Moody's downgrades Lehman XS Alt-A deals from 2006 and late 2005
New York, November 12, 2007 -- Moody's Investors Service has downgraded the ratings of 77 tranches and
has placed under review for possible downgrade the ratings of 34 tranches
from 16 deals issued by Lehman XS Trust in 2006 and late 2005.
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 analysis Moody's has also incorporated its published methodology
updates to the non delinquent portion of the transactions.
Issuer: Lehman XS Trust Series 2005-3
Cl. 1-M3, Downgraded to B1, previously Baa2,
Cl. 2-M2, Downgraded to Baa1, previously A2,
Cl. 2-M3, Downgraded to Caa1, previously Baa2,
Issuer: Lehman XS Trust Series 2005-6
Cl. M2, Downgraded to Baa2, previously A3,
Cl. 3-M3, Downgraded to Ba1, previously Baa3,
Issuer: Lehman XS Trust Series 2005-8
Cl. 1-M1 Currently Aa2 on review for possible downgrade,
Cl. 1-M2 Currently Aa3 on review for possible downgrade,
Cl. 1-M3, Downgraded to Baa3, previously A2,
Cl. 1-M4, Downgraded to Ba3, previously A3,
Cl. 1-M5, Downgraded to Caa3, previously Baa2,
Cl. 1-M6, Downgraded to C, previously Baa3,
Cl. 2-M6, Downgraded to Ba1, previously Baa3,
Issuer: Lehman XS Trust Series 2005-10
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 B2, previously A2,
Cl. 1-M5, Downgraded to Ca, previously Baa1,
Cl. 2-M5, Downgraded to Ba1, previously Baa3,
Issuer: Lehman XS Trust Series 2006-1
Cl. 1-M5, Downgraded to Baa1, previously A3,
Cl. 1-M6, Downgraded to Ba1, previously Baa2,
Cl. 1-M7, Downgraded to B1, previously Baa3,
Cl. 2-M5, Downgraded to Ba1, previously Baa2,
Issuer: Lehman XS Trust Series 2006-3
Cl. M3 Currently Aa3 on review for possible downgrade,
Cl. M4, Downgraded to Baa1, previously A2,
Cl. M5, Downgraded to Baa2, previously A3,
Cl. M6, Downgraded to B2, previously Baa2,
Cl. M7, Downgraded to Ca, previously Baa3,
Issuer: Lehman XS Trust Series 2006-5
Cl. M5, Downgraded to A3, previously A2,
Cl. M6, Downgraded to Baa1, previously A3,
Cl. M7, Downgraded to Baa3, previously Baa1,
Cl. M8, Downgraded to Ba2, previously Baa2,
Cl. M9, Downgraded to B1, previously Baa3,
Issuer: Lehman XS Trust Series 2006-7
Cl. M3 Currently Aa3 on review for possible downgrade,
Cl. M4, Downgraded to A2, previously A1,
Cl. M5, Downgraded to Baa1, previously A2,
Cl. M6, Downgraded to Baa2, previously A3,
Cl. M7, Downgraded to Ba1, previously Baa1,
Cl. M8, Downgraded to Ba2, previously Baa2,
Cl. M9, Downgraded to B2, previously Baa3,
Issuer: Lehman XS Trust Series 2006-8
Cl. M5 Currently Aa3 on review for possible downgrade,
Cl. M6, Downgraded to A2, previously A1,
Cl. M7, Downgraded to Baa1, previously A2,
Cl. M8, Downgraded to Ba2, previously Baa1,
Cl. M9, Downgraded to B1, previously Baa3,
Issuer: Lehman XS Trust Series 2006-9
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 A2, previously A1,
Cl. M5, Downgraded to Baa2, previously A2,
Cl. M6, Downgraded to Baa3, previously A3,
Cl. M7, Downgraded to Ba2, previously Baa1,
Cl. M8, Downgraded to B1, previously Baa2,
Cl. M9, Downgraded to Caa2, previously Baa3,
Issuer: Lehman XS Trust Series 2006-11
Cl. M1 Currently Aa1 on review for possible downgrade,
Cl. M2 Currently Aa2 on review for possible downgrade,
Cl. M3 Currently Aa2 on review for possible downgrade,
Cl. M4 Currently Aa3 on review for possible downgrade,
Cl. M5, Downgraded to A3, previously A1,
Cl. M6, Downgraded to Baa2, previously A2,
Cl. M7, Downgraded to Baa3, previously A3,
Cl. M8, Downgraded to Ba3, previously Baa1,
Cl. M9, Downgraded to Caa1, previously Baa2,
Issuer: Lehman XS Trust Series 2006-13
Cl. 1-M1 Currently Aa1 on review for possible downgrade,
Cl. 1-M2 Currently Aa2 on review for possible downgrade,
Cl. 1-M3 Currently Aa2 on review for possible downgrade,
Cl. 1-M4 Currently Aa3 on review for possible downgrade,
Cl. 1-M5, Downgraded to A3, previously A1,
Cl. 1-M6, Downgraded to Baa2, previously A2,
Cl. 1-M7, Downgraded to Baa3, previously A3,
Cl. 1-M8, Downgraded to Ba2, previously Baa1,
Cl. 1-M9, Downgraded to B3, previously Baa3,
Cl. 2-M2 Currently Aa3 on review for possible downgrade,
Cl. 2-M3, Downgraded to Baa1, previously A2,
Cl. 2-M4, Downgraded to Ba2, previously Baa2,
Cl. 2-M5, Downgraded to B3, previously Baa3,
Issuer: Lehman XS Trust Series 2006-15
Cl. M1 Currently Aa1 on review for possible downgrade,
Cl. M2 Currently Aa2 on review for possible downgrade,
Cl. M3 Currently Aa2 on review for possible downgrade,
Cl. M4 Currently Aa3 on review for possible downgrade,
Cl. M5, Downgraded to A3, previously A1,
Cl. M6, Downgraded to Baa1, previously A2,
Cl. M7, Downgraded to Baa2, previously A3,
Cl. M8, Downgraded to Ba2, previously Baa2,
Cl. M9, Downgraded to B1, previously Baa3,
Issuer: Lehman XS Trust 2006-17
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 A3, previously A1,
Cl. 1-M5, Downgraded to Baa2, previously A2,
Cl. 1-M6, Downgraded to Baa3, previously A3,
Cl. 1-M7, Downgraded to Ba3, previously Baa2,
Cl. 1-M8, Downgraded to B3, previously Baa3,
Cl. WF-M9, Downgraded to Ba1, previously Baa3,
Issuer: Lehman XS Trust 2006-19
Cl. M1 Currently Aa1 on review for possible downgrade,
Cl. M2 Currently Aa2 on review for possible downgrade,
Cl. M3 Currently Aa2 on review for possible downgrade,
Cl. M4 Currently Aa3 on review for possible downgrade,
Cl. M5, Downgraded to Baa1, previously A1,
Cl. M6, Downgraded to Baa3, previously A2,
Cl. M7, Downgraded to Ba1, previously A3,
Cl. M8, Downgraded to B1, previously Baa1,
Cl. M9, Downgraded to B2, previously Baa3,
Issuer: Lehman XS Trust Series 2006-20
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 A3, previously A1,
Cl. M5, Downgraded to Baa2, previously A2,
Cl. M6, Downgraded to Baa3, previously A3,
Cl. M7, Downgraded to Ba3, previously Baa1,
Cl. M8, Downgraded to B2, previously Baa2,
Cl. M9, Downgraded to Caa1, previously Baa3.
New York
Nicolas S. Weill
Managing Director - Chief Credit Officer
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