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 |
| $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 |
