Fitch Affirms $98.5MM and Downgrades $120.9MM from 3 Terwin Second Lien Transactions.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 three Terwin Mortgage Asset Securities Corporation 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 . Affirmations total $98.5 million and downgrades total $120.9 million. Break Loss percentages (BL) and Loss Coverage Ratios (LCR See least cost routing. ) for each class, rated B or higher, are included with the rating actions as follows: Terwin 2006-6 Group 2 --$20.8 million class II-A-1 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: 79.71, LCR: 1.68); --$13 million class II-A-2 downgraded to 'BBB+' from 'AAA' (BL: 64.58, LCR: 1.34); --$17.1 million class II-M-1A, II-M-1B downgraded to 'B' from 'AA' (BL: 38.62, LCR: 0.8); --$2.3 million class II-M-2 downgraded to 'C/DR6' from 'AA-'; --$4.3 million class II-M-3 downgraded to 'C/DR6' from 'A'; --$2.1 million class II-B-1 downgraded to 'C/DR6' from 'A-'; --$1.9 million class II-B-2 downgraded to 'C/DR6' from 'BBB+'; --$1.8 million class II-B-3 downgraded to 'C/DR6' from 'BBB'; --$1.6 million class II-B-4 downgraded to 'C/DR6' from 'BB-'. Deal Summary --Originators: Various; --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. : 10.89%; --Realized Losses to date (% of Original Balance): 6.78%; --Expected Remaining Losses (% of Current Balance): 47.43%; --Cumulative Expected Losses (% of Original Balance): 37.75%. Terwin 2006-8 Group 2 --$40.4 million class II-A1 affirmed at 'AAA' (BL: 70.53, LCR: 1.46) --$16.9 million class II-A2 downgraded to 'BBB-' from 'AAA' (BL: 57.69, LCR: 1.18); --$21.3 million class II-M-1 downgraded to 'CC/DR4' from 'AA'; --$2.7 million class II-M-2 downgraded to 'C/DR6' from 'AA-'; --$5.9 million class II-M-3 downgraded to 'C/DR6' from 'A'; --$2.4 million class II-B-1 downgraded to 'C/DR6' from 'A-'; --$2.4 million class II-B-2 downgraded to 'C/DR6' from 'BBB+'; --$2.2 million class II-B-3 downgraded to 'C/DR6' from 'BBB'; --$2.8 million class II-B-4 downgraded to 'C/DR6' from 'BB-'; --$1.6 million class II-B-5 downgraded to 'C/DR6' from 'B+'. Deal Summary --Originators: Various; --60+ day Delinquency: 10.32%; --Realized Losses to date (% of Original Balance): 6.56%; --Expected Remaining Losses (% of Current Balance): 48.18%; --Cumulative Expected Losses (% of Original Balance): 43.32%. Terwin 2006-HF1 --$22.7 million class A-1a, A-1b affirmed at 'AAA' (BL: 79.07, LCR: 2.75) --$11.9 million class M-1 affirmed at 'AA+' (BL: 57.97, LCR: 2.02) --$2.7 million class M-2 affirmed at 'AA' (BL: 53.07, LCR: 1.85) --$5 million class M-3 downgraded to 'A' from 'A+' (BL: 44.16, LCR: 1.54) --$2 million class B-1 downgraded to 'A-' from 'A' (BL: 40.49, LCR: 1.41) --$2.2 million class B-2 downgraded to 'BBB' from 'A-' (BL: 36.55, LCR: 1.27) --$2.1 million class B-3 downgraded to 'BBB-' from 'BBB+' (BL: 32.70, LCR: 1.14) --$2.1 million class B-4 downgraded to 'BB' from 'BBB' (BL: 28.92, LCR: 1.01) --$4.5 million class B-5 downgraded to 'C/DR6' from 'CCC'; --$0.7 million class B-6 remains at 'C/DR6'. Deal Summary --Originators: Various; --60+ day Delinquency: 7.07%; --Realized Losses to date (% of Original Balance): 5.50%; --Expected Remaining Losses (% of Current Balance): 28.74%; --Cumulative Expected Losses (% of Original Balance): 21.31%. In addition, all of the above classes except for class B-6 of series 2006-HF1 are removed from Rating Watch Negative. The rating actions are based on changes that Fitch 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 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Minimum LCR's specifically for subprime second lien A Second lien financing is a form of financing secured on a second ranking basis by (more or less) the same security, which secures the first ranking financing. The first lien lenders and the second lien lenders agree that, in the event of a security enforcement or bankruptcy, the transactions are as follows: AAA AAA: see American Automobile Association. (Triple A) A common single-cell battery used in a myriad of electronic devices of all variety. Like its double A (AA) cousin, it provides 1.5 volts of DC power. When used in series, the voltage is multiplied. : 2.00; AA: 1.75; A: 1.50; BBB BBB A medium grade assigned to a debt obligation by a rating agency to indicate an adequate ability to pay interest and repay principal. However, adverse developments are more likely to impair this ability than would be the case for bonds rated A and above. : 1.20; BB 0.95; B: 0.75. Also, with regard to subprime second lien transactions, ratings on bonds expected to pay off within 36 months are affirmed. Additional details are available in the following research, available at www.fitchratings.com --'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 RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities is available at www.fitchratings.com/subprime. 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. |
|
||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion