New York, February 04, 2009 -- Moody's Investors Service has downgraded 259 tranches from 23 Nomura deals.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, Alt-A mortgage loans.
The actions are triggered by rapidly increasing delinquencies, higher
severities, slower prepayments and mounting losses in the underlying
collateral. Additionally, the continued deterioration of
the housing market has also contributed to the increased loss expectations
for Alt-A pools. The actions listed below reflect Moody's
updated expected losses on the Alt-A sector announced in a press
release on January 22, 2009, and are part of Moody's
on-going review process.
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. General loss estimation methodology
is outlined below.
For details regarding Moody's approach towards calculating updated
expected losses on Alt-A pools backed by collateral originations
from 2006 and 2007, please refer to the methodology publication
"Alt-A RMBS Loss Projection Update: January 2009,"
available on Moodys.com. Moody's will follow a similar
approach for deals from the 2005 vintage with appropriate changes to certain
key input parameters such as severity and the rate of delinquency build
up, which would be generally lower relative to the 2006 and 2007
vintages. These differences are aimed at better capturing the specific
characteristics of loans from the 2005 vintage that were originated in
an environment of relatively tighter underwriting standards and also benefited
from some initial home price appreciation.
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will
continue to evaluate performance data as it becomes available and will
assess the pattern of potential future defaults and adjust loss expectations
accordingly as necessary.
Moody's Investors Service completed its review of the underlying rating
on the following certificate that is guaranteed by the financial guarantor
identified below. The underlying rating reflects the intrinsic
credit quality of the certificate in the absence of the guarantee.
The current rating on the below certificate is consistent with Moody's
practice of rating insured securities at the higher of the guarantor's
insurance financial strength rating and the underlying rating based on
Moody's modified approach to rating structured finance securities wrapped
by financial guarantors. Please see the press release dated November
10, 2008, titled "Moody's modifies approach to rating structured
finance securities wrapped by financial guarantors".
Complete rating actions are as follows:
Nomura Asset Acceptance Corp ALT 2005-AP1
Cl. I-A-1, Downgraded to Ba1; previously
on 10/16/2008 Downgraded to A1
Cl. II-A-3, Downgraded to Aa3; previously
on 10/16/2008 Downgraded to Aa1
Cl. II-A-4, Downgraded to Aa3; previously
on 10/16/2008 Downgraded to Aa1
Cl. II-A-5, Downgraded to Aa2; previously
on 10/16/2008 Downgraded to Aa1
Cl. II-M-1, Downgraded to Baa2; previously
on 10/16/2008 Downgraded to A2
Cl. II-M-3, Downgraded to C; previously
on 10/16/2008 Downgraded to Caa2
Cl. I-B-1, Downgraded to Caa2; previously
on 10/16/2008 Downgraded to Ba3
Cl. I-B-2, Downgraded to C; previously
on 10/16/2008 Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-AP2
Cl. A-2, Downgraded to Baa3; previously on 10/16/2008
Downgraded to A3
Cl. A-3, Downgraded to Ba1; previously on 10/16/2008
Downgraded to Baa3
Cl. A-4, Downgraded to Ba1; previously on 10/16/2008
Downgraded to Baa3
Cl. A-IO, Downgraded to Baa3; previously on 10/16/2008
Downgraded to A3
Cl. M-2, Downgraded to C; previously on 10/16/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-AP3
Cl. A-2, Downgraded to Ba2; previously on 9/30/2005
Assigned Aaa
Cl. A-3, Downgraded to Ba3; previously on 7/25/2008
Downgraded to Aa1
Cl. A-4, Downgraded to Ba3; previously on 7/25/2008
Downgraded to Aa2
Cl. A-5, Downgraded to Ba2; previously on 7/25/2008
Downgraded to Aa2
Cl. A-IO, Downgraded to Ba2; previously on 9/30/2005
Assigned Aaa
Cl. M-1, Downgraded to Ca; previously on 3/19/2008
Downgraded to Baa1
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 3/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Nomura Asset Acceptance Corp ALT 2005-AR1
Cl. I-A-1, Downgraded to Aa1; previously
on 3/30/2005 Assigned Aaa
Cl. I-A-2, Downgraded to Aa2; previously
on 3/30/2005 Assigned Aaa
Cl. M-1, Downgraded to Caa1; previously on 10/16/2008
Downgraded to A1
Cl. M-2, Downgraded to C; previously on 10/16/2008
