The past two weeks have seen downgrades on more than a thousand tranches for more than $50 billion. The lowered ratings impacted over 200 subprime transactions.
Fitch Ratings reported on July 19 that it downgraded 45 subprime bonds to D because of principal write-downs. The lowered ratings were part of a wider set of downgrades on 120 residential mortgage-backed securities issued between 2000 and 2007.
Moody’s Investors Service reported downgrades on nearly $52 billion in subprime RMBS issued between 2005 and 2007. The downgrades were based on the ratings agency’s loss projection from February.
“The actions are a result of the continued performance deterioration in subprime pools in conjunction with home price and unemployment conditions that remain under duress,” New York-based Moody’s said. “The actions reflect Moody’s updated loss expectations on subprime pools issued from 2005 to 2007.”
The following impacted tranches include fixed- and adjustable-rate first mortgages.
|Amount||Issuer||# Tranches||# Transactions|
|$16.7 billion||Morgan Stanley||251||52|
|$7.6 billion||JP Morgan||157||22|
|$7.4 billion||Merrill Lynch||135||28|
|$2.0 billion||Securitized Asset Backed Receivables||46||11|
|$1.2 billion||Ellington Loan Acquisition Trust||21||2|
|$0.9 billion||FBR Securitization Trust||21||4|
|$0.9 billion||People’s Choice||23||5|
|$0.9 billion||Home Equity||6||1|
|$0.4 billion||EquiFirst Loan Securitization Trust||3||1|
|$0.2 billion||Bravo Mortgage Asset Trust||4||1|
|$0.1 billion||Basic Asset Backed Securities Trust||3||1|