Friday Night, Lights Out — Fitch Downgrades $5.3 Billion in RMBS

Keeping up with the downgrades on various subprime RMBS deals here at HW is turning into a full time job. (And one that requires plenty of coffee.) Here’s a list of the downgrades issued tonight by Fitch alone — remember, these are the downgrades issued just in one night at one rating agency. Total downgraded dollar value: $5.3 billion.

• $9.53 million downgraded from a 2002 Centex RMBS deal — 17.90 percent of loans 60+ days delinquent.
• $148.5 million downgraded from two 2005 Long Beach Mortgage subprime deals — first deal has a 60+ day delinquency rate of 34.68 percent; second deal is at 30.89 percent.
• $8.8 million downgraded on three different UBS subprime transactions tied to mortgages originated or acquired by Fremont Investment & Loan, Option One Mortgage Company, and WMC Mortgage — 60+ day delinquencies ranging from 17.85 percent to 20.77 percent.
• $44 million downgraded from three C-BASS 2005 subprime deals –60+ day delinquency rate ranging from 16.65 percent to 23.17 percent, primary originators include First NLC and Wilmington Finance.
• $41.1 million downgraded on two Citigroup 2005 subprime deals — 60+ day delinquencies at roughly 14.5 percent for both deals, primary originators include New Century and Ameriquest.
• $783.2 million downgraded from just one WaMu 2007 subprime deal — includes AAA downgrades, mortgages originated entirely by WaMu, 60+ day delinquencies at 9.17 percent. Stunning.
• $157.3 million downgraded from four J.P. Morgan 2005 subprime deals — 60+ day delinquencies range from 15.11 percent to 28.83 percent, originators include WMC Mortgage, Option One and Fieldstone.
• $9.8 million downgraded from three First Franklin 2005 subprime transactions — all First Franklin originated, 60+ day delinquencies at 18.79 percent to 24.14 percent.
• $120.3 million downgraded from 13 Morgan Stanley subprime deals — issue dates range from 2002 – 2004, 60+ day delinquencies range from 8.07 percent to 49.58 percent.
• $873.1 million downgraded on 5 SAIL 2005 subprime securitizations — 60+ day delinquencies range from 23.43 percent to 33.76 percent, originators include Finance America, Ameriquest, Ownit and BNC Mortgage.
• $38.5 million downgraded from four SASCO 2005 subprime deals — 60+ day delinquencies ranging from 15.78 percent to 34.02 percent, originators include Wells Fargo and WMC Mortgage.
• $185.8 million downgraded from three CMLTI Subprime Transactions –60+ day delinquencies range from 27.32 percent to 32.07 percent.
• $156.5 million downgraded from one New Century second lien deal — includes AAA downgrades, 60+ day delinquency rate at 26.94 percent.
• $775.2 million downgraded from nine Ameriquest 2005 subprime deals –60+ day delinquencies range from 11.31 percent to 24.61 percent, originated by Ameriquest and/or Argent.
• $51.62 million downgraded from eight RMBS classes from 3 Aegis securitizations — 60+ day delinquencies range from 20.28 percent to 33.69 percent.
• $191.5 million downgraded from three Novastar subprime deals — 60+ day delinquencies at 15.20 percent to 17.51 percent.
• $189.9 million downgraded in one SAIL 2004 subprime deal — 60+ day delinquencies at 19.43 percent.
• $1.3 million downgraded from two Citi deals, one in 2005 and the other in 2006 — these are prime mortgages, 60+ day delinquences at just 0.63 percent.
• $5.3 million downgraded from three 2006 Citi prime, adjustable-rate deals — 60+ day delinquences at 1.82 percent.
• $200.5 million downgraded from 3 Bear Stearns 2005 subprime deals — 60+ day delinquencies at 23.48 percent to 29.93 percent, originators primarily include ResMae.
• $310.0 million downgraded from two Fremont 2005 subprime deals — 60+ delinquency rates at 28.72 and 29.66 percent.
• $184.9 million downgraded from two Option One 2005 subprime deals — 60+ day delinquencies at 23.50 percent and 30 percent.
• $481.4 million downgraded from five Soundview subprime home equity deals — 60+ day delinquencies at 18.52 percent to 33.80 percent, originators include Finance America, New Century, Centex.
• $169.2 million downgraded from two SABR 2005 subprime deals — 60+ day delinquencies at 32.17 and 37.7 percent, originators include Fremont, New Century and WMC Mortgage.
• $62.1 million downgraded from two 2005 Merrill Lynch deals — 60+ day delinquencies at 30.97 percent and 33.05 percent, originators include ComUnity, New Century and Ameriquest.
• $61.7 million downgraded from two 2005 Terwin Mortgage Trust subprime deals — 60+ day delinquencies at19.50 and 21.78 percent.

Probably an understatement if you read this entire post, but that’s a whole lot of slash and burn.