to date (% of Original Balance): 1.47% --Expected Remaining Losses (% of Current balance): 30.22% --Cumulative Expected Losses (% of Original Balance): 22.89% Morgan Stanley ABS Capital I Inc. Trust 2006-HE5 --$190.2 million class A-1 downgraded to 'A' from 'AAA' (BL: 48.75, LCR: 1.35); --$157.4 million class A-2a rated 'AAA', remains on Rating Watch Negative (BL: 71.51, LCR: 1.99); --$164.6 million class A-2b downgraded to 'AA' from 'AAA' (BL: 58.66, LCR: 1.63); --$181.9 million class A-2c downgraded to 'A' from 'AAA' (BL: 49.82, LCR: 1.38); --$123.9 million class A-2d downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 46.47, LCR: 1.29); --$75.2 million class M-1 downgraded to 'B' from 'AA+' (BL: 40.02, LCR: 1.11); --$59.2 million class M-2 downgraded to 'CCC' from 'AA' (BL: 35.05, LCR: 0.97); --$29.6 million class M-3 downgraded to 'CCC' from 'AA-' (BL: 32.57, LCR: 0.9); --$27.2 million class M-4 downgraded to 'CCC' from 'A' (BL: 30.28, LCR: 0.84); --$26.4 million class M-5 downgraded to 'CCC' from 'A-' (BL: 28.07, LCR: 0.78); --$24.8 million class M-6 downgraded to 'CC' from 'BBB+' (BL: 25.85, LCR: 0.72); --$23.2 million class B-1 downgraded to 'CC' from 'BBB-' (BL: 23.55, LCR: 0.65); --$21.6 million class B-2 downgraded to 'CC' from 'BB+' (BL: 21.40, LCR: 0.59); --$16.8 million class B-3 downgraded to 'CC' from 'BB' (BL: 19.88, LCR: 0.55). Deal Summary --Originators: New Century (63%), Decision One (32%) --60+ day Delinquency: 29.35% --Realized Losses to date (% of Original Balance): 1.68% --Expected Remaining Losses (% of Current balance): 36.01% --Cumulative Expected Losses (% of Original Balance): 28.22% Morgan Stanley ABS Capital I Inc. Trust 2006-HE6 --$225.5 million class A-1 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 44.41, LCR: 1.3); --$125.3 million class A-2a rated 'AAA', remains on Rating Watch Negative (BL: 61.98, LCR: 1.82); --$69 million class A-2b downgraded to 'AA' from 'AAA' (BL: 53.18, LCR: 1.56); --$174.1 million class A-2c downgraded to 'A' from 'AAA' (BL: 45.14, LCR: 1.32); --$111.1 million class A-2d downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 42.38, LCR: 1.24); --$166.1 million class A-2fpt downgraded to 'AA' from 'AAA' (BL: 53.18, LCR: 1.56); --$64 million class M-1 downgraded to 'B' from 'AA+' (BL: 36.89, LCR: 1.08); --$62.5 million class M-2 downgraded to 'CCC' from 'AA' (BL: 31.68, LCR: 0.93); --$22.8 million class M-3 downgraded to 'CCC' from 'AA-' (BL: 29.64, LCR: 0.87); --$30.9 million class M-4 downgraded to 'CCC' from 'A' (BL: 26.81, LCR: 0.79); --$23.5 million class M-5 downgraded to 'CC' from 'BBB+' (BL: 24.62, LCR: 0.72); --$21.3 million class M-6 downgraded to 'CC' from 'BBB' (BL: 22.53, LCR: 0.66); --$21.3 million class B-1 downgraded to 'CC' from 'BBB-' (BL: 20.37, LCR: 0.6); --$12.5 million class B-2 downgraded to 'CC' from 'BB+' (BL: 19.05, LCR: 0.56); --$17.6 million class B-3 downgraded to 'CC' from 'BB-' (BL: 17.29, LCR: 0.51). Deal Summary --Originators: New Century (68%), Decision One (32%) --60+ day Delinquency: 29.73% --Realized Losses to date (% of Original Balance): 1.17% --Expected Remaining Losses (% of Current balance): 34.14% --Cumulative Expected Losses (% of Original Balance): 28.75% Morgan Stanley Capital