Moody's downgrades Lehman XS Alt-A deals
New York, January 14, 2008 -- Moody's Investors Service has downgraded the ratings of 43 tranches and
has placed under review for possible downgrade the ratings of 31 other
tranches from 5 deals issued by Lehman XS in 2007. Additionally,
3 downgraded tranches remain on review for possible further downgrade.
The collateral backing these classes consists of primarily first lien,
fixed and adjustable-rate, Alt-A mortgage loans.
The ratings were downgraded and placed under review for downgrade based
on higher than anticipated rates of delinquency, foreclosure,
and REO in the underlying collateral relative to credit enhancement levels.
In its re-rating Moody's has also applied its published methodology
updates to the non delinquent portion of the transactions.
Complete list of rating actions:
Issuer: Lehman XS Trust 2007-6
Cl. I-M2, Currently Aa1 on review for possible downgrade,
Cl. I-M3, Currently Aa2 on review for possible downgrade,
Cl. I-M4, Currently Aa3 on review for possible downgrade,
Cl. I-M5, Downgraded to Baa3, previously A1,
Cl. I-M6, Downgraded to Ba3, previously A2,
Cl. I-M7, Downgraded to B3, previously A3,
Cl. I-M8, Downgraded to Caa2, previously Baa1,
Cl. I-M9, Downgraded to Caa3, previously Baa2,
Cl. I-M10, Downgraded to Ca, previously Baa3,
Cl. II-M1, Currently Aa1 on review for possible downgrade,
Cl. II-M2, Currently Aa2 on review for possible downgrade,
Cl. II-M3, Currently Aa3 on review for possible downgrade,
Cl. II-M4, Downgraded to Baa3, previously A1,
Cl. II-M5, Downgraded to Ba2, previously A2,
Cl. II-M6, Downgraded to Ba3, previously A3,
Cl. II-M7, Downgraded to B1, previously Baa1,
Cl. II-M8, Downgraded to B3 on review for possible
further downgrade, previously Baa2.
Issuer: Lehman XS Trust Mortgage Pass-Through Certificates,
Series 2007-3
Cl. 1A-A2, Currently Aaa on review for possible downgrade,
Cl. 1B-A3, Currently Aaa on review for possible downgrade,
Cl. 1-M1, Currently Aa1 on review for possible downgrade,
Cl. 1-M2, Currently Aa2 on review for possible downgrade,
Cl. 1-M3, Currently Aa3 on review for possible downgrade,
Cl. 1-M4, Downgraded to Baa2, previously A1,
Cl. 1-M5, Downgraded to Ba1, previously A2,
Cl. 1-M6, Downgraded to Ba3, previously A3,
Cl. 1-M7, Downgraded to Caa1, previously Baa2,
Cl. 3-M1, Currently Aa1 on review for possible downgrade,
Cl. 3-M2, Currently Aa2 on review for possible downgrade,
Cl. 3-M3, Currently Aa3 on review for possible downgrade,
Cl. 3-M4, Downgraded to Ba2, previously A2,
Cl. 3-M5, Downgraded to B3, previously A3,
Cl. 4-M1, Currently Aa2 on review for possible downgrade,
Cl. 4-M2, Currently Aa3 on review for possible downgrade,
Cl. 4-M3, Downgraded to Baa3, previously A2,
Cl. 4-M4, Downgraded to Ba2, previously A3,
Cl. 4-M5, Downgraded to Caa1, previously Baa2,
Cl. 4-M6, Downgraded to Caa2, previously Baa3,
Cl. 2-A4, Currently Aaa on review for possible downgrade,
Cl. 2-M1, Currently Aa1 on review for possible downgrade,
Cl. 2-M2, Currently Aa2 on review for possible downgrade,
Cl. 2-M3, Currently Aa3 on review for possible downgrade,
Cl. 2-M4, Downgraded to Ba1, previously A1,
Cl. 2-M5, Downgraded to Ba2, previously A2,
Cl. 2-M6, Downgraded to B1, previously A3,
Cl. 2-M7, Downgraded to B2, previously Baa1,
Cl. 2-M8, Downgraded to B3 on review for possible
further downgrade, previously Baa2,
Cl. 2-M9, Downgraded to Caa2, previously Baa3.
Issuer: Lehman XS Trust Series 2007-1
Cl. 1-A5, Currently Aaa on review for possible downgrade,
Cl. 2-A1, Currently Aaa on review for possible downgrade,
Cl. M1, Currently Aa1 on review for possible downgrade,
Cl. M2, Currently Aa2 on review for possible downgrade,
Cl. M3, Currently Aa3 on review for possible downgrade,
Cl. M4, Downgraded to Ba1, previously A1,
Cl. M5, Downgraded to Ba3, previously A2,
Cl. M6, Downgraded to B3, previously A3,
Cl. WF-M3, Currently Aa3 on review for possible downgrade,
Cl. WF-M4, Downgraded to Baa3, previously A3,
Cl. WF-M5, Downgraded to B1, previously Baa2,
Cl. WF-M6, Downgraded to B3, previously Baa3,
Cl. WF-M7, Downgraded to Caa2, previously Ba2.
Issuer: Lehman XS Trust Series 2007-5H
Cl. 3-A2, Currently Aaa on review for possible downgrade,
Cl. II-M1, Currently Aa2 on review for possible downgrade.
Issuer: Lehman XS Trust Series 2007-9
Cl. I-M1, Currently Aa1 on review for possible downgrade,
Cl. I-M2, Currently Aa2 on review for possible downgrade,
Cl. I-M3, Currently Aa2 on review for possible downgrade,
Cl. I-M4, Downgraded to Ba1, previously A1,
Cl. I-M5, Downgraded to Ba2, previously A2,
Cl. I-M6, Downgraded to Ba3, previously A3,
Cl. I-M7, Downgraded to B1, previously Baa1,
Cl. I-M8, Downgraded to B2, previously Baa2,
Cl. I-M9, Downgraded to B3 on review for possible
further downgrade, previously Baa3,
Cl. WF-M7, Downgraded to Baa2, previously Baa1,
Cl. WF-M8, Downgraded to Baa3, previously Baa2,
Cl. WF-M9, Downgraded to Ba2, previously Baa3.
For further information please see www.Moodys.com
New York
Navneet Agarwal
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653