New York, April 15, 2009 -- Moody's Investors Service has placed the ratings of 76 net interest margin
(NIM) securities backed by residential mortgage-backed securitizations
(RMBS) on review for possible downgrade. These NIM transactions
rely on residual cash flows and prepayment penalties generated by the
underlying mortgage-backed securitizations. These cash flows
are sensitive to a number of factors:
i) Prepayment speeds on the collateral backing the RMBS
ii) Magnitude and timing of losses incurred on the collateral backing
the underlying RMBS
iii) Impact of trigger breaches (which in turn affects step-down
and release of cash to residual bondholders) and
iv) Volume and magnitude of interest rate modifications (which affects
excess spread).
These securities have been placed on review based on the poor performance
on the underlying transactions that has negatively impacted residual payments
to the NIM holders.
Moody's analysis of NIM transactions with respect to this review
primarily focuses on each transaction's recent average monthly principal
paydown rate. As delinquency and losses have accumulated in the
transactions underlying the NIM, residual cash flows have severely
declined and, in most cases, disappeared. As a result,
the large majority of these transactions have not received principal payments
in recent months and many have accrued unpaid interest. Projected
future loss levels on the large majority of underlying transactions are
now higher than previously estimated. These elevated loss levels
further reduce the likelihood that the net interest margin securities
will ultimately be paid in full.
During the review period, Moody's will analyze the likelihood
of NIM repayment by reviewing potential sources of cash in relation to
outstanding liabilities. The potential sources of cash to the NIM
include i) excess spread net of projected future losses, ii) excess
overcollateralization in the event of a step-down and iii) collections
of prepayment penalties. To the extent the NIM has accrued unpaid
interest obligations that must be paid prior to retiring the outstanding
principal, such amounts will also be taken into account when evaluating
the expected severity of loss to the NIM bondholders. It is expected
that nearly all of the bonds placed under review would be downgraded to
B1 or below. Additionally, to the extent that subordinate
bonds of the underlying transactions have incurred principal impairments
or have been downgraded to Ca or C, it is expected that the associated
NIM security would be similarly downgraded to Ca or C. Final rating
actions resolving these reviews are expected in the next 3 to 4 weeks.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
Asset Backed Funding Corporation NIM Trust 2001-AQ1 Notes
Cl. A, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Bear Stearns Structured Products Inc. NIM Trust 2004-10
Notes, B2 Placed Under Review for Possible Downgrade; previously
on 2/16/2005 Assigned B2
BSSP NIM Trust 2004-QA1
Notes, Caa2 Placed Under Review for Possible Downgrade; previously
on 7/1/2008 Downgraded to Caa2
Bear Stearns Structured Products Inc. NIM Trust 2007-N1
Cl. I-A-1, Ca Placed Under Review for Possible
Downgrade; previously on 7/1/2008 Downgraded to Ca
BSSP NIM Trust 2007-N2 Notes, Series 2007-N2-VIII
Cl. VIII-A-1, Caa1 Placed Under Review for
Possible Downgrade; previously on 7/1/2008 Downgraded to Caa1
BSSP NIM Trust 2007-N2 Notes, Series 2007-N2-X
Cl. X-A-2, Ca Placed Under Review for Possible
Downgrade; previously on 7/1/2008 Downgraded to Ca
BSSP NIM Trust 2007-N3 Notes, Series 2007-N3-IV
Cl. IV-A-1, Ca Placed Under Review for Possible
Downgrade; previously on 7/1/2008 Downgraded to Ca
Cl. IV-A-2, Ca Placed Under Review for Possible
Downgrade; previously on 7/1/2008 Downgraded to Ca
BSSP NIM Trust 2007-N3 Notes, Series 2007-N3-V
Cl. V-A-1, Caa2 Placed Under Review for Possible
Downgrade; previously on 7/1/2008 Downgraded to Caa2
Bear Stearns Structured Products Inc. NIM Trust 2007-N7
Notes, Series 2007-N7-II
Cl. II-A-3, Ba2 Placed Under Review for Possible
Downgrade; previously on 10/18/2007 Assigned Ba2
Bear Stearns Structured Products Inc. NIM Trust 2007-N7-IV
Cl. IV-A-3, Ba2 Placed Under Review for Possible
Downgrade; previously on 9/20/2007 Assigned Ba2
FFML Net Interest Margin Trust 2003-FFB
Cl. A Notes, B3 Placed Under Review for Possible Downgrade;
previously on 4/20/2007 Downgraded to B3
GSAA Home Equity Trust 2005-NIM6
Notes, B1 Placed Under Review for Possible Downgrade; previously
on 7/1/2008 Downgraded to B1
GSMSC Net Interest Margin Securities, Series 2007-NIM1
Cl. N2, Baa3 Placed Under Review for Possible Downgrade;
previously on 2/9/2007 Assigned Baa3
Cl. N3, Ba3 Placed Under Review for Possible Downgrade;
previously on 2/9/2007 Assigned Ba3
Cl. N4, B3 Placed Under Review for Possible Downgrade;
previously on 2/9/2007 Assigned B3
Lehman XS NIM 1 Company 2005-7N
Cl. A-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 2/1/2006 Assigned Baa3
Lehman XS Net Interest Margin Notes Series 2007-GPM1-1
Cl. A-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/26/2007 Assigned Baa3
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 3/26/2007 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 3/26/2007 Assigned B2
Lehman XS Nim 1 Company 2007-GPM2
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 5/29/2007 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 5/29/2007 Assigned B2
Lehman XS Net Interest Margin Notes Series 2005-1
Cl. A, B2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to B2
Cl. B, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Lehman XS Net Interest Margin Notes Series 2005-10
Cl. A, A3 Placed Under Review for Possible Downgrade;