I Inc. Trust 2006-NC1 --$63.9 million class A-2 affirmed at 'AAA', (BL: 93.61, LCR: 4.52); --$217.4 million class A-3 affirmed at 'AAA', (BL: 58.85, LCR: 2.84); --$136.7 million class A-4 affirmed at 'AAA', (BL: 49.60, LCR: 2.39); --$44.1 million class M-1 affirmed at 'AA+', (BL: 43.06, LCR: 2.08); --$40.8 million class M-2 downgraded to 'A' from 'AA+' (BL: 37.22, LCR: 1.8); --$24 million class M-3 downgraded to 'BBB' from 'AA' (BL: 33.78, LCR: 1.63); --$20.7 million class M-4 downgraded to 'BB' from 'AA-' (BL: 30.79, LCR: 1.49); --$20.7 million class M-5 downgraded to 'BB' from 'A+' (BL: 27.80, LCR: 1.34); --$18.8 million class M-6 downgraded to 'B' from 'A' (BL: 25.04, LCR: 1.21); --$18.1 million class B-1 downgraded to 'B' from 'A-' (BL: 22.33, LCR: 1.08); --$16.2 million class B-2 downgraded to 'CCC' from 'BBB+' (BL: 20.02, LCR: 0.97); --$13.6 million class B-3 downgraded to 'CCC' from 'BBB' (BL: 18.36, LCR: 0.89). Deal Summary --Originators: New Century (100%) --60+ day Delinquency: 23.64% --Realized Losses to date (% of Original Balance): 0.83% --Expected Remaining Losses (% of Current balance): 20.72% --Cumulative Expected Losses (% of Original Balance): 11.87% Morgan Stanley Capital I Inc. Trust 2006-NC2 --$185.7 million class A-1 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 47.20, LCR: 1.59); --$21 million class A-2a affirmed at 'AAA', (BL: 98.31, LCR: 3.32); --$102.2 million class A-2b affirmed at 'AAA', (BL: 71.56, LCR: 2.41); --$156 million class A-2c downgraded to 'AA' from 'AAA' (BL: 50.53, LCR: 1.7); --$100 million class A-2d downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 44.67, LCR: 1.51); --$54 million class M-1 downgraded to 'BB' from 'AA+' (BL: 38.15, LCR: 1.29); --$41.2 million class M-2 downgraded to 'B' from 'AA+' (BL: 33.30, LCR: 1.12); --$24.9 million class M-3 downgraded to 'B' from 'AA' (BL: 30.37, LCR: 1.02); --$22 million class M-4 downgraded to 'CCC' from 'A+' (BL: 27.76, LCR: 0.94); --$22 million class M-5 downgraded to 'CCC' from 'A' (BL: 25.14, LCR: 0.85); --$19.9 million class M-6 downgraded to 'CCC' from 'BBB+' (BL: 22.67, LCR: 0.76); --$19.9 million class B-1 downgraded to 'CC' from 'BBB' (BL: 20.06, LCR: 0.68); --$15.6 million class B-2 downgraded to 'CC' from 'BBB-' (BL: 17.98, LCR: 0.61); --$14.2 million class B-3 downgraded to 'CC' from 'BB' (BL: 16.32, LCR: 0.55). Deal Summary --Originators: New Century (100%) --60+ day Delinquency: 30.16% --Realized Losses to date (% of Original Balance): 0.96% --Expected Remaining Losses (% of Current balance): 29.65% --Cumulative Expected Losses (% of Original Balance): 18.57% Morgan Stanley Capital I Inc. Trust 2006-NC3 --$221 million class A-1 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 44.24, LCR: 1.66); --$37.4 million class A-2a affirmed at 'AAA', (BL: 96.33, LCR: 3.62); --$104.8 million class A-2b affirmed at 'AAA', (BL: 65.45, LCR: 2.46); --$149.6 million class A-2c rated 'AAA', remains on Rating Watch Negative (BL: 49.24, LCR: 1.85); --$97.6 million class A-2d downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 43.90, LCR: 1.65); --$54 million class M-1 downgraded to 'BB' from 'AA+' (BL: 37.75, LCR: 1.42); --$44.9 million class M-2 downgraded to 'B' from 'AA' (BL: 