|
|
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.
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.
But Moody’s also upgraded one tranche from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1. |
back to current headlines