X-S&P Lwrs, Afms 199 US Alt-A RMBS Classes From '06;Off WatchNe 2008-06-12 12:27 (New York) NEW YORK (Standard & Poor's) June 11, 2008-Standard & Poor's Ratings Services today lowered its ratings on 65 classes from 19 residential mortgage-backed securities (RMBS) transactions backed by U.S. Alternative-A (Alt-A) mortgage loan collateral issued in 2006. In addition, we affirmed our ratings on 134 classes from 20 RMBS transactions backed by U.S. Alt-A loans. At the same time, we removed all 65 classes that we downgraded and 40 of the classes that were affirmed from CreditWatch, where they were placed with negative implications on April 29, 2008 (see list). The downgrades reflect our opinion that projected credit support for the affected classes is insufficient to maintain the previous ratings, given our current projected losses as stated in "Projected Losses For 2006 Vintage U.S. Alt-A RMBS Affected By April 29, 2008, Rating Actions," published April 29, 2008, on RatingsDirect. We arrived at our estimated projected losses for the U.S. Alt-A RMBS deals originated in 2006 using the analysis outlined in "Standard & Poor's Revised Default And Loss Curves For U.S. Alt-A RMBS Transactions," published Dec. 19, 2007, on RatingsDirect. This article describes the approach we used to develop a forward-looking default curve. Using each transaction's current level of loans in foreclosure, we apply the periodic growth rates derived from the curve to project future foreclosures. At each point in time, we take a percentage of the foreclosures as losses and assume a loss severity depending on the type of collateral in the transactions. For this analysis, we assumed a loss severity of 34% for U.S. Alt-A RMBS transactions backed by fixed-rate loans and long-reset hybrid collateral (loans with fixed-rate periods of at least five years) issued in 2006; we assumed a loss severity of 35% for transactions issued in 2006 backed by mortgage loans that have a negative amortization feature; and we assumed a loss severity of 35% for transactions secured by adjustable-rate collateral and short-reset hybrid collateral (loans with fixed-rate periods under five years). Additionally, we assumed that the loans that are currently classified as real estate owned (REO) will be liquidated over the next eight months. We estimated the lifetime projected losses by adding these losses to the actual losses that the transactions have experienced to date. As part of our analysis, we considered the characteristics of the underlying mortgage collateral as well as macroeconomic influences. For example, the risk profile of the underlying mortgage pools influences our default projections, while the outlook for housing price appreciation and the health of the housing market influence our loss severity assumptions. As a result, we do not expect our loss projections to change materially unless we observe a significant change in the macroeconomic outlook, a shift in the risk profile of the remaining