32.76, LCR: 1.23); --$25.3 million class M-3 downgraded to 'B' from 'AA' (BL: 29.95, LCR: 1.13); --$22.5 million class M-4 downgraded to 'B' from 'A+' (BL: 27.44, LCR: 1.03); --$21.8 million class M-5 downgraded to 'CCC' from 'A' (BL: 25.02, LCR: 0.94); --$20.4 million class M-6 downgraded to 'CCC' from 'A-' (BL: 22.72, LCR: 0.85); --$18.9 million class B-1 downgraded to 'CCC' from 'BBB+' (BL: 20.37, LCR: 0.77); --$16.1 million class B-2 downgraded to 'CC' from 'BBB-' (BL: 18.38, LCR: 0.69); --$14 million class B-3 downgraded to 'CC' from 'BB+' (BL: 16.83, LCR: 0.63). Deal Summary --Originators: New Century (100%) --60+ day Delinquency: 25.15% --Realized Losses to date (% of Original Balance): 1.11% --Expected Remaining Losses (% of Current balance): 26.58% --Cumulative Expected Losses (% of Original Balance): 18.01% Morgan Stanley Capital I Inc. Trust 2006-NC4 --$297.1 million class A-1 downgraded to 'A' from 'AAA' (BL: 48.90, LCR: 1.35); --$137.9 million class A-2a affirmed at 'AAA', (BL: 80.13, LCR: 2.21); --$182 million class A-2b downgraded to 'AA' from 'AAA' (BL: 62.73, LCR: 1.73); --$234.1 million class A-2c downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 51.06, LCR: 1.41); --$145.6 million class A-2d downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 47.25, LCR: 1.3); --$102.5 million class M-1 downgraded to 'B' from 'AA+' (BL: 40.27, LCR: 1.11); --$100.3 million class M-2 downgraded to 'CCC' from 'AA' (BL: 33.57, LCR: 0.92); --$34.5 million class M-3 downgraded to 'CCC' from 'AA-' (BL: 31.27, LCR: 0.86); --$38.8 million class M-4 downgraded to 'CCC' from 'A+' (BL: 28.58, LCR: 0.79); --$34.5 million class M-5 downgraded to 'CC' from 'A-' (BL: 26.10, LCR: 0.72); --$30.2 million class M-6 downgraded to 'CC' from 'BBB+' (BL: 23.86, LCR: 0.66); --$31.3 million class B-1 downgraded to 'CC' from 'BBB-' (BL: 21.40, LCR: 0.59); --$23.7 million class B-2 downgraded to 'CC' from 'BB+' (BL: 19.47, LCR: 0.54); --$22.6 million class B-3 downgraded to 'C' from 'BB' (BL: 17.80, LCR: 0.49). Deal Summary --Originators: New Century (100%) --60+ day Delinquency: 31.60% --Realized Losses to date (% of Original Balance): 1.17% --Expected Remaining Losses (% of Current balance): 36.31% --Cumulative Expected Losses (% of Original Balance): 26.12% Morgan Stanley Captial I Inc. Trust 2006-WMC1 --$94.7 million class A-1 affirmed at 'AAA', (BL: 58.45, LCR: 2.22); --$50.5 million class A-2a affirmed at 'AAA', (BL: 93.00, LCR: 3.53); --$124.9 million class A-2b affirmed at 'AAA', (BL: 62.30, LCR: 2.36); --$91.6 million class A-2c rated 'AAA', remains on Rating Watch Negative (BL: 51.80, LCR: 1.97); --$43.4 million class M-1 downgraded to 'A' from 'AA+' (BL: 45.61, LCR: 1.73); --$39.4 million class M-2 downgraded to 'BB' from 'AA+' (BL: 39.28, LCR: 1.49); --$29.1 million class M-3 downgraded to 'BB' from 'AA' (BL: 34.58, LCR: 1.31); --$19.4 million class M-4 downgraded to 'B' from 'AA-' (BL: 31.43, LCR: 1.19); --$19.4 million class M-5 downgraded to 'B' from 'A+' (BL: 28.28, LCR: 1.07); --$17.1 million class M-6 downgraded to 'CCC' from 'A' (BL: 25.47, LCR: 0.97); --$18.3 million class B-1 downgraded to 'CCC' from 'A-' (BL: 22.42, LCR: 0.85); --$14.3 million class B-2 downgraded to 'CCC' from 'BBB+' (BL: 