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Older Subprime Vintages Deteriorating

Older Subprime Vintages DeterioratingRecent subprime ratings activity

June 10, 2009

By staff

Recent rounds of downgrades on subprime securitizations reached back to the 2000 vintage.

Moody’s Investors Service conducted an analysis of credit enhancement relative to updated collateral loss projections on subprime residential mortgage-backed securities. The analysis found deterioration in collateral performance in recent months. It also found that some performance triggers had been exceeded and that the transaction has released portions of credit enhancement. The findings led to downgrades on the following transactions.

  • 176 securities from 35 RAMP transactions securitized between 2001 and 2004;
  • 123 tranches from 30 Credit Suisse issuances closed between 2001 and 2004;
  • 64 ratings from 13 Chase RMBS issued between 2001 and 2004;
  • 59 certificates from 10 Fremont Home Loan Trust deals closed in 2002, 2003 and 2004;
  • 56 classes of 15 Goldman securitizations from 2002, 2003 and 2004;
  • 44 ratings from 14 RMBS issued by Long Beach between 2000 and 2004;
  • 41 securities from 16 Bear Stearns Asset Backed Securities securitized between 2002 and 2004;
  • 30 classes of eight Aegis deals closed in 2003 and 2004;
  • 29 tranches from nine MASTR issuances closed in 2002, 2003 and 2004;
  • 27 certificates from six vintage 2003 and 2004 New Century RMBS;
  • 27 classes of six Terwin Mortgage Trust deals issued in 2003 and 2004;
  • 24 tranches of nine Equity One securitizations from 2002, 2003 and 2004;
  • 17 ratings from CIT Home Equity Loan Trust 2002-1, 2002-2 and 2003-1;
  • 17 securities from Meritage Mortgage Loan Trust 2003-1, 2004-1 and 2004-2;
  • 15 certificates from seven Merrill Lynch issuances from 2002, 2003 and 2004;
  • 15 ratings from four 2003 and 2004 EquiFirst transactions;
  • 14 tranches from Soundview Home Equity Loan Trust 2001-2, Soundview Home Loan Trust 2004-1, and Soundview Home Loan Trust 2004-WMC1;
  • 10 classes of six SASCO RMBS from 2001, 2002 and 2003;
  • five securities from Carrington Mortgage Loan Trust, Series 2004-NC2;
  • five tranches from Accredited Mortgage Loan Trust 2003-3, 2004-2 and 2004-4;
  • three certificates from CitiFinancial Mortgage Securities Inc. 2003-1, 2003-4 and 2004-1;
  • three securities from WMC Mortgage Pass-Through Certificates, Series 1999-A;
  • three ratings from ABFC 2002-NC1 Trust;
  • two classes of Encore Credit Corp. Series 2003-1;

Increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral were all factors that contributed the downgrade by Moody’s of classes from the following two subprime RMBS. In addition, continued deterioration in the housing market also impacted increased loss expectations for subprime pools.

  • 12 ratings from from IndyMac INDB Mortgage Loan Trust 2006-1;
  • 12 classes of CSFB Home Equity Asset Trust 2006-1;

Standard & Poor’s announced on May 29 that it lowered 323 ratings on 318 subprime RMBS to ‘D.’ The issuances were securitized between 2002 and 2007. Another 85 ratings were placed on CreditWatch Negative.

Last month’s downgrades followed S&P’s April 29 downgrade of 272 ratings from 266 subprime transactions issued between 2003 and 2007 to ‘D.’

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