Over $50 Billion in Subprime Downgrades

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MORTGAGE EXPERT
7 · 27 · 10

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.

Moody’s Downgrades

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
$3.6 billion NovaStar 44 12
$2.1 billion ABSC 62 13
$2.0 billion Saxon 46 11
$2.0 billion Securitized Asset Backed Receivables 46 11
$2.0 billion Popular 99 16
$1.2 billion Ownit 34 11
$1.2 billion Ellington Loan Acquisition Trust 21 2
$1.0 billion WMBABS 20 7
$0.9 billion FBR Securitization Trust 21 4
$0.9 billion People’s Choice 23 5
$0.9 billion Home Equity 6 1
$0.8 billion Encore 19 4
$0.5 billion GE-WMC 11 3
$0.4 billion EquiFirst Loan Securitization Trust 3 1
$0.2 billion Bravo Mortgage Asset Trust 4 1
$0.1 billion Wachovia 4 1
$0.1 billion Basic Asset Backed Securities Trust 3 1

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Mortgage Daily Staff

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