Moody's Downgrades Certain Bear Stearns Subprime RMBS
New York, April 10, 2008 -- Moody's Investors Service has downgraded the ratings of 268 tranches from
27 subprime RMBS transactions issued by Bear Stearns Subprime.
Additionally, 92 downgraded tranches remain on review for possible
further downgrade. The collateral backing these transactions consists
primarily of first-lien, fixed and adjustable-rate,
subprime residential mortgage loans.
The ratings were downgraded, in general, based on higher than
anticipated rates of delinquency, foreclosure, and REO in
the underlying collateral relative to credit enhancement levels.
The actions described below are a result of Moody's on-going surveillance
process.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ2
Cl. M-2, Downgraded to A2 from Aa2
Cl. M-3, Downgraded to Baa2 from Aa3
Cl. M-4, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Baa1
Cl. M-7, Downgraded to Caa2 from Baa2
Cl. M-8, Downgraded to Caa3 from Baa3
Cl. M-9, Downgraded to Ca from Ba1
Cl. M-10, Downgraded to Ca from Ba2
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1
Cl. M-7, Downgraded to Ba1 from Baa2
Cl. M-8, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-FR1
Cl. M-5, Downgraded to Ba2 from Baa2
Cl. M-6, Downgraded to Caa1 from Baa3
Cl. M-7, Downgraded to Caa2 from Ba1
Cl. M-8, Downgraded to Caa3 from B2
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11
Cl. M-6, Downgraded to Baa2 from Baa1
Cl. M-7, Downgraded to Ba3 from Baa2
Cl. M-8, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-9, Downgraded to Caa1 from Ba1
Cl. M-10, Downgraded to Caa2 from Ba2
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12
Cl. M-5, Downgraded to Baa1 from A3
Cl. M-6, Downgraded to Ba2 from Baa1
Cl. M-7, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Baa3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AQ1
Cl. I-1A-1, Downgraded to Aa2 from Aaa
Cl. I-1A-2, Downgraded to A1 from Aaa
Cl. I-1A-3, Downgraded to A2 from Aaa
Cl. I-2A, Downgraded to Aa3 from Aaa
Cl. I-M-1, Downgraded to Ba3 from Aa1
Cl. I-M-2, Downgraded to B1 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-3, Downgraded to B2 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-4, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. I-M-5, Downgraded to Caa1 from B1
Cl. I-M-6, Downgraded to Caa2 from B3
Cl. I-M-7, Downgraded to Caa3 from Caa2
Cl. II-A-1, Downgraded to Aa1 from Aaa
Cl. II-A-2, Downgraded to A3 from Aaa
Cl. II-A-3, Downgraded to Baa2 from Aaa
Cl. II-M-1, Downgraded to B1 from Aa1;
Placed Under Review for further Possible Downgrade
Cl. II-M-2, Downgraded to B2 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-3, Downgraded to B2 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-4, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to Caa1 from B3
Cl. II-M-6, Downgraded to Caa2 from B3
Cl. II-M-7, Downgraded to Caa3 from Caa1
Cl. II-M-8, Downgraded to Ca from Caa2
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC1
Cl. M-6, Downgraded to Ba3 from Baa2
Cl. M-7, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Ba3
Cl. M-9, Downgraded to Caa2 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2
Cl. M-7, Downgraded to B1 from Baa3
Cl. M-8, Downgraded to B3 from Ba2; Placed Under
Review for further Possible Downgrade
Cl. M-9, Downgraded to Caa1 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1
Cl. I-M-6, Downgraded to Baa3 from Baa1
Cl. I-M-7, Downgraded to B2 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-8, Downgraded to B3 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-7, Downgraded to Ba3 from Baa2
Cl. II-M-8, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-M-2, Downgraded to Baa2 from Aa1
Cl. I-M-3, Downgraded to Ba2 from Aa2
Cl. I-M-4, Downgraded to B1 from Aa3
Cl. I-M-5, Downgraded to B1 from A2; Placed
Under Review for further Possible Downgrade
Cl. I-M-6, Downgraded to B2 from Baa1;
Placed Under Review for further Possible Downgrade
Cl. I-M-7, Downgraded to B3 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-8, Downgraded to Caa1 from Baa3
Cl. I-M-9, Downgraded to Caa2 from Ba3
Cl. II-1A-1, Downgraded to Aa3 from Aaa
Cl. II-1A-2, Downgraded to A2 from Aaa
Cl. II-1A-3, Downgraded to A3 from Aaa
Cl. II-2A, Downgraded to Aa3 from Aaa
Cl. II-3A, Downgraded to Aa1 from Aaa
Cl. II-M-1, Downgraded to Ba3 from Aa1
Cl. II-M-2, Downgraded to B1 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-3, Downgraded to B1 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-4, Downgraded to B2 from Baa1;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B3 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to Caa1 from Ba2
