Nonprime Rampage Continues

On Monday, MortgageDaily.com reported that more than 5,000 classes of nonprime residential mortgage-backed securities had been downgraded by Moody’s during the prior two weeks. Just two days later — ratings on more than 1,000 additional nonprime RMBS classes have been lowered.

Updated loss projections prompted Moody’s to downgrade classes of the following subprime securitizations:

• 191 tranches from 19 CSFB HEAT deals issued between 2005 and 2007;
• 164 certificates from 17 Asset Backed Securities Corp. RMBS issued in 2005, 2006 and 2007;
• 107 classes from 10 Nomura issuances from 2005, 2006 and 2007;
• 99 tranches from 11 transactions issued by Renaissance Home Equity Loan Trust between 2005 and 2007;
• 87 certificates from nine Ownit Mortgage Loan Trust transactions securitized in 2005 and 2006;
• 84 classes from 13 Popular ABS Mortgage Pass-Through Trust deals from 2005, 2006 and 2007;
• 59 tranches from nine RMBS issued by New Century Home Equity Loan Trust in 2005 and 2006; and
• eight certificates from Home Equity Loan Asset-Backed Certificates, series 2007-FRE1.

Moody’s cited worsening performance on closed-end second liens and home-equity lines-of-credit in its downgrade of the following tranches:

• 70 tranches from transactions issued by Structured Asset Securities Corp. in 2005 and 2006;
• 54 certificates from transactions issued by Nomura Asset Acceptance Corp. in 2005, 2006 and 2007;
• 44 tranches from Merrill Lynch Mortgage Investors Trust deals issued from 2005 to 2007;
• 39 classes from Morgan Stanley Mortgage Loan Trust RMBS securitized from 2005 to 2007;
• 22 tranches from 2005 GreenPoint Mortgage Funding Trust deals;
• 20 certificates issued by Soundview Home Loan Trust in 2005 and 2006;
• 17 classes from CWHEQ Revolving Home Equity Loan Trust deals issued last year and in 2006;
• 13 tranches from two CSFB Home Equity Mortgage Trust transactions from 2005 and 2007;
• five certificates from two 2007 FFMLT RMBS;
• three classes from Ownit Mortgage Trust 2006-OT1;
• three certificates from Long Beach Mortgage Loan Trust 2006-A; and
• Class III-A certificate issued by Bear Stearns Second Lien Trust 2007-1.

Moody’s lowered its ratings on 121 tranches of 17 RALI Alt-A transactions from 2003, 2004 and 2005. The actions were based on higher-than-anticipated delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels.

Related:

Nonprime RMBS Ratings Pounded
Moody’s Investors Service went on a nonprime ratings rampage. More than 5,000 classes of residential mortgage-backed securities were impacted, with vintages from as far back as 2001 downgraded.

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

e-mail: mtgsam@aol.com