previously on 2/10/2006 Assigned A3
Cl. B, B3 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to B3
Lehman XS Net Interest Margin Notes Series 2005-2
Cl. A, Caa1 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa1
Cl. B, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Lehman XS NIM Company 2005-5N
Cl. B, Baa3 Placed Under Review for Possible Downgrade;
previously on 12/16/2005 Assigned Baa3
Lehman XS Net Interest Margin Notes Series 2005-6
Cl. A, B2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to B2
Lehman XS Net Interest Margin Notes Series 2005-8
Cl. B, Caa3 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa3
Lehman XS Net Interest Margin Notes Series 2006-3
Cl. A, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Cl. B, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Lehman XS Net Interest Margin Notes Series 2006-7
Cl. A, Caa2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa2
Cl. B, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
Lehman XS NIM Company 2006-AR2
Cl. A-1, A3 Placed Under Review for Possible Downgrade;
previously on 5/24/2006 Assigned A3
Lehman XS NIM Company 2006-AR4
Cl. A-4, Caa2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa2
Lehman XS Net Interest Margin Notes Series 2006-GP1
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 6/29/2006 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 6/29/2006 Assigned B2
Lehman XS NIM Company 2006-GP2
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 8/2/2006 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 8/2/2006 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GP3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 8/2/2006 Assigned B2
Lehman XS NIM Company 2006-GP4
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 8/22/2006 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GPM4
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 9/26/2006 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 9/26/2006 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GPM5
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 10/27/2006 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GPM6
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 12/1/2006 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GPM7
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 1/8/2007 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 1/8/2007 Assigned B2
Lehman XS Net Interest Margin Notes Series 2006-GPM8
Cl. A-3, Ba3 Placed Under Review for Possible Downgrade;
previously on 1/25/2007 Assigned Ba3
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 1/25/2007 Assigned B2
Lehman XS Net Interest Margin Notes Series 2007-QO8
Cl. A-4, B2 Placed Under Review for Possible Downgrade;
previously on 3/16/2007 Assigned B2
Lehman XS NIM Company 2005-9N
Cl. A-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 3/6/2006 Assigned Baa3
Long Beach Asset Holdings Corp. CI 2006-WL2 NIM Notes,
Series 2006-WL2
Cl. N-2, A3 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to A3
MASTR Alternative Loan NIM 2006-1
Cl. N-1, Baa2 Placed Under Review for Possible Downgrade;
previously on 1/27/2006 Assigned Baa2
MASTR Alternative Loan NIM 2006-3
Cl. N-3, Caa1 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa1
MASTR Alternative Loan NIM 2006-4
Cl. N-2, B3 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to B3
Cl. N-3, Caa1 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa1
MASTR Alternative Loan NIM 2006-5
Cl. N-3, Caa1 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa1
MASTR CI-CW1 NIM
Cl. N-1, Ba2 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Ba2
Cl. N-2, Caa1 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa1
SAIL Net Interest Margin Notes, Series 2003-3
Cl. A Notes, Caa2 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa2
SAIL Net Interest Margin Notes, Series 2003-5
Cl. A Notes, Caa2 Placed Under Review for Possible Downgrade;
previously on 7/2/2008 Downgraded to Caa2
SARM Net Interest Margin Notes, Series 2005-19XS-1
Cl. A-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/21/2005 Assigned Baa3
SARM Net Interest Margin Notes, Series 2005-19XS-2
Cl. A-2, Baa3 Placed Under Review for Possible Downgrade;
previously on 11/21/2005 Assigned Baa3
SARM Net Interest Margin Notes, Series 2005-16XS
Cl. A, B2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to B2
SARM Net Interest Margin Notes, Series 2005-10
Cl. A, Ca Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Ca
SASCO Net Interest Margin Trust 2003-12XS
Cl. A, Caa3 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa3
SASCO Net Interest Margin Trust 2003-36XS
Cl. A, B2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to B2
SASCO ARC Net Interest Margin Notes, Series 2003-BC2
Cl. N2, Caa3 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to Caa3
Sharps SP I LLC Net Interest Margin Trust 2003-2XSN
Notes, Baa2 Placed Under Review for Possible Downgrade; previously
on 12/24/2003 Assigned Baa2
Sharps SP I LLC Net Interest Margin 2006-AHM3N
Cl. N-3, Ba2 Placed Under Review for Possible Downgrade;
previously on 10/9/2006 Assigned Ba2
Sharps SP I LLC Net Interest Margin Trust 2004-5N
Notes, Baa3 Placed Under Review for Possible Downgrade; previously
on 10/27/2004 Assigned Baa3
Sharps SP I LLC Net Interest Margin Trust 2006-AF1N
Notes, Baa3 Placed Under Review for Possible Downgrade; previously
on 6/9/2006 Assigned Baa3
Wachovia Amortization Controlled HELOC NIM Trust 2006-N1
Notes, A3 Placed Under Review for Possible Downgrade; previously
on 1/4/2007 Assigned A3
For mor informations see www.Moodys.com
New York
Debashish Chatterjee
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews ratings of RMBS net interest margin securities