20.12, LCR: 0.76); --$13.7 million class B-3 downgraded to 'CC' from 'BBB' (BL: 18.27, LCR: 0.69). Deal Summary --Originators: WMC 100% --60+ day Delinquency: 27.42% --Realized Losses to date (% of Original Balance): 2.38% --Expected Remaining Losses (% of Current balance): 26.35% --Cumulative Expected Losses (% of Original Balance): 16.61% Morgan Stanley Capital I Inc. Trust 2006-WMC2 --$371.4 million class A-1 downgraded to 'A' from 'AAA', remains on Rating Watch Negative (BL: 42.28, LCR: 1.28); --$141.2 million class A-2a rated 'AAA', remains on Rating Watch Negative (BL: 60.81, LCR: 1.84); --$115.9 million class A-2b downgraded to 'AA' from 'AAA' (BL: 51.46, LCR: 1.56); --$335 million class A-2c downgraded to 'A' from 'AAA' (BL: 43.44, LCR: 1.31); --$242.8 million class A-2d downgraded to 'BBB' from 'AAA', remains on Rating Watch Negative (BL: 40.24, LCR: 1.22); --$281.6 million class A-2fpt downgraded to 'AA' from 'AAA' (BL: 51.46, LCR: 1.56); --$89.8 million class M-1 downgraded to 'B' from 'AA+' (BL: 35.52, LCR: 1.07); --$72.9 million class M-2 downgraded to 'CCC' from 'A' (BL: 31.86, LCR: 0.96); --$45.6 million class M-3 downgraded to 'CCC' from 'A-' (BL: 29.56, LCR: 0.89); --$41.6 million class M-4 downgraded to 'CCC' from 'BBB+' (BL: 27.46, LCR: 0.83); --$40.3 million class M-5 downgraded to 'CCC' from 'BBB' (BL: 25.42, LCR: 0.77); --$36.4 million class M-6 downgraded to 'CC' from 'BBB-' (BL: 23.51, LCR: 0.71); --$35.1 million class B-1 downgraded to 'CC' from 'BB' (BL: 21.33, LCR: 0.64); --$27.3 million class B-2 downgraded to 'CC' from 'BB-' (BL: 19.60, LCR: 0.59); --$26 million class B-3 downgraded to 'CC' from 'B+' (BL: 18.08, LCR: 0.55). Deal Summary --Originators: WMC 100% --60+ day Delinquency: 31.26% --Realized Losses to date (% of Original Balance): 1.97% --Expected Remaining Losses (% of Current balance): 33.09% --Cumulative Expected Losses (% of Original Balance): 26.92% Morgan Stanley Home Equity Loan Trust 2006-1 --$167.7 million class A-1 affirmed at 'AAA', (BL: 53.18, LCR: 2.26); --$46.8 million class A-2a affirmed at 'AAA', (BL: 91.25, LCR: 3.88); --$104.8 million class A-2b affirmed at 'AAA', (BL: 63.01, LCR: 2.68); --$77.4 million class A-2c affirmed at 'AAA', (BL: 51.23, LCR: 2.18); --$44.8 million class M-1 rated 'AA+', remains on Rating Watch Negative (BL: 44.47, LCR: 1.89); --$41.1 million class M-2 downgraded to 'A' from 'AA+' (BL: 38.48, LCR: 1.64); --$25.2 million class M-3 downgraded to 'BB' from 'AA' (BL: 34.79, LCR: 1.48); --$22.1 million class M-4 downgraded to 'BB' from 'AA' (BL: 31.54, LCR: 1.34); --$20.9 million class M-5 downgraded to 'B' from 'AA-' (BL: 28.47, LCR: 1.21); --$18.4 million class M-6 downgraded to 'B' from 'A+' (BL: 25.71, LCR: 1.09); --$18.4 million class B-1 downgraded to 'CCC' from 'A' (BL: 22.87, LCR: 0.97); --$16.6 million class B-2 downgraded to 'CCC' from 'A-' (BL: 20.49, LCR: 0.87); --$14.7 million class B-3 downgraded to 'CC' from 'BBB+' (BL: 15.49, LCR: 0.66). Deal Summary --Originators: Decision One (25%), First NLC NLC National League of Cities NLC National Library of Canada NLC National Library of China NLC Northern Lights College (British Columbia, Canada) NLC North Lake College (Irving, Texas) (24%), Wilmington Wilmington. 