underlying collateral, or a dramatic change in the delinquency trend. The lowered ratings reflect our assessment of credit support under two constant prepayment rate (CPR) scenarios. The first scenario utilizes the lower of the lifetime or 12-month CPR, while the second utilizes a six-month CPR, which is very slow by historical standards. We assumed a constant default rate for each pool. Because the analysis focused on each individual class with varying maturities, prepayment scenarios may cause an individual class or the transaction itself to prepay in full before it incurs the entire loss projection. Slower prepayment assumptions lengthen the average life of the mortgage pool, which increases the likelihood that total projected losses will be realized. The longer a class remains outstanding, however, the more excess spread it generates. To assess the creditworthiness of each class, we reviewed the individual delinquency and loss trends of each transaction for changes, if any, in risk characteristics, servicing, and the ability to withstand additional credit deterioration. In order to maintain a rating higher than 'B', a class had to absorb losses in excess of the base case assumption we assumed in our analysis. For example, a class may have to withstand 115% of our base case loss assumption in order to maintain a 'BB' rating, while a different class may have to withstand 125% of our base case loss assumption to maintain a 'BBB' rating. Each class that has an affirmed 'AAA' rating can withstand approximately 150% of our base case loss assumptions under our analysis, subject to individual caps and qualitative factors assumed on specific transactions. We determined the caps by limiting the amount of remaining defaults to 85% of the current pool balances. A combination of subordination, excess spread, and overcollateralization provide credit support for the affected transactions. The underlying collateral for these deals consists of fixed- and adjustable-rate U.S. Alt-A mortgage loans that are secured by first and second liens on one- to four-family residential properties. RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Alternative Loan Trust Rating Transaction Class CUSIP To From 2006-OA12 A-3 23243AAE6 BBB- AAA/Watch Neg 2006-OA17 1-A3 12668PAJ1 A AAA/Watch Neg 2006-OA17 2-A-2 12668PAM4 A AAA/Watch Neg American Home Mortgage Assets Trust Rating Transaction Class CUSIP To From 2006-3 I-A-3 02660UAD2 A AAA/Watch Neg 2006-3 II-A-3-1 02660UAH3 A AAA/Watch Neg 2006-3 II-A-3-2 02660UAJ9 A AAA/Watch Neg 2006-3 III-A-3-1 02660UAN0 A AAA/Watch Neg 2006-3 III-A-3-2 02660UAP5 A AAA/Watch Neg 2006-4 I-A-3 02660LAE0 A AAA/Watch Neg 2006-4 II-A-3 02660LAH3 A AAA/Watch Neg Bear Stearns Mortgage Funding Trust Rating Transaction Class CUSIP To From 2006-AC1 A-1 07400XAA6 A AAA/Watch Neg 2006-AC1 A-2 07400XAB4 A AAA/Watch Neg 2006-AC1 A-3 07400XAC2 A AAA/Watch Neg 2006-AC1 A-4 07400XAD0 A AAA/Watch Neg Deutsche Alt-B Securities Mortgage Loan Trust Rating