Moody's downgrades and places on review for possible downgrade certain certificates from five Nomura Asset Acceptance Corporation, Alternative Loan Trust transactions.
New York, June 15, 2007 -- Moody's Investors Service has downgraded and maintained on review for
possible further downgrade five classes of certificates, and placed
on review for possible downgrade twenty-five classes of certificates
from five transactions issued by Nomura Asset Acceptance Corporation,
Alternative Loan Trust in 2006. These actions are based on the
analysis of the credit enhancement provided by subordination, overcollateralization
and excess spread relative to the expected loss. These transactions
are backed by closed end second lien loans, and have seen recent
losses that have exceeded the excess spread available thereby depleting
the overcollateralization.
Complete rating actions are as follows:
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust
Downgrade and Review for Possible Downgrade:
Series 2006-S1, Class B-5, Downgraded to Caa1
from Ba2 and on review for possible further downgrade;
Series 2006-S2, Class B-4, Downgraded to B3
from Ba1 and on review for possible further downgrade;
Series 2006-S2, Class B-5, Downgraded to Caa1
from Ba2 and on review for possible further downgrade;
Series 2006-S3, Class B-5, Downgraded to Caa1
from Ba2 and on review for possible further downgrade;
Series 2006-S5, Class M-10, Downgraded to Caa1
from Ba1 and on review for possible further downgrade.
Review for Possible Downgrade:
Series 2006-S1, Class B-1, Current rating A3,
on review for possible downgrade;
Series 2006-S1, Class B-2, Current rating Baa2,
on review for possible downgrade;
Series 2006-S1, Class B-3, Current rating Baa3,
on review for possible downgrade;
Series 2006-S1, Class B-4, Current rating Ba1,
on review for possible downgrade;
Series 2006-S2, Class M-4, Current rating A1,
on review for possible downgrade;
Series 2006-S2, Class M-5, Current rating A2,
on review for possible downgrade;
Series 2006-S2, Class M-6, Current rating A3,
on review for possible downgrade;
Series 2006-S2, Class B-1, Current rating Baa1,
on review for possible downgrade;
Series 2006-S2, Class B-2, Current rating Baa2,
on review for possible downgrade;
Series 2006-S2, Class B-3, Current rating Baa3,
on review for possible downgrade;
Series 2006-S3, Class M-4, Current rating A1,
on review for possible downgrade;
Series 2006-S3, Class M-5, Current rating A2,
on review for possible downgrade;
Series 2006-S3, Class M-6, Current rating A3,
on review for possible downgrade;
Series 2006-S3, Class B-1, Current rating Baa1,
on review for possible downgrade;
Series 2006-S3, Class B-2, Current rating Baa2,
on review for possible downgrade;
Series 2006-S3, Class B-3, Current rating Baa3,
on review for possible downgrade;
Series 2006-S3, Class B-4, Current rating Ba1,
on review for possible downgrade;
Series 2006-S4, Class B-1, Current rating Baa1,
on review for possible downgrade;
Series 2006-S4, Class B-2, Current rating Baa2,
on review for possible downgrade;
Series 2006-S4, Class B-3, Current rating Baa3,
on review for possible downgrade;
Series 2006-S5, Class M-5, Current rating A1,
on review for possible downgrade;
Series 2006-S5, Class M-6, Current rating A3,
on review for possible downgrade;
Series 2006-S5, Class M-7, Current rating Baa1,
on review for possible downgrade;
Series 2006-S5, Class M-8, Current rating Baa2,
on review for possible downgrade;
Series 2006-S5, Class M-9, Current rating Baa3,
on review for possible downgrade.
For more information see www.Moodys.com
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
JingJing Dang
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653