Cl. II-M-7, Downgraded to Caa2 from B2
Cl. II-M-8, Downgraded to Caa3 from B3
Cl. II-M-9, Downgraded to Ca from Caa1
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE2
Cl. M-7, Downgraded to Baa3 from Baa2
Cl. M-8, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-9, Downgraded to B3 from Ba3; Placed Under
Review for further Possible Downgrade
Cl. M-10, Downgraded to Caa2 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE3
Cl. M-5, Downgraded to Baa1 from A2
Cl. M-6, Downgraded to B1 from A3
Cl. M-7, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Ba3
Cl. M-9, Downgraded to Caa2 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE4
Cl. M-2, Downgraded to Baa2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3
Cl. M-4, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Ba1
Cl. M-7, Downgraded to Caa3 from B1
Cl. M-8, Downgraded to Caa3 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5
Cl. M-4, Downgraded to Baa1 from A1
Cl. M-5, Downgraded to Ba3 from A3
Cl. M-6, Downgraded to B2 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from B1
Cl. M-9, Downgraded to Caa2 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE6
Cl. I-M-3, Downgraded to A2 from Aa3
Cl. I-M-4, Downgraded to Ba1 from A1
Cl. I-M-5, Downgraded to B2 from Baa1;
Placed Under Review for further Possible Downgrade
Cl. I-M-6, Downgraded to B3 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-7, Downgraded to Caa1 from Ba2
Cl. I-M-8, Downgraded to Caa2 from B1
Cl. I-M-9, Downgraded to Caa3 from B3
Cl. II-M-2, Downgraded to A3 from Aa2
Cl. II-M-3, Downgraded to Ba1 from Aa3
Cl. II-M-4, Downgraded to B1 from A2;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B2 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-7, Downgraded to Caa1 from B3
Cl. II-M-8, Downgraded to Caa2 from B3
Cl. II-M-9, Downgraded to Caa3 from Caa2
Cl. II-M-10, Downgraded to C from Ca
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE7
Cl. I-M-1, Downgraded to A2 from Aa1
Cl. I-M-2, Downgraded to B1 from Aa2
Cl. I-M-3, Downgraded to B1 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-4, Downgraded to B2 from Baa1;
Placed Under Review for further Possible Downgrade
Cl. I-M-5, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. I-M-6, Downgraded to Caa1 from Ba3
Cl. I-M-7, Downgraded to Caa2 from B3
Cl. I-M-8, Downgraded to Ca from Caa3
Cl. II-M-1, Downgraded to A3 from Aa1
Cl. II-M-2, Downgraded to Ba3 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-3, Downgraded to B1 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-4, Downgraded to B2 from A3;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to B3 from B1;
Placed Under Review for further Possible Downgrade
Cl. II-M-7, Downgraded to Caa1 from B3
Cl. II-M-8, Downgraded to Caa2 from B3
Cl. II-M-9, Downgraded to Ca from Caa3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8
Cl. I-M-2, Downgraded to Baa2 from Aa2
Cl. I-M-3, Downgraded to Ba3 from Aa3
Cl. I-M-4, Downgraded to B1 from A3; Placed
Under Review for further Possible Downgrade
Cl. I-M-5, Downgraded to B2 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-6, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. I-M-7, Downgraded to B3 from Ba2;
Placed Under Review for further Possible Downgrade
Cl. I-M-8, Downgraded to Caa1 from B2
Cl. I-M-9, Downgraded to Caa2 from B3
Cl. I-M-10, Downgraded to Ca from Caa3
Cl. II-M-2, Downgraded to Baa2 from Aa2
Cl. II-M-3, Downgraded to Ba2 from Aa3
Cl. II-M-4, Downgraded to Ba3 from A2;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B1 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to B2 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-7, Downgraded to B3 from Ba2;
Placed Under Review for further Possible Downgrade
Cl. II-M-8, Downgraded to Caa1 from B1
Cl. II-M-9, Downgraded to Caa2 from B3
Cl. II-M-10, Downgraded to Caa3 from Caa1
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9
Cl. M-1, Downgraded to Aa2 from Aa1
Cl. M-2, Downgraded to Ba2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Ba2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from B1
Cl. M-9, Downgraded to Caa3 from B3
Cl. M-10, Downgraded to Ca from Caa3
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1
Cl. M-6, Downgraded to Ba1 from Baa1
Cl. M-7, Downgraded to B2 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-9, Downgraded to Caa2 from Ba1
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ1
Cl. A-1, Downgraded to A1 from Aaa
Cl. A-2, Downgraded to A3 from Aaa
Cl. A-3, Downgraded to Baa1 from Aaa
Cl. M-1, Downgraded to B1 from Aa1