1 City (1990 pop. 71,529), seat of New Castle co., NE Del., on the Delaware River and tributary streams, the Christina and the Brandywine; settled 1638, inc. as a city 1832. (17%), Countrywide coun·try·wide adv. & adj. Throughout a whole country; nationwide: launched a fundraising campaign countrywide; a countrywide search. Adj. 1. (15%), Accredited accredited recognition by an appropriate authority that the performance of a particular institution has satisfied a prestated set of criteria. accredited herds cattle herds which have achieved a low level of reactors to, e.g. (10%) --60+ day Delinquency: 24.11% --Realized Losses to date (% of Original Balance): 1.10% --Expected Remaining Losses (% of Current balance): 23.51% --Cumulative Expected Losses (% of Original Balance): 14.13% Morgan Stanley Home Equity Loan Trust 2006-2 --$58.9 million class A-1 affirmed at 'AAA', (BL: 95.33, LCR: 4.03); --$111 million class A-2 affirmed at 'AAA', (BL: 68.67, LCR: 2.9); --$163.6 million class A-3 affirmed at 'AAA', (BL: 52.90, LCR: 2.24); --$92.8 million class A-4 affirmed at 'AAA', (BL: 48.10, LCR: 2.03); --$37.9 million class M-1 downgraded to 'A' from 'AA+' (BL: 42.16, LCR: 1.78); --$34.9 million class M-2 downgraded to 'BBB' from 'AA' (BL: 36.86, LCR: 1.56); --$20.9 million class M-3 downgraded to 'BB' from 'AA' (BL: 33.67, LCR: 1.42); --$18.4 million class M-4 downgraded to 'BB' from 'AA-' (BL: 30.85, LCR: 1.3); --$16.9 million class M-5 downgraded to 'B' from 'A+' (BL: 28.27, LCR: 1.19); --$16.4 million class M-6 downgraded to 'B' from 'A' (BL: 25.73, LCR: 1.09); --$14.9 million class B-1 downgraded to 'CCC' from 'A-' (BL: 23.38, LCR: 0.99); --$14.4 million class B-2 downgraded to 'CCC' from 'BBB+' (BL: 21.04, LCR: 0.89); --$10.5 million class B-3 downgraded to 'CCC' from 'BBB' (BL: 19.51, LCR: 0.82). Deal Summary --Originators: AIG AIG addressee indicator group (US DoD) AIG American International Group, Inc AiG Answers in Genesis (religious group in defense of Scripture) AIG Artificial Intelligence Group AIG Australian Industry Group (45%), Accredited (26%), Meritage Meritage is a word used to distinguish wines that are made in the style of Bordeaux but without infringing on that region's legally protected appellation. Winemakers must license the right to use the trademark "Meritage" for their wines from The Meritage Association. (19%), First NLC (9%) --60+ day Delinquency: 22.64% --Realized Losses to date (% of Original Balance): 1.38% --Expected Remaining Losses (% of Current balance): 23.67% --Cumulative Expected Losses (% of Original Balance): 16.83% Morgan Stanley Home Equity Loan Trust 2006-3 --$106.5 million class A-1 affirmed at 'AAA', (BL: 90.54, LCR: 2.82); --$132.4 million class A-2 affirmed at 'AAA', (BL: 64.07, LCR: 2); --$184.9 million class A-3 downgraded to 'AA' from 'AAA' (BL: 50.36, LCR: 1.57); --$111.8 million class A-4 downgraded to 'A' from 'AAA' (BL: 45.74, LCR: 1.43); --$41.5 million class M-1 downgraded to 'BB' from 'AA+' (BL: 40.29, LCR: 1.26); --$38.7 million class M-2 downgraded to 'B' from 'AA' (BL: 35.35, LCR: 1.1); --$22.4 million class M-3 downgraded to 'B' from 'AA' (BL: 32.49, LCR: 1.01); --$20.2 million class M-4 downgraded to 'CCC' from 'A+' (BL: 29.91, LCR: 