Nonprime RMBS Ratings Pounded

Updates to its loss projections led Moody’s to downgrade certificates of the following subprime RMBS;

• 390 certificates from 38 ACE issuances from 2005 to 2007;
• 387 tranches from 37 Bear Stearns transactions issued from 2005 to 2007;
• 366 classes from 39 First Franklin RMBS securitized in 2005, 2006 and 2007;
• 346 certificates from 43 RFC deals issued between 2005 and 2007;
• 325 tranches from 34 Goldman Sachs issuances from 2005 to 2007;
• 288 classes from 27 MLMI transactions securitized from 2005 to 2007;
• 277 certificates from 29 Citigroup RMBS issued from 2005 to 2007;
• 256 tranches from 26 Soundview issuances from 2005, 2006 and 2007;
• 252 certificates from 27 MASTR transactions issued between 2005 and 2007;
• 245 tranches from 24 Long Beach issuances from 2005, 2006 and 2007;
• 232 classes from 32 SABR RMBS securitized from 2005 to 2007;
• 217 tranches from 31 RAMP transactions issued in 2005;
• 214 classes from 23 C-Bass RMBS securitized between 2004 and 2007;
• 157 certificates from 15 deals issued by SURF from 2005 to 2007;
• 140 tranches from 17 HASCO transactions securitized between 2005 and 2007;
• 115 tranches from 12 Fremont deals issued in 2005 and 2006;
• 93 tranches from 11 Saxon RMBS from 2005, 2006 and 2007;
• 80 tranches from seven transactions issued by WMABS in 2006 and 2007;
• 53 classes from six Wells Fargo RMBS from 2005, 2006 and 2007; and
• 49 tranches from five SG transactions issued from 2005 to 2007.

Moody’s downgraded classes of the following second-lien transactions because of continued worsening second-lien performance;

• 52 certificates issued by CSFB Home Equity Mortgage Trust in 2005 and 2006;
• 23 tranches from transactions issued by Irwin Home Equity Loan Trust in 2005;
• 19 classes from Home Equity Mortgage Trust deals issued in 2005 and 2006;
• nine tranches from MASTR Second Lien Trust 2005-1 and 2006-1;
• six certificates from Alliance Bancorp Trust 2007-S1;
• four classes of ACE Securities Corp. Home Equity Loan Trust, series 2005-SL1;
• three certificates from New Century Home Equity Loan Trust, series 2006-S1;
• three tranches of Fieldstone Mortgage Investment Trust 2006-S1; and
• two classes of American Home Mortgage Investment Trust 2007-2.

Higher-than-anticipated rates of delinquency, foreclosure and REO in the underlying collateral relative to credit enhancement levels prompted Moody’s to downgrade tranches of the following Alt-A securitizations:

• 179 tranches from 27 CSFB issuances securitized from 2001 to 2005;
• 160 tranches from nine WMALT 2005 and 2006 transactions;
• 148 tranches from 23 transactions issued by MASTR Alternative Loan Trust and MASTR Adjustable Rate Mortgage Trust from 2002 to 2006;
• 106 certificates from five deals issued by CSMC in 2006 and 2007;
• 99 classes from 15 Banc of America securitizations issued from 2004 to 2007;
• 97 tranches from 17 Bear Stearns Alt-A Trust issuances from 2004 and 2005;
• 83 certificates from 16 deals issued by Nomura in 2003, 2004 and 2005;
• 62 classes from eight American Home RMBS securitized from 2004 to 2007; and
• 56 tranches from seven transactions issued by Countrywide 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