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S&P puts 11 mortgage bond deals on downgrade watch

Wed Feb 14, 2007 5:27pm EST

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NEW YORK, Feb 14 (Reuters) - Standard & Poor's said it may downgrade ratings on 18 securities from 11 mortgage-backed bond issues sold by units of companies, including Goldman Sachs Group Inc. (GS.N) and New Century Financial Corp. NEW.N.

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The bonds are backed by subprime and second-lien mortgages, and so-called alt-a loans, whose credit is considered between prime and subprime, S&P said.

"Many of the 2006 transactions may be showing weakness because of origination issues, such as aggressive residential mortgage loan underwriting, first-time home buyer programs, piggy-back second-lien mortgages, speculative borrowing for investor properties, and the concentration of affordability loans," S&P said in a statement.

S&P placed five "BB" to "BB+"-rated bonds from The Winter Group's Terwin Mortgage Trust's 2006-6 and 2006-8 issues, and one "BB"-rated class from Lehman Brothers Holdings Inc.'s LEH.N Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC1 on "credit watch" with negative implications.

Other bonds placed on review are: five "BB" to "BBB-" classes from four of Lehman's Structured Asset Investment Loan Trust issues; one "BBB-" class from Barclays Plc BARC.LN unit Barclays Capital's Securitized Asset Backed Receivables LLC Trust 2006-NC1; two "BB+" classes from New Century Home Equity Loan Trust 2006-S1; three "BB+" to "BBB-" classes from Goldman's GSAMP Trust 2006-S5, and one "BBB-" class from Asset-Backed Certificates Trust 2006-IM1, a deal done by Countrywide Financial Corp. CFC.N.

The percentage of loans in the pools that are severely delinquent range from 2.77 percent for Terwin's 2006-8 issue to 13.46 percent for New Century's 2006-S1 deal, S&P said.

Bonds


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