New York, September 16, 2010 -- Moody's Investors Service has downgraded the ratings of 68 tranches and
confirmed the ratings of 18 tranches from 14 RMBS transactions,
backed by Alt-A loans, issued by Lehman XS Trust.
In addition, the ratings on Tranches 1-A1 and 1-A2
issued by Lehman XS Trust Series 2006-1 have also been adjusted
to reflect the fact that the Pooling and Servicing Agreement (PSA) allocates
losses to these two classes on a pro-rata basis. Previous
rating actions reflected additional credit enhancement to Tranche 1-A1
from Tranche 1-A2, based on conflicting language in the Prospectus
Supplement which denotes Tranche 1-A2 as a support class to Tranche
1-A1. The Trustee has confirmed that it is following the
PSA, which allows for only pro-rata allocation between the
classes, and Moody's has adjusted its analysis accordingly.
RATINGS RATIONALE
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, Alt-A residential mortgage
loans.The actions are a result of the rapidly deteriorating performance
of Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated loss expectations
on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on Alt-A
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
Class I-A1-2 issued by Lehman XS Trust 2007-10H,
Classes A2-2 and A4 issued by Lehman XS Trust Series 2007-14H,
and Class A1 issued by Lehman XS Trust 2007-17H are wrapped by
Ambac Assurance Corporation (Segregated Account - Unrated).
Classes WF-3-1, WF-4-1, and WF-6-1
issued by Lehman XS Trust 2006-17 are wrapped by MBIA Insurance
Corporation (Downgraded to B3, Outlook Negative). For securities
insured by a financial guarantor, the rating on the securities is
the higher of (i) the guarantor's financial strength rating and (ii) the
current underlying rating (i.e., absent consideration
of the guaranty) on the security. The principal methodology used
in determining the underlying rating is the same methodology for rating
securities that do not have a financial guaranty and is as described earlier.
RMBS securities wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
The principal methodology used in rating these securities was "Alt-A
RMBS Loss Projection Update: February 2010" rating methodology published
in February 2010. Other methodologies and factors that may have
been considered in the process of rating this issuer can also be found
on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Lehman XS Trust 2006-17
Cl. 1-A1, Confirmed at Caa1 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A2, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A3, Downgraded to C (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A4A, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A4B, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A5, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-AIO, Confirmed at Caa1 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. WF-2, Confirmed at B2 (sf); previously on
Jan 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-3-2, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. WF-3-3, Downgraded to C (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-4-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-5, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-6-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. WF-3-1, Current Rating at B3 (sf);
previously on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa2 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. WF-4-1, Current Rating at B3 (sf);
previously on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Ca (sf); previously on Jan
21, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. WF-6-1, Current Rating at B3 (sf);
previously on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: Lehman XS Trust 2006-19
Cl. A1, Confirmed at Caa1 (sf); previously on Jan 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to C (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A4, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A5, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust 2007-10H
Cl. I-A1-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A1-2, Downgraded to Caa3 (sf); previously
on Apr 16, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. I-A2, Downgraded to C (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A3, Downgraded to C (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A4-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. I-AIO, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A3, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. II-A4, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. II-AIO, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust 2007-17H
Cl. A1, Downgraded to Ca (sf); previously on Apr 16,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Ca (sf); previously on Jan
21, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. AIO, Downgraded to Ca (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-13
Cl. 1-A2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A3, Downgraded to C (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A5, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-15
Cl. A1, Confirmed at B3 (sf); previously on Jan 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to Ca (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A4, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A5, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-20
Cl. A1, Confirmed at Caa2 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to C (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A4, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A5, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. AIO, Confirmed at Caa2 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-3
Cl. A1, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Downgraded to Caa2 (sf); previously on Jan 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to Ca (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A4, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-9
Cl. A1B, Downgraded to Caa3 (sf); previously on Jan
14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A1C, Downgraded to C (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2007-11
Cl. A1, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Confirmed at Ca (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A4, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A5, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. AIO, Downgraded to Caa3 (sf); previously on Jan
14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2007-14H
Cl. A1-1, Confirmed at Ca (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A1-2, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A2-1-1, Confirmed at Caa3 (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A2-1-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A2-2, Downgraded to C (sf); previously on
Apr 16, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Underlying Rating: Downgraded to C (sf); previously on Jan
21, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A4, Downgraded to C (sf); previously on Apr 16,
2010 Downgraded to Ca (sf) and Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to C (sf); previously on Jan
21, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. AIO, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2006-1
Cl. 1-A1, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A2, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M1, Downgraded to C (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2007-8H
Cl. A1, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. AIO, Confirmed at Caa3 (sf); previously on Jan 14,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A2, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to C (sf); previously on Jan 14,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman XS Trust Series 2007-9
Cl. I-A1, Confirmed at Caa3 (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-AIO, Confirmed at Caa3 (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A2, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. I-A3, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. I-A4, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. WF-1, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. WF-2, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. WF-3, Downgraded to C (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-4, Downgraded to C (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-5, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. WF-AIO, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF217786
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, confidential
and proprietary Moody's Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Ilana Fried
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
USA
Moody's takes action on $5.2 billion of Alt-A RMBS issued by Lehman XS Trust in 2006 and 2007