Transaction Class CUSIP To From 2006-AB3 M-1 25151EAK9 BB AAA/Watch Neg HSI Asset Loan Obligation Trust Rating Transaction Class CUSIP To From 2006-2 I-A-10 40431HAK3 BB AAA/Watch Neg 2006-2 I-A-11 40431HAL1 BB AAA/Watch Neg 2006-2 I-A-12 40431HAM9 BB AAA/Watch Neg 2006-2 I-A-2 40431HAB3 BB AAA/Watch Neg 2006-2 I-A-4 40431HAD9 BB AAA/Watch Neg 2006-2 I-A-5 40431HAE7 BB AAA/Watch Neg 2006-2 I-A-6 40431HAF4 BB AAA/Watch Neg 2006-2 I-A-7 40431HAG2 BB AAA/Watch Neg 2006-2 I-A-8 40431HAH0 BB AAA/Watch Neg 2006-2 I-A-9 40431HAJ6 BB AAA/Watch Neg 2006-2 II-A-1 40431HAQ0 BB AAA/Watch Neg IndyMac INDX Mortgage Loan Trust Rating Transaction Class CUSIP To From 2006-AR11 1-A-2 45661KAB6 BBB- AAA/Watch Neg 2006-AR11 2-A-2 45661KAE0 BBB- AAA/Watch Neg 2006-AR11 3-A-2 45661KAH3 BBB- AAA/Watch Neg 2006-AR11 4-A-2 45661KAL4 BBB- AAA/Watch Neg 2006-AR11 5-A-2 45661KAV2 BBB- AAA/Watch Neg 2006-AR11 6-A-2 45661KAY6 BBB- AAA/Watch Neg 2006-AR7 1-A-2 45661ECX0 BBB- AAA/Watch Neg 2006-AR7 2-A-2 45661ECZ5 BBB- AAA/Watch Neg 2006-AR7 3-A-2 45661EDB7 BBB- AAA/Watch Neg 2006-AR7 4-A-2 45661EDD3 BBB- AAA/Watch Neg 2006-AR7 5-A-2 45661EDF8 BBB- AAA/Watch Neg Lehman XS Trust Rating Transaction Class CUSIP To From 2006-20 A5 52523QAE1 AA AAA/Watch Neg Luminent Mortgage Trust 2006-3 Rating Transaction Class CUSIP To From 2006-3 I-1A-3 55027AAT7 BBB AAA/Watch Neg 2006-3 I-2A-3 55027AAW0 BBB AAA/Watch Neg Luminent Mortgage Trust 2006-4 Rating Transaction Class CUSIP To From 2006-4 A1C 55027BAC2 BBB AAA/Watch Neg MASTR Adjustable Rate Mortgages Trust Rating Transaction Class CUSIP To From 2006-OA2 3-A-2 55275NAL5 A AAA/Watch Neg Morgan Stanley Mortgage Loan Trust Rating Transaction Class CUSIP To From 2006-5AR A 61748HYQ8 AA AAA/Watch Neg 2006-5AR A-X 61748HYR6 AA AAA/Watch Neg 2006-5AR M-X 61748HYS4 AA AAA/Watch Neg RALI Trust Rating Transaction Class CUSIP To From 2006-QA2 I-A-2 761118TP3 A AAA/Watch Neg 2006-QA2 II-A-2 761118TS7 A AAA/Watch Neg 2006-QA2 III-A-2 761118TV0 A AAA/Watch Neg 2006-QO1 1-A-2 761118RH3 BBB- AAA/Watch Neg 2006-QO1 2-A-3 761118RL4 BBB- AAA/Watch Neg 2006-QO1 3-A-2 761118RN0 BBB- AAA/Watch Neg 2006-QO1 3-A-3 761118RP5 BBB- AAA/Watch Neg Residential Asset Securitization Trust Rating Transaction Class CUSIP To From 2006-A10 A-2 76113LAB3 BB AAA/Watch Neg 2006-A10 A-3 76113LAC1 BB AAA/Watch Neg 2006-A10 A-4 76113LAD9 BB AAA/Watch Neg 2006-A10 A-5 76113LAE7 BB AAA/Watch Neg 2006-A10 A-6 76113LAF4 BB AAA/Watch Neg 2006-A10 A-7 76113LAG2 BB AAA/Watch Neg 2006-A10 A-R 76113LAK3 BB AAA/Watch Neg 2006-A10 A-X 76113LAJ6 BB AAA/Watch Neg 2006-P 1-A-1 76114GAA5 BB+ AAA/Watch Neg 2006-P 1-A-4 76114GAD9 BB+ AAA/Watch Neg 2006-P 2-A-2 76114GAH0 BB+ AAA/Watch Neg 2006-P 2-A-3 76114GAJ6 BB+ AAA/Watch Neg Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Rating Transaction Class CUSIP To From 2006-AR1 A-1C 93934FJS2 AA AAA/Watch Neg RATINGS REMOVED FROM CREDITWATCH NEGATIVE Alternative Loan Trust Rating Transaction Class CUSIP To From 2006-OA12 X 23243AAF3 AAA AAA/Watch