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Subprime Downgrades By the Thousands

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Subprime Downgrades By the ThousandsRecent subprime ratings activity

March 19, 2009

By MortgageDaily.com staff

Thousands of classes of subprime securities were downgraded as the three major ratings agencies boosted their loss projections on subprime vintages from 1999 to 2007.Moody’s Investors Service said this month that it placed 7,942 tranches for $680 billion on review for a possible downgrade. The classes are from subprime residential mortgage-backed securities issued in 2005, 2006 and 2007. The move was the result of revised loss projections.

“Moody’s attributes the higher loss expectations to the continued deterioration in home prices, rising loss severities on liquidated loans, persistent elevated default rates, and progressively diminishing prepayment rates throughout the sector,” the New York-based ratings agency explained.

Fitch Ratings released a report indicated that average losses on subprime RMBS issued between 2000 and 2004 are expected to range between 16 percent and 22 percent of remaining pool balances. Based on original pool balances, losses are expected to range from 4 percent to 8 percent.

“While these vintages are generally performing better than the post-2004 vintages, they haven’t been immune to the macroeconomic trends of declining home prices, rising unemployment, and disruption in the mortgage markets,” Fitch Managing Director Vincent Barberio said in the statement. “In many instances, loan default rates and loss severities are rising as these shrinking pools grow more adversely selected over time.”

Standard & Poor’s Ratings Services downgraded ratings on 737 from 516 subprime transactions. S&P blamed principal write-downs during recent remittance periods.

Among factors impacting Moody’s decision to downgrade classes of the following subprime RMBS were increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral.

  • 281 ratings from 53 Morgan Stanley issuances securitized from 2005 to 2007;
  • 275 certificates from 39 First Franklin securitizations done in 2005, 2006 and 2007;
  • 248 tranches from 36 2005, 2006 and 2007 Goldman Sachs deals;
  • 240 classes of 40 ACE transactions issued in 2005, 2006 and 2007;
  • 211 ratings from 29 Citigroup RMBS securitized between 2005 and 2007;
  • 171 certificates from 23 C-Bass securitizations closed from 2004 to 2007;
  • 159 ratings from 19 Carrington issuances closed in 2005, 2006 and 2007;
  • 144 classes of 29 Merrill Lynch transactions from 2005 through 2007;
  • 127 certificates from 14 2005 and 2006 Ameriquest securitizations;
  • 124 tranches from 20 CSFB HEAT deals done between 2005 and 2007;
  • 117 certificates from 16 Popular RMBS from 2005, 2006 and 2007;
  • 114 ratings from 17 HASCO securitizations closed from 2005 to 2007;
  • 105 classes of 17 Asset Backed Securities Corporation transactions issued from 2005 through 2007;
  • 105 certificates from 15 Fremont issuances done in 2005 and 2006;
  • 97 tranches from 11 Saxon deals issued between 2005 and 2007;
  • 95 classes of 18 Option One transactions securitized from 2005 through 2007;
  • 84 certificates from 12 NovaStar RMBS issued in 2005 and 2006;
  • 75 tranches from nine Centex/Nationstar securitizations from 2005, 2006 and 2007;
  • 68 classes of nine New Century deals from 2005 and 2006;
  • 65 ratings from 10 HSBC transactions securitized from 2005 through 2007;
  • 61 tranches from 10 Nomura issuances closed between 2005 and 2007;
  • 60 ratings from nine 2005 Park Place securitizations;
  • 50 certificates from seven Accredited RMBS issued between 2005 and 2007;
  • 45 classes of seven 2005, 2006 and 2007 Fieldstone transactions;
  • 38 certificates from nine IXIS deals from 2005, 2006 and 2007;
  • 37 classes of four 2005 Encore securitizations;
  • 34 tranches from five First NLC RMBS closed in 2005 and 2007;
  • 33 ratings from 29 Soundview issuances securitized in 2005, 2006 and 2007;
  • 32 certificates from six 2005 and 2006 Aegis securitizations;
  • 32 classes of seven Washington Mutual transactions from 2006 and 2007;
  • 28 tranches from five 2005 and 2006 Peoples Choice RMBS;
  • 23 ratings from four FBR securitizations in 2005;
  • 22 certificates from four 2005 and 2006 Aames issuances;
  • 22 classes of Ellington Loan Acquisition Trust 2007-1 and 2007-2;
  • 20 certificates from Newcastle Mortgage Securities Trust 2006-1 and 2007-1;
  • 18 ratings from 18 SURF RMBS issued from 2005 to 2007;
  • 16 tranches from Equifirst Loan Securitization Trust 2007-1 and 2005-1;
  • 10 classes of Home Equity Loan Asset-Backed Certificates 2007-FRE1;
  • nine certificates from five SG securitizations from 2005, 2006 and 2007;
  • seven tranches from Wachovia Mortgage Loan Trust 2005-WMC1;
  • six classes of Lehman ABS Mortgage Loan Trust 2007-1;
  • three ratings from Home Loan Mortgage Loan Trust 2005-1 and 2006-1; and
  • three certificates from GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-1, 2005-2 and 2006-1.

Moody’s also downgraded tranches from these older subprime RMBS.

  • 162 ratings from Morgan Stanley subprime RMBS securitized from 2001 through 2004;
  • 80 classes from Argent Securities Inc. Issuances from 2003 and 2004;
  • 77 tranches from 19 Ace Securities Corp. Home Equity Loan trust securitizations closed between 2001 and 2004; and
  • 31 securities from 12 Saxon Asset Securities Trust subprime transactions issued between 1999 and 2004.
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