New York, June 05, 2009 -- Moody's Investors Service has downgraded the rating of 27 securities from
6 subprime RMBS transactions issued by Terwin Mortgage Trust. These
actions are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit enhancement
relative to updated collateral loss projections. The revised loss
projections generally result from deterioration in collateral performance
in recent months. Additionally, most affected transactions
have, at some point, passed performance triggers and released
portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e.
prior to 2H 2005) takes into account the annualized loss rate from last
12 months ("Recent Losses") and the projected loss rate over next 12 months
("Pipeline Losses"), and then translates these measures into lifetime
losses based on a deal's expected remaining life. Recent Losses
are calculated by assessing cumulative losses incurred over the past 12-months
as a percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%,
30%, 65% and 90% for loans that are delinquent
60-days, 90+ days, are in foreclosure, and
REO respectively. Moody's then applies deal-specific severity
assumptions. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
The complete rating actions follow:
Terwin Mortgage Trust, Series TMTS 2003-4HE
Cl. M-2, Downgraded to Baa3; previously on 11/21/2003
Assigned A2
Cl. B, Downgraded to Ba3; previously on 11/21/2003 Assigned
Baa2
Terwin Mortgage Trust, Series TMTS 2003-6HE
Cl. M-2, Downgraded to Baa2; previously on 12/23/2003
Assigned A2
Cl. M-3, Downgraded to Ba1; previously on 9/21/2007
Downgraded to Baa2
Cl. M-4, Downgraded to Caa2; previously on 2/26/2008
Downgraded to B3
Cl. M-5, Downgraded to C; previously on 2/26/2008
Downgraded to Ca
Terwin Mortgage Trust, Series TMTS 2003-8HE
Cl. M-1, Downgraded to A1; previously on 5/28/2004
Assigned Aa2
Cl. M-2, Downgraded to Baa2; previously on 5/28/2004
Assigned A2
Cl. M-3, Downgraded to Ba1; previously on 5/28/2004
Assigned A3
Cl. B-1, Downgraded to B2; previously on 9/21/2007
Downgraded to Ba1
Cl. B-2, Downgraded to C; previously on 9/21/2007
Downgraded to B2
Cl. B-3, Downgraded to C; previously on 9/21/2007
Downgraded to Caa1
Terwin Mortgage Trust, Series TMTS 2004-1HE
Cl. M-3, Downgraded to Baa2; previously on 5/10/2004
Assigned A3
Cl. B-1, Downgraded to Baa3; previously on 5/10/2004
Assigned Baa1
Cl. B-2, Downgraded to B1; previously on 5/10/2004
Assigned Baa2
Cl. B-3, Downgraded to C; previously on 2/26/2008
Downgraded to Caa2
Terwin Mortgage Trust, Series TMTS 2004-3HE
Cl. M-2, Downgraded to Baa3; previously on 9/5/2007
Downgraded to A3
Cl. M-2-X, Downgraded to Baa3; previously
on 9/5/2007 Downgraded to A3
Cl. M-3, Downgraded to Ba3; previously on 9/5/2007
Downgraded to Baa2
Cl. M-3-X, Downgraded to Ba3; previously
on 9/5/2007 Downgraded to Baa2
Cl. B-1, Downgraded to B3; previously on 9/5/2007
Downgraded to B1
Cl. B-2, Downgraded to C; previously on 2/26/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 2/26/2008
Downgraded to Ca
Terwin Mortgage Trust, Series TMTS 2004-5HE
Cl. M-3, Downgraded to Ba3; previously on 2/26/2008
Downgraded to Ba1
Cl. B-1, Downgraded to Caa1; previously on 2/26/2008
Downgraded to B2
Cl. B-2, Downgraded to C; previously on 2/26/2008
Downgraded to Caa3
Cl. B-3, Downgraded to C; previously on 2/26/2008
Downgraded to Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF169149
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Mark Branton
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades $53 Million of Terwin Subprime RMBS