Nearly $40 billion in ratings on subprime residential mortgage-backed securities were downgraded because of worsening loss expectations.
Moody’s Investors Service announced the ratings actions today.
The downgrades reflect updated loss expectations on subprime pools issued from 2005 through 2007.
“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,” the New York-based ratings agency explained.
Tranches of the following RMBS were impacted.
| Issuer | # RMBS | # Tranches | $ Amount |
| BNC Mortgage Loan Trust | 5 | 18 | $1.8 billion |
| Citigroup Mortgage Loan Trust | 29 | 125 | $8.0 billion |
| First Franklin | 39 | 151 | $13.2 billion |
| First NLC | 5 | 27 | $0.8 billion |
| Park Place | 8 | 46 | $2.1 billion |
| RAMP | 30 | 130 | $5.2 billion |
| RASC | 43 | 209 | $7.6 billion |
| TOTAL | 159 | 706 | $38.7 billion |
