New York, March 23, 2011 -- The March 18th press release for this action provided an incorrect link
to the list of updated estimated pool losses and sensitivity analysis.
This has been corrected, and the appropriate link is included below.
Revised release follows.
New York, March 18, 2011 -- Moody's Investors
Service has downgraded the ratings of 17 tranches from 2 Subprime deals
issued by Popular ABS. The collateral backing these deals primarily
consists of first-lien, fixed and adjustable rate Subprime
residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
securitized before 2005.
The principal methodology used in these ratings was "Pre-2005 US
RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: Popular ABS Mortgage Pass-Through Trust 2004-4
Cl. AV-1, Downgraded to Aa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B3 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Popular ABS Mortgage Pass-Through Trust 2004-5
Cl. AF-4, Downgraded to Aa1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Downgraded to Aa1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to Aa1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AV-1A, Downgraded to Baa1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AV-1B, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AV-2, Downgraded to Baa1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3 (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF240443
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Junil Park
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Correction to Text, March 18, 2011 Release: Moody's downgrades $228 million of Subprime RMBS issued by Popular in 2004