Subprime Ratings Slammed

Moody’s downgraded classes of the following subprime residential mortgage-backed securities following the update to its loss projections on subprime first mortgages:

• 484 certificates from 53 Morgan Stanley RMBS issued between 2005 and 2007;
• 322 classes from 30 Structured Asset Securities Corp. transactions securitized in 2005 and 2006;
• 320 tranches from 28 JP Morgan deals from 2005 through 2007;
• 174 classes from 21 Structured Asset Investment Loan Trust transactions from 2005 and 2006;
• 157 certificates from 16 Option One securitizations issued between 2005 and 2007;
• 108 classes from 11 IndyMac issuances from 2005, 2006 and 2007;
• 104 tranches from 11 NovaStar deals from 2005, 2006 and 2007;
• 103 certificates from 16 Carrington Mortgage Loan Trust transactions securitized between 2005 and 2007;
• 78 classes from nine IXIS RMBS securitized between 2005 and 2007;
• 74 certificates from eight Terwin Mortgage Trust issuances from 2005 and 2006;
• 73 tranches from eight ABFC deals issued from 2005 to 2007;
• 64 classes from five BNC securitizations issued last year and in 2006;
• 60 tranches from seven Fieldstone Mortgage Investment Trust deals issued from 2005 to 2007;
• 56 classes from eight Nationstar RMBS issued between 2005 and 2007;
• 55 certificates from seven Accredited transactions securitized between 2005 and 2007;
• 50 classes from six Aegis Asset Backed Securities Trust RMBS from 2005 and 2006;
• 39 certificates from four People’s Choice issuances from 2005 and 2006;
• 33 tranches from four First NLC Trust deals securitized in 2005 and 2007;
• 32 classes from three GE-WMC Asset-Backed Pass-Through Certificates from 2005 and 2006;
• 24 certificates from Ellington Loan Acquisition Trust 2007-1 and 2007-2;
• 22 classes from four Encore Credit Receivables Trust issuances from 2005;
• 17 tranches from three Aames transactions from 2005 and 2006;
• 17 certificates from EquiFirst Loan Securitization Trust 2007-1 and 2005-1;
• 17 tranches from Newcastle Mortgage Securities Trust 2006-1 and 2007-1;
• 15 classes from Lehman ABS Mortgage Loan Trust 2007-1;
• 10 tranches from Wachovia Mortgage Loan Trust 2005-WMC1; and
• five tranches from Basic Asset Backed Securities Trust 2006-1.

Eight certificates issued by RFMSII Home Equity Loan Trust in 2005 and 2006 were downgraded by Moody’s, reflecting worsening performance of transactions backed by closed-end-seconds and home-equity lines-of-credit. The ratings were lowered because credit enhancement levels, including excess spread and subordination, were too low compared with losses projected at the previous rating levels.

Moody’s cited the same logic in its downgrade of classes of SACO I Trust deals and Terwin Mortgage Trust transactions from 2005, 2006 and 2007.

Four tranches of GSR Mortgage Loan Trust 2005-HEL1 were downgraded by Moody’s as a result of the worsening performance of HELOCs.

Moody’s lowered ratings on the following Alt-A transactions because of higher than anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels:

• 309 tranches from 32 CWALT Inc. issuances from 2004 to 2007;
• 105 classes from 13 Chevy Chase option-ARM transactions from 2005, 2006 and 2007; and
• 78 certificates from eight Morgan Stanley transactions issued between 2004 and 2007.

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

e-mail: mtgsam@aol.com