Fitch Ratings has taken various rating actions on the following
mezzanine/subordinate bonds on the Bear Stearns Alt-A transactions
listed below:
--Prime Mortgage Trust 2005-5 Group 2
--SunTrust Alternative Loan Trust, Series 2006-1F
--Bear Stearns Asset Backed Securities I Trust 2006-AC2 Group 2
--Bear Stearns ALT-A Trust II, Series 2007-1
--Bear Stearns Asset Backed Securities I Trust 2007-AC6
--Structured Asset Mortgage Investments II Trust, Series 2007-AR5
--Structured Asset Mortgage Investments II Trust, Series 2007-AR7
A spreadsheet detailing Fitch's rating actions on the transactions in
question is available on the Fitch Ratings web site at www.fitchratings.com
under the following headers:
Structured Finance > RMBS >
Research Highlights
The rating actions taken today reflect Fitch's analysis of expected
default and loss from delinquent loans, in addition to projected losses
from the currently performing pool. Fitch generates its expectations
using its ResiLogic default and loss model. These expectations are
adjusted based on actual performance to-date versus model projected
performance. The model incorporates the impact of historical home price
movements on mortgage performance, in addition to projecting further
stress for many regions of the U.S. The model also reflects the
demonstrated high default rates for loans that exhibit risk-layering.
The details of the application of ResiLogic to seasoned mortgage pools,
and the specific assumptions used for the Alt-A review, will be
described in research to be released shortly.
Fitch is completing its review of the 2005-2007 Alt-A transactions in
two separate phases. The first phase will be a review of all mezzanine
and subordinated bonds, which are more immediately exposed to
delinquency losses. This phase is currently nearing completion. The
second phase, which will begin shortly, will be a review of all the
senior bonds that, in many instances, require additional cash flow
analysis to evaluate the risk of the various individual classes within
the senior tranche. Most notably, the use of super-senior structures
will be considered in evaluating senior bonds.
Additional details are available in the following reports, also
available at www.fitchratings.com
under:
Structured Finance > RMBS >
Special Reports
--'Drivers of 2006-2007 Alt-A Collateral Performance' (May 7, 2008);
--'U.S. Alt-A RMBS Performance Deteriorating Rapidly, Fitch Initiates
Extensive' (March 6, 2008);
--'Alt A Bonds Placed on Rating Watch Negative - Amended' (March 20,
2008).
Further information regarding current delinquency, loss, and credit
enhancement statistics is also available at www.fitchratings.com.
Fitch's rating definitions and the terms of use of such ratings are
available on the agency's public site, www.fitchratings.com.
Published ratings, criteria and methodologies are available from this
site, at all times. Fitch's code of conduct, confidentiality, conflicts
of interest, affiliate firewall, compliance and other relevant policies
and procedures are also available from the 'Code of Conduct' section of
this site.