Cl. M-2, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to Caa1 from Baa2
Cl. M-5, Downgraded to Caa2 from Ba2
Cl. M-6, Downgraded to Caa3 from B1
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ2
Cl. A-1, Downgraded to A1 from Aaa
Cl. A-2, Downgraded to Baa1 from Aaa
Cl. A-3, Downgraded to Baa3 from Aaa
Cl. A-4, Downgraded to Ba1 from Aaa
Cl. M-1, Downgraded to B1 from Aa1; Placed Under
Review for further Possible Downgrade
Cl. M-2, Downgraded to B2 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B3 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to Caa1 from Baa1
Cl. M-5, Downgraded to Caa2 from Ba1
Cl. M-6, Downgraded to Caa3 from B1
Cl. M-7, Downgraded to Ca from Caa2
Cl. M-8, Downgraded to C from Ca
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-FS1
Cl. I-A-1, Downgraded to Aa2 from Aaa
Cl. I-A-2, Downgraded to Aa3 from Aaa
Cl. I-A-3, Downgraded to A1 from Aaa
Cl. I-A-4, Downgraded to A2 from Aaa
Cl. II-A, Downgraded to Aa3 from Aaa
Cl. M-1, Downgraded to Ba1 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B2 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Ba3
Cl. M-7, Downgraded to Caa2 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1
Cl. I-A-1, Downgraded to Baa1 from Aaa
Cl. I-A-2, Downgraded to Ba1 from Aaa
Cl. I-A-3, Downgraded to Ba3 from Aaa
Cl. I-M-1, Downgraded to B1 from Aa1;
Placed Under Review for further Possible Downgrade
Cl. I-M-2, Downgraded to B2 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-3, Downgraded to B3 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-4, Downgraded to Caa1 from Baa1
Cl. I-M-5, Downgraded to Caa2 from Baa3
Cl. I-M-6, Downgraded to Caa3 from Ba3
Cl. I-M-7, Downgraded to Ca from B3
Cl. I-M-8, Downgraded to C from Caa2
Cl. II-M-1, Downgraded to A1 from Aa1
Cl. II-M-2, Downgraded to Ba2 from Aa2
Cl. II-M-3, Downgraded to B1 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. II-M-4, Downgraded to B2 from A2;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B3 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to Caa1 from Ba1
Cl. II-M-7, Downgraded to Caa2 from Ba3
Cl. II-M-8, Downgraded to Caa3 from B2
Cl. II-M-9, Downgraded to Ca from Caa1
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE2
Cl. I-A-2, Downgraded to Aa2 from Aaa
Cl. I-A-3, Downgraded to Aa3 from Aaa
Cl. I-A-4, Downgraded to A1 from Aaa
Cl. I-M-1, Downgraded to Baa3 from Aa1
Cl. I-M-2, Downgraded to Ba3 from Aa2;
Placed Under Review for further Possible Downgrade
Cl. I-M-3, Downgraded to B1 from Aa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-4, Downgraded to B2 from A3; Placed
Under Review for further Possible Downgrade
Cl. I-M-5, Downgraded to B3 from Baa3;
Placed Under Review for further Possible Downgrade
Cl. I-M-6, Downgraded to Caa1 from Ba2
Cl. I-M-7, Downgraded to Caa2 from B1
Cl. I-M-8, Downgraded to Caa3 from B3
Cl. II-M-2, Downgraded to Baa1 from Aa2
Cl. II-M-3, Downgraded to Ba1 from Aa3
Cl. II-M-4, Downgraded to B1 from A2;
Placed Under Review for further Possible Downgrade
Cl. II-M-5, Downgraded to B2 from Baa2;
Placed Under Review for further Possible Downgrade
Cl. II-M-6, Downgraded to B3 from Ba1;
Placed Under Review for further Possible Downgrade
Cl. II-M-7, Downgraded to Caa1 from B1
Cl. II-M-8, Downgraded to Caa2 from B2
Cl. II-M-9, Downgraded to Caa3 from B3
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE3
Cl. I-A-4, Downgraded to Aa1 from Aaa
Cl. II-A, Downgraded to Aa1 from Aaa
Cl. III-A, Downgraded to Aa1 from Aaa
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to Ba3 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to Caa1 from Baa3
Cl. M-8, Downgraded to Caa2 from Ba2
Cl. M-9, Downgraded to Caa3 from Ba3
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4
Cl. M-1, Downgraded to Aa2 from Aa1
Cl. M-2, Downgraded to Baa3 from Aa2
Cl. M-3, Downgraded to Ba3 from Aa3
Cl. M-4, Downgraded to B1 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to Caa1 from Baa1
Cl. M-8, Downgraded to Caa2 from Ba1
Cl. M-9, Downgraded to Caa3 from Ba2
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5
Cl. M-2, Downgraded to A2 from Aa2
Cl. M-3, Downgraded to Baa1 from Aa3
Cl. M-4, Downgraded to Baa2 from Aa3
Cl. M-5, Downgraded to Ba1 from A1
Cl. M-6, Downgraded to Ba2 from A2
Cl. M-7, Downgraded to B1 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-9, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
PDF: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF128856
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF128857
For more information please see www.moodys.com.
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653