Neg 2006-OA12 X-P 23243AAG1 AAA AAA/Watch Neg 2006-OA7 1-A-1 02146BAA4 AAA AAA/Watch Neg 2006-OA7 1-A-4 02146BAD8 AAA AAA/Watch Neg 2006-OA7 2-A-3 02146BAH9 AAA AAA/Watch Neg 2006-OA7 3-A-2 02146BAL0 AAA AAA/Watch Neg HSI Asset Loan Obligation Trust Rating Transaction Class CUSIP To From 2006-2 II-IO 40431HAR8 AAA AAA/Watch Neg 2006-2 I-IO 40431HAN7 AAA AAA/Watch Neg 2006-2 II-PO 40431HAS6 AAA AAA/Watch Neg 2006-2 I-PO 40431HAP2 AAA AAA/Watch Neg IndyMac INDX Mortgage Loan Trust Rating Transaction Class CUSIP To From 2006-AR11 1-X 45661KAC4 AAA AAA/Watch Neg 2006-AR11 2-X 45661KAF7 AAA AAA/Watch Neg 2006-AR11 3-X 45661KAJ9 AAA AAA/Watch Neg 2006-AR11 4-X 45661KAM2 AAA AAA/Watch Neg 2006-AR11 5-X 45661KAW0 AAA AAA/Watch Neg 2006-AR11 6-X 45661KAZ3 AAA AAA/Watch Neg Lehman XS Trust Rating Transaction Class CUSIP To From 2006-20 A1 52523QAA9 AAA AAA/Watch Neg 2006-20 A2 52523QAB7 AAA AAA/Watch Neg 2006-20 A3 52523QAC5 AAA AAA/Watch Neg 2006-20 A4 52523QAD3 AAA AAA/Watch Neg Luminent Mortgage Trust Rating Transaction Class CUSIP To From 2006-4 A1A 55027BAA6 AAA AAA/Watch Neg 2006-4 A1B 55027BAB4 AAA AAA/Watch Neg 2006-4 PO 55027BAE8 AAA AAA/Watch Neg 2006-4 X 55027BAD0 AAA AAA/Watch Neg RALI Trust Rating Transaction Class CUSIP To From 2006-QA2 I-A-IO 761118TQ1 AAA AAA/Watch Neg 2006-QA2 II-A-IO 761118TT5 AAA AAA/Watch Neg 2006-QA2 III-A-IO 761118TW8 AAA AAA/Watch Neg 2006-QO1 1-A-1 761118RG5 AAA AAA/Watch Neg 2006-QO1 2-A-1 761118RJ9 AAA AAA/Watch Neg 2006-QO1 2-A-2 761118RK6 AAA AAA/Watch Neg 2006-QO1 3-A-1 761118RM2 AAA AAA/Watch Neg 2006-QO1 X-1 761118RW0 AAA AAA/Watch Neg 2006-QO1 X-2 761118RX8 AAA AAA/Watch Neg 2006-QO1 X-3 761118RY6 AAA AAA/Watch Neg 2006-QO10 A-3 751153AC1 AAA AAA/Watch Neg Residential Asset Securitization Trust Rating Transaction Class CUSIP To From 2006-A10 P-O 76113LAH0 AAA AAA/Watch Neg 2006-P 1-PO 76114GAE7 AAA AAA/Watch Neg 2006-P A-X 76114GAF4 AAA AAA/Watch Neg Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Rating Transaction Class CUSIP To From 2006-AR1 X-1 93934FJT0 AAA AAA/Watch Neg 2006-AR1 X-2 93934FJU7 AAA AAA/Watch Neg RATINGS AFFIRMED Alternative Loan Trust Transaction Class CUSIP Rating 2006-OA12 A-1A 23243AAA4 AAA 2006-OA12 A-1B 23243AAB2 AAA 2006-OA12 A-1C 23243AAC0 AAA 2006-OA12 A-2 23243AAD8 AAA 2006-OA17 1-A1-A 12668PAA0 AAA 2006-OA17 1-A1-B 12668PAB8 AAA 2006-OA17 1-A1-C 12668PAC6 AAA 2006-OA17 1-A1-D 12668PAD4 AAA 2006-OA17 1-A2-A 12668PAE2 AAA 2006-OA17 1-A2-B 12668PAF9 AAA 2006-OA17 1-A2-C 12668PAG7 AAA 2006-OA17 1-A2-D 12668PAH5 AAA 2006-OA17 1-X-P 12668PAK8 AAA 2006-OA17 2-A-1 12668PAL6 AAA 2006-OA17 2-X 12668PAN2 AAA 2006-OA17 A-R 12668PBC5 AAA 2006-OA7 1-A-2 02146BAB2 AAA 2006-OA7 1-A-3 02146BAC0 AAA 2006-OA7 1-X 02146BAE6 AAA 2006-OA7 2-A-1 02146BAF3 AAA 2006-OA7 2-A-2 02146BAG1 AAA 2006-OA7 2-X 02146BAJ5 AAA 2006-OA7 3-A-1 02146BAK2 AAA 2006-OA7 A-R 02146BAM8 AAA American Home Mortgage Assets Trust Transaction Class CUSIP Rating 2006-3 I-A-1 02660UAA8 AAA 2006-3 I-A-2-1 02660UAB6 AAA 