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Nonprime and Subprime News | Subprime Statistics
Stories about non-QM products. Coverage of subprime, Alt-A and
hard money lending. Home-equity loans and home-equity lines of credit.


Over 2,500 Subprime Downgrades

Recent subprime ratings activity

April 6, 2009

By MortgageDaily.com staff


Moody's Investors Service reached as far back as the 2001 vintage in the downgrading of more than 2,500 tranches from subprime residential mortgage-backed securities.

A combination of factors including increased delinquency, higher loss severities, slower prepayments and mounting losses in the underlying collateral prompted Moody's to downgrade classes of the following subprime transactions.

  • 656 certificates from 73 CWABS deals issued between 2005 and 2007;
  • 255 tranches from 43 RASC (RFC) securitizations closed in 2005, 2006 and 2007;
  • 254 certificates from 42 Bear Stearns RMBS securitized between 2005 and 2007;
  • 180 ratings of 30 RAMP (RFC) transactions from 2005 to 2007;
  • 178 classes of 31 SASCO RMBS securitized between 2005 and 2007;
  • 151 certificates of 32 SABR deals issued in 2005, 2006 and 2007;
  • 142 tranches from 29 MASTR transactions securitized between 2005 and 2007;
  • 132 classes from 19 vintage 2005 and 2006 J.P. Morgan securitizations;
  • 126 ratings from 11 Renaissance issuances from 2005 through 2007;
  • 125 classes of 24 Long Beach RMBS from 2005, 2006 and 2007.
  • 99 tranches from 21 vintage 2005 and 2006 Structured Asset Investment Loan securitizations;
  • 65 ratings from 11 vintage 2005 and 2006 Argent transactions;
  • 59 classes of 12 OwnIt deals closed in 2005 and 2006;
  • 56 tranches from five 2006 and 2007 Citicorp issuances;
  • 52 certificates from nine 2005, 2006 and 2007 ABFC RMBS;
  • 52 ratings from eight Wells Fargo transactions from 2005, 2006 and 2007;
  • 50 certificates from 12 Terwin RMBS issued between 2005 and 2007;
  • 34 ratings from five 2006 and 2007 BNC securitizations;
  • 13 tranches of Meritage Mortgage Loan Trust 2005-1, 2005-2 and 2005-3;
  • 12 classes of ResMAE Mortgage Loan Trust 2006-1 and 2007-1; and
  • three ratings from Bravo Mortgage Asset Trust 2006-1.

Moody's noted that continued deterioration in the housing market has necessitated increased loss expectations on subprime pools.

Terwin Mortgage Trust 2007-QHL1, which is backed by scratch-and-dent subprime loans, saw 10 tranches downgraded. Moody's cited higher-than-anticipated delinquency, foreclosures and real estate owned. Also mentioned were increasing severities and slower prepayment rates for the underlying collateral relative to currently available credit enhancement levels.

But the latest actions weren't limited to 2005, 2006 or 2007 vintages. Moody's cut ratings on the following older deals as part of an ongoing review of subprime RMBS transactions.

  • 14 ratings on RASC 2004-KS11 Trust, 2004-KS12 Trust and 2004-KS8 Trust;
  • 12 classes of Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE9 and 2003-HE3;
  • nine tranches from Citigroup Mortgage Loan Trust 2004-RES1;
  • six ratings from Aegis Asset Backed Securities Trust 2004-5;
  • five certificates from CWABS Inc. Asset-Backed Certificates, Series 2002-1;
  • five classes of Merrill Lynch Mortgage Investors Inc. 2004-WMC4;
  • four tranches from CSFB ABS Trust Series 2001-HE22;
  • three certificates from ABFS Mortgage Loan Trust 2002-4;
  • three classes of Home Equity Mortgage Loan Asset-Backed Trust SPMD 2002-A;
  • three tranches of GSAMP Trust 2002-NC1;
  • three ratings of DFC HELTrust 2001-2;
  • three certificates from Centex Home Equity Loan Trust 2001-B;
  • one tranche from CWABS Inc. Asset-Backed Certificates 2002-BC2;
  • One class of RAFC Asset-Backed Trust 2001-1; and
  • one rating from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1.

But Moody's also upgraded one tranche from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1.

Mortgage Backed Securities | MBS News | MBS Statistics
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