Moody’s Assaults Nonprime Ratings

Moody’s blamed higher-than-anticipated rates of delinquency, foreclosure, and REO in the underlying subprime collateral relative to credit enhancement levels for its downgrade of 572 tranches from 59 RMBS transactions issued by CWABS Asset-Backed Certificates Trust from 2005 to 2007. In addition, 170 downgraded tranches remain on review for possible further downgrade.

For the same reasons, 214 tranches from 26 transactions issued by Goldman Sachs in 2006 and 2007 were downgraded, with 65 downgraded tranches remaining on review; 91 tranches from 10 Nomura transactions issued from 2005 to 2007 were downgraded, with 21 downgraded tranches remaining on review; and 117 tranches from Option One deals issued from 2005 to 2007 were downgraded, with 32 downgraded tranches remaining on review.

The poor performance also led to Moody’s downgrade of 61 tranches from eight Renaissance RMBS issued from 2005 to 2007, with 20 downgraded tranches remaining on review;

Moody’s again cited the same reasoning in its downgrade of 10 tranches from Bravo Mortgage Asset Trust 2006-1, with two tranches remaining on review; nine tranches of Meritage Mortgage Loan Trust 2005-3, with one downgraded tranche left on review; nine tranches of a ResMae deal, with two downgraded tranches left of review; eight tranches from Encore Credit Receivables Trust 2005-3 and 2005-4, with one tranche left on review; five tranches from Basic Asset Backed Securities Trust 2006-1, with two downgraded tranches remaining on review; and 31 tranches from four FBR Securitization Trust transactions from 2005, with four downgraded tranches remaining on review.

But not all today’s activity involved subprime RMBS.

Alt-A deals that saw downgrades from Moody’s due to higher-than-anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels included 241 tranches from 24 Morgan Stanley transactions issued from 2005 to 2007; and 39 tranches from 10 Structured Adjustable Rate Mortgage Loan Trust transactions from 2005, 2006 and 2007, with eight more tranches placed on review.

Worsening second lien performance prompted Moody’s to downgrade ten certificates from two MASTR Second Lien Trust deals from 2005 and 2006, with one class left on review.

Sam Garcia worked in mortgage lending for twenty years prior to becoming publisher of MortgageDaily.com.

e-mail: mtgsam@aol.com