Subprime Ratings Journal

Updated loss projections led Moody’s Investors Service to downgrade tranches of the following subprime securitizations:

• 104 tranches from 11 NovaStar transactions from 2005, 2006 and 2007;
• 66 certificates from 12 Ameriquest Mortgage Securities Inc. issuances from 2005 and 2006;
• 52 classes from nine 2005 Park Place Securities Inc. RMBS; and
• 17 certificates from five 2006 Securitized Asset Backed Receivables LLC Trust deals.

Deteriorating performance on the underlying subprime mortgage collateral prompted Standard & Poor’s Ratings Services to lower its ratings on classes of the following RMBS:

• Fremont Home Loan Trust 2002-2, 2003-B, 2004-3 and 2004-A;
• GSAMP Trust 2003-HE1 and 2004-HE1;
• Long Beach Mortgage Loan Trust 2003-3;
• Morgan Stanley ABS Capital I Inc. Trust 2003-HE3, 2003-NC8, 2003-NC9, 2004-HE4, 2004-NC3, 2004-NC8, 2004-WMC1, 2004-WMC2 and 2004-WMC3;
• Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC1 and 2003-NC4;
• Option One Mortgage Loan Trust 2001-4; and
• People’s Choice Home Loan Securities Trust Series 2004-1.

Fitch Ratings reported downgrades on classes of the following subprime securitizations:

• ABFC 2006-HE1, 2006-OPT1, 2006-OPT2, 2006-OPT3, 2006-HE1 and 2007-NC1;
• ABSC Home Equity Loan Trust transactions from 2005, 2006 and 2007;
• Ace RMBS from 2005 and 2006;
• Aegis 2005-2;
• Ameriquest Mortgage Securities issuances from 2005 and 2006;
• Argent Securities deals from 2005 and 2006;
• ARSI 2006-M3;
• Asset Backed Funding Corp 2007-WMC1;
• Asset Backed Securities Corp. transactions from 2005 and 2006;
• Asset Backed Securities Corp. Home Equity Loan Trust series from 2005 and 2006;
• BASIC Asset Backed Securities Trust 2006-1;
• Bear Stearns Asset Backed Securities I Trust deals from 2005 and 2006;
• BNC Mortgage Loan Trust RMBS from 2006 and 2007;
• BSABS deals from 2005;
• Carrington Mortgage Loan Trust securitizations from 2005 and 2006;
• C-BASS RMBS issued from 2004 to 2007;
• Centex Home Equity Loan Trust transactions from 2005 and 2006;
• Citigroup Mortgage Loan Trust issuances from 2005 and 2006;
• CSFB HEAT securitizations from 2005, 2006 and 2007;
• CSMC Asset-Backed Trust 2007-NC1 OSI;
• CWABS deals from 2005 and 2006;
• Equifirst 2005-1;
• Equifirst Loan Trust 2007-1;
• Fieldstone Mortgage Investment Trust RMBS from 2005;
• First Franklin Mortgage Loan Trust transactions from 2005 and 2006;
• Fremont Home Loan Trust issuances from 2005 and 2006;
• GE- WMC RMBS from 2005 and 2006;
• GSAMP Trust securitizations from 2005 through 2007;
• HASCO 2007-NC1;
• HEAT 2007-3;
• Home Equity Mortgage Loan Asset-Backed Trust 2007-B;
• HSI Asset Securitization Corporation Trust RMBS issued from 2005 to 2007;
• INABS transactions from 2005, 2006 and 2007;
• IXIS Real Estate Capital Trust issuances from 2005, 2006 and 2007;
• J.P. Morgan Acceptance Corporation deals from 2007;
• J.P. Morgan Mortgage Acquisition Corp. securitizations from 2005 and 2006;
• J.P. Morgan Mortgage Aquisition Corp. RMBS from 2006;
• J.P. Morgan Acquisition Corp. deals from 2006;
• Long Beach transactions from 2005 and 2006;
• Long Beach Mortgage Loan Trust 2006-7;
• MASTR Asset Backed Securities Trust issuances from 2005, 2006 and 2007;
• Meritage 2005-2;
• MLMI 2005-HE3;
• Merrill Lynch First Franklin Mortgage Loan Trust 2007-H1;
• Morgan Stanley ABS Capital I Inc 2005-HE1;
• Morgan Stanley ABS Capital I Inc. Trust deals issued from 2005 to 2007;
• Morgan Stanley Home Equity Loan Trust issuances from 2006 and 2007;
• Morgan Stanley Capital I Inc. Trust transactions from 2006;
• Morgan Stanley IXIS Real Estate Capital Trust 2006-1;
• NATIXIS Real Estate Capital Trust 2007-HE2;
• National City Mortgage Loan Trust 2005-1;
• New Century securitizations from 2005 and 2006;
• Nomura RMBS from 2006;
• NovaStar Home Equity Loan Asset-Backed Certificates from 2006;
• NovaStar Home Equity Loan Asset-Backed Notes from 2006;
• NovaStar Mortgage Funding Trust 2005-4;
• Option One transactions from 2005 and 2006;
• Ownit Mortgage Loan Trust 2005-2;
• Park Place Securities deals from 2005;
• People’s Choice Home Loan Securities Trust securitizations from 2005;
• People’s Financial Realty 2006-1;
• Popular ABS Mortgage Pass Through Trust 2005-2;
• Popular ABS, Inc. Mortgage Pass-Through Trust 2005-1;
• RASC issuances from 2005, 2006 and 2007;
• RAMP RMBS from 2005 and 2006;
• Renaissance deals from 2005 and 2006;
• ResMAE Mortgage Loan Trust 2006-1;
• SAACO series 2005-NC4;
• SABR 2007-NC2;
• SAIL transactions from 2005 and 2006;
• SAIL Trust securitizations from 2005;
• SASCO issuances from 2005, 2006 and 2007;
• 2005 and 2006 Saxon RMBS;
• Securitized Asset Backed Receivables deals from 2006 and 2007;
• Securitized Asset Backed Receivables LLC Trust transactions from 2005, 2006 and 2007;
• SG Mortgage Securities Trust securitizations from 2005, 2006 and 2007;
• Soundview 2007-OPT1;
• Soundview Home Equity Loan Trust RMBS from 2005 and 2006;
• Soundview Home Loan Trust issuances from 2005 to 2007;
• Specialty Underwriting and Residential Finance Trust (SURF) 2005-AB1;
• Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2;
• Structured Asset Securities Corporation 2007-BNC1;
• 2005 Terwin Mortgage transactions;
• WaMu Asset-Backed Certificates, WaMu 2007-HE2 and 2007-HE3;
• Wells Fargo Asset Backed Securities 2007-2 Trust;
• Wells Fargo Home Equity Asset-Backed Securities issued from 2005 to 2007; and
• WMABS 2006-HE1.

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

e-mail: mtgsam@aol.com