More that 5,000 ratings on subprime residential mortgage-backed securities have been cut during the past two months.
A combination of factors including increased delinquencies, higher loss severities, slower prepayments and mounting losses in the underlying collateral prompted Moody’s Investors Service to downgrade six securities from Option One Option One Mortgage Loan Trust 2007-1.
After analyzing credit enhancement relative to updated collateral loss projections, Moody’s lowered its ratings on certificates from the following transactions.
- 36 securities from CWABS Asset-Backed Certificates Trust deals issued from 2003 to 2006;
- six tranches from IXIS Real Estate Capital Trust 2004-HE4;
- three classes of Structured Asset Investment Loan Trust 2004-10;
- three ratings from ACE Securities Corp. Home Equity Loan Trust, Series 2003-HS1;
- two securities from Merrill Lynch Mortgage Investors, Inc. Series 2002-AFC1; and
- two certificates from Argent Securities Inc., Series 2003-W3.
Higher expected pool losses in relation to remaining tranche-specific credit protection was the reason Moody’s gave for downgrading three tranches of SACO I Inc. Series 2000-3.
Ratings on the following RMBS were cut by Moody’s because of recent deterioration relative to expected performance.
- six classes of Carrington Mortgage Loan Trust, Series 2006-NC4;
- five tranches of RASC Series 2007-KS2 Trust;
- four securities from ABS Capital I Inc. Trust 2006-WMC2;
- four securities issued by ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3;
- three certificates from Securitized Asset Backed Receivables LLC Trust 2006-HE;
- three securities issued by Citigroup Mortgage Loan Trust 2007-AMC2;
- three ratings from Merrill Lynch Mortgage Investors Trust Series 2006-HE5; and
- one class of First Franklin Mortgage Loan Trust 2006-FF13.
An ongoing review of subprime RMBS transactions prompted Moody’s to lower ratings from the following securitizations.
- six tranches of CWABS, Inc. Asset-Backed Certificates, Series 2002-1 and Series 2001-BC3
- five classes of RAMP Series 2002-RS1 Trust; and
- five certificates from Chase Funding Loan Acquisition Trust 2004-OPT1.
A belief that credit enhancement will be insufficient to cover projected losses as a result of increased delinquencies as well as the current state of the U.S. housing market led Standard and Poor’s Ratings Services to downgrade ratings from the following subprime transactions.
- ACE Sec. Corp. Home Eq. Ln. Tr. 2006-NC3;
- ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC2 and 2006-OP2;
- Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ 2006-HE7;
- Bear Stearns Asset Bkd. Sec. I Tr. 2005-CL1;
- Bear Stearns Asset Bckd Secs Trust 2006-4;
- BNC Mtg Ln Trust 2006-2;
- Citigroup Mortgage Loan Trust 2006-HE3;
- CWABS Asset-Backed Cert. Tr. 2005-BC5;
- CWABS Asset-Backed Cert. Trust 2005-17, 2006-13 and 2006-11;
- Encore Credit Receivables Trust 2005-2;
- Fieldstone Mortgage Investment Trust, Series 2006-3;
- Home Equity Asset Trust 2006-8, 2007-1, 2005-4 and 2006-7;
- HSI Asset Securitization Corporation Trust 2007-OPT1;
- JPMorgan Mortgage Acquisition Trust 2006-WF1, 2006-CH2 and 2006-WMC3;
- Long Beach Mortgage Loan Trust 2006-10;
- Long Beach Mortgage Loan Trust 2006-8;
- Merrill Lynch Mortgage Investors Trust, Series 2006-RM4;
- Merrill Lynch Mtg Investors Trust Series 2006-OPT1;
- NovaStar Mortgage Funding Trust Series 2006-6;
- Renaissance Home Equity Loan Trust 2006-3;
- Securitized Asset Backed Receivables LLC Trust 2007-NC1;
- Securitized Asset Bckd Rec LLC Trust 2006-NC3;
- Structured Asset Sec. Corp. Tr. 2005-SC1;
- Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC5, 2006-BC6, 2006-BC4 and 2007-BC1;
- Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE3 Trust;
Citing the same logic last week, S&P cut 707 ratings on 206 subprime transactions from 2002 to 2004. On Aug. 4, the New York-based ratings agency downgraded 4,435 ratings on 744 subprime RMBS.