2006-3 I-A-2-2 02660UAC4 AAA 2006-3 II-A-1-1 02660UAE0 AAA 2006-3 II-A-1-2 02660UAF7 AAA 2006-3 II-A-2 02660UAG5 AAA 2006-3 III-A-1-1 02660UAK6 AAA 2006-3 III-A-1-2 02660UAL4 AAA 2006-3 III-A-2 02660UAM2 AAA 2006-4 I-A-1-1 02660LAA8 AAA 2006-4 I-A-1-2 02660LAB6 AAA 2006-4 I-A-2-1 02660LAC4 AAA 2006-4 I-A-2-2 02660LAD2 AAA 2006-4 II-A-1 02660LAF7 AAA 2006-4 II-A-2 02660LAG5 AAA Deutsche Alt-B Securities Mortgage Loan Trust Transaction Class CUSIP Rating 2006-AB3 A-1 25151EAA1 AAA 2006-AB3 A-2 25151EAB9 AAA 2006-AB3 A-3 25151EAC7 AAA 2006-AB3 A-4 25151EAD5 AAA 2006-AB3 A-5A 25151EAE3 AAA 2006-AB3 A-5B 25151EAF0 AAA 2006-AB3 A-6 25151EAG8 AAA 2006-AB3 A-7 25151EAH6 AAA 2006-AB3 A-8 25151EAJ2 AAA HSI Asset Loan Obligation Trust Transaction Class CUSIP Rating 2006-2 I-A-1 40431HAA5 AAA 2006-2 I-A-3 40431HAC1 AAA IndyMac INDX Mortgage Loan Trust Transaction Class CUSIP Rating 2006-AR11 1-A-1 45661KAA8 AAA 2006-AR11 2-A-1 45661KAD2 AAA 2006-AR11 3-A-1 45661KAG5 AAA 2006-AR11 4-A-1 45661KAK6 AAA 2006-AR11 5-A-1 45661KAU4 AAA 2006-AR11 6-A-1 45661KAX8 AAA 2006-AR7 1-A-1 45661ECW2 AAA 2006-AR7 2-A-1 45661ECY8 AAA 2006-AR7 3-A-1 45661EDA9 AAA 2006-AR7 4-A-1 45661EDC5 AAA 2006-AR7 5-A-1 45661EDE1 AAA 2006-AR7 A-R 45661EDG6 AAA Luminent Mortgage Trust Transaction Class CUSIP Rating 2006-3 1-2A-1 55027AAU4 AAA 2006-3 I-1A-1 55027AAR1 AAA 2006-3 I-1A-2 55027AAS9 AAA 2006-3 I-2A-2 55027AAV2 AAA 2006-3 I-2X 55027AAX8 AAA MASTR Adjustable Rate Mortgages Trust Transaction Class CUSIP Rating 2006-OA2 1-A-1 55275NAA9 AAA 2006-OA2 1-A-2 55275NAB7 AAA 2006-OA2 1-A-3 55275NAC5 AAA 2006-OA2 2-A-1 55275NAE1 AAA 2006-OA2 2-A-2 55275NAF8 AAA 2006-OA2 2-A-3 55275NAG6 AAA 2006-OA2 3-A-1 55275NAK7 AAA 2006-OA2 4-A-1A 55275NAM3 AAA 2006-OA2 4-A-1B 55275NAN1 AAA 2006-OA2 4-A-2 55275NAP6 AAA 2006-OA2 X-1 55275NAD3 AAA 2006-OA2 X-2 55275NAH4 AAA 2006-OA2 XW 55275NAJ0 AAA RALI Trust Transaction Class CUSIP Rating 2006-QA2 I-A-1 761118TN8 AAA 2006-QA2 II-A-1 761118TR9 AAA 2006-QA2 III-A-1 761118TU2 AAA 2006-QA2 R-I 761118TX6 AAA 2006-QA2 R-II 761118TY4 AAA 2006-QA2 R-III 761118TZ1 AAA 2006-QO10 A-1 751153AA5 AAA 2006-QO10 A-2 751153AB3 AAA Residential Asset Securitization Trust Transaction Class CUSIP Rating 2006-A10 A-1 76113LAA5 AAA 2006-P 1-A-2 76114GAB3 AAA 2006-P 1-A-3 76114GAC1 AAA 2006-P 2-A-1 76114GAG2 AAA Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Transaction Class CUSIP Rating 2006-AR1 A-1A 93934FJQ6 AAA 2006-AR1 A-1B 93934FJR4 AAA Primary Credit Analyst: Matthew Keenen, New York (1) 212-438-6497; matthew_keenen@standardandpoors.com Secondary Credit Analysts: Scott Davey, New York (1) 212-438-2441; scott_davey@standardandpoors.com Ernestine Warner, New York (1) 212-438-2633; ernestine_warner@standardandpoors.com Analytic services provided by Standard & Poor's Ratings Services ("Ratings Services") are the result of separate activities designed to preserve the independence and objectivity of ratings opinions. 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