Downgraded to Ba1
Cl. M-3, Downgraded to C; previously on 10/16/2008
Downgraded to Caa2
Cl. M-4, Downgraded to C; previously on 10/16/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-AR2
Cl. I-A, Downgraded to Aa2; previously on 5/31/2005
Assigned Aaa
Cl. II-A-1, Downgraded to Aa1; previously
on 5/31/2005 Assigned Aaa
Cl. II-A-2, Downgraded to Aa2; previously
on 5/31/2005 Assigned Aaa
Cl. IV-A-1, Downgraded to Aa1; previously
on 5/31/2005 Assigned Aaa
Cl. IV-A-2, Downgraded to Aa2; previously
on 5/31/2005 Assigned Aaa
Cl. M-1, Downgraded to B3; previously on 10/16/2008
Downgraded to Baa1
Cl. M-2, Downgraded to C; previously on 10/16/2008
Downgraded to Caa2
Cl. M-3, Downgraded to C; previously on 10/16/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-AR3
Cl. I-A-1, Downgraded to Baa2; previously
on 10/16/2008 Downgraded to Aa3
Cl. I-A-2, Downgraded to Baa3; previously
on 10/16/2008 Downgraded to Baa2
Cl. II-A, Downgraded to Baa3; previously on 10/16/2008
Downgraded to Aa2
Cl. III-A-1, Downgraded to A1; previously
on 7/19/2005 Assigned Aaa
Cl. III-A-2, Downgraded to A2; previously
on 7/19/2005 Assigned Aaa
Cl. M-1, Downgraded to Caa2; previously on 10/16/2008
Downgraded to Caa1
Cl. M-2, Downgraded to C; previously on 10/16/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-AR4
Cl. II-A, Downgraded to A1; previously on 7/25/2008
Downgraded to Aa1
Cl. III-A-1, Downgraded to Baa3; previously
on 7/25/2008 Downgraded to Aa2
Cl. III-A-2, Downgraded to Ba1; previously
on 7/25/2008 Downgraded to A3
Cl. IV-A-1, Downgraded to Baa3; previously
on 8/26/2005 Assigned Aaa
Cl. IV-A-2, Downgraded to Ba1; previously
on 7/25/2008 Downgraded to A3
Cl. V-A-2, Downgraded to Ba1; previously
on 10/16/2008 Downgraded to Aa2
Cl. V-A-3, Downgraded to Ba1; previously
on 10/16/2008 Downgraded to Aa2
Cl. V-A-4, Downgraded to Ba3; previously
on 7/25/2008 Downgraded to A3
Cl. M-1, Downgraded to Ca; previously on 10/16/2008
Downgraded to Caa3
Nomura Asset Acceptance Corp ALT 2005-AR5
Cl. I-A-2, Downgraded to Baa3; previously
on 7/25/2008 Downgraded to Aa2
Cl. I-A-I, Downgraded to Baa1; previously
on 10/18/2005 Assigned Aaa
Cl. II-A-1, Downgraded to Aa3; previously
on 10/18/2005 Assigned Aaa
Cl. II-A-2, Downgraded to Baa3; previously
on 7/25/2008 Downgraded to Aa2
Cl. III-A-1, Downgraded to Baa3; previously
on 10/18/2005 Assigned Aaa
Cl. III-A-3, Downgraded to Baa3; previously
on 10/18/2005 Assigned Aaa
Cl. III-A-4, Downgraded to Ba1; previously
on 7/25/2008 Downgraded to Aa2
Cl. M-1, Downgraded to Ca; previously on 10/16/2008
Downgraded to B3
Nomura Asset Acceptance Corp ALT 2005-AR6
Cl. I-A, Downgraded to Caa1; previously on 7/25/2008
Downgraded to Baa3
Cl. II-A-1, Downgraded to Baa2; previously
on 7/25/2008 Downgraded to Aa1
Cl. III-A-1, Downgraded to B3; previously
on 7/25/2008 Downgraded to Aa3
Cl. III-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba1
Cl. IV-A-1, Downgraded to B3; previously
on 7/25/2008 Downgraded to Aa3
Cl. IV-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba1
Cl. M-1, Downgraded to C; previously on 3/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 11/13/2007
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2005-WF1
Cl. I-A, Downgraded to Baa1; previously on 6/17/2005
Assigned Aaa
Cl. II-A-1A, Withdrawn; previously on
6/17/2005 Assigned Aaa
Cl. II-A-1B, Withdrawn; previously on
6/17/2005 Assigned Aaa
Cl. II-A-2, Downgraded to A3; previously
on 6/17/2005 Assigned Aaa
Cl. II-A-3, Downgraded to Baa1; previously
on 6/17/2005 Assigned Aaa
Cl. II-A-4, Downgraded to Baa1; previously
on 6/17/2005 Assigned Aaa
Cl. II-A-5, Downgraded to A3; previously
on 6/17/2005 Assigned Aaa
Cl. M-1, Downgraded to Ba1; previously on 10/16/2008
Downgraded to A1
Cl. M-2, Downgraded to B2; previously on 10/16/2008
Downgraded to Ba1
Cl. M-3, Downgraded to C; previously on 10/16/2008
Downgraded to Caa3
Nomura Asset Acceptance Corp ALT 2006-AF1
Cl. I-A-1A, Downgraded to Aa3; previously
on 6/21/2006 Assigned Aaa
Cl. I-A-1B, Downgraded to Aa3; previously
on 6/21/2006 Assigned Aaa
Cl. I-A-2, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to Baa1
Cl. I-A-3, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Baa3
Cl. I-A-4, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Ba2
Cl. I-A-5, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to Ba1
Cl. I-A-IO, Downgraded to Aa3; previously
on 6/21/2006 Assigned Aaa
Cl. II-A, Downgraded to Caa3; previously on 7/25/2008
Downgraded to Ba2