0.93); --$19.1 million class M-5 downgraded to 'CCC' from 'A' (BL: 27.47, LCR: 0.86); --$17.4 million class M-6 downgraded to 'CCC' from 'BBB+' (BL: 25.22, LCR: 0.79); --$17.4 million class B-1 downgraded to 'CC' from 'BBB' (BL: 22.91, LCR: 0.71); --$15.7 million class B-2 downgraded to 'CC' from 'BBB-' (BL: 20.58, LCR: 0.64); --$12.3 million class B-3 downgraded to 'CC' from 'BB' (BL: 18.92, LCR: 0.59). Deal Summary --Originators: AIG (31%), Aegis (20%), Meritage (20%), ResMae (11%) --60+ day Delinquency: 29.46% --Realized Losses to date (% of Original Balance): 2.14% --Expected Remaining Losses (% of Current balance): 32.06% --Cumulative Expected Losses (% of Original Balance): 24.30% Morgan Stanley IXIS Real Estate Capital Trust 2006-1 --$70.9 million class A-1 affirmed at 'AAA', (BL: 75.89, LCR: 2.26); --$64.4 million class A-2 rated 'AAA', remains on Rating Watch Negative (BL: 61.87, LCR: 1.84); --$219.3 million class A-3 downgraded to 'AA' from 'AAA', remains on Rating Watch Negative (BL: 49.57, LCR: 1.48); --$121.5 million class A-4 downgraded to 'A' from 'AAA' (BL: 45.73, LCR: 1.36); --$149.7 million class A-fpt rated 'AAA', remains on Rating Watch Negative (BL: 61.87, LCR: 1.84); --$47.6 million class M-1 downgraded to 'B' from 'AA+' (BL: 40.29, LCR: 1.2); --$43.7 million class M-2 downgraded to 'B' from 'AA' (BL: 35.49, LCR: 1.06); --$25.7 million class M-3 downgraded to 'CCC' from 'AA-' (BL: 32.67, LCR: 0.97); --$23.1 million class M-4 downgraded to 'CCC' from 'A+' (BL: 30.13, LCR: 0.9); --$21.9 million class M-5 downgraded to 'CCC' from 'A' (BL: 27.72, LCR: 0.83); --$21.2 million class M-6 downgraded to 'CCC' from 'A-' (BL: 25.37, LCR: 0.76); --$19.3 million class B-1 downgraded to 'CC' from 'BBB' (BL: 22.95, LCR: 0.68); --$18.6 million class B-2 downgraded to 'CC' from 'BBB-' (BL: 20.55, LCR: 0.61); --$14.1 million class B-3 downgraded to 'CC' from 'BB' (BL: 18.86, LCR: 0.56). Deal Summary --Originators: First NLC (27%), Meritage (18%), Accredited (15%), Wilmington (13%) --60+ day Delinquency: 32.12% --Realized Losses to date (% of Original Balance): 1.69% --Expected Remaining Losses (% of Current balance): 33.57% --Cumulative Expected Losses (% of Original Balance): 25.19% 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 criteria (krītēr´ē  ),n. for Recent Vintage
Vintage, in wine-making, is the process of picking grapes and creating the finished product. A vintage wine is one made from grapes that were all, or primarily, grown in a single specified year. U.S. Subprime RMBS' (Aug. 8, 2007); --'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June June: see month. 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 Restrictions on the accessibility and dissemination of information. Confidentiality is one of the six fundamental components of information security (see Parkerian Hexad). , conflicts of interest, affiliate Affiliate Relationship between two companies when one company owns substantial interest, but less than a majority of the voting stock of another company, or when two companies are both subsidiaries of a third company. See: Subsidiaries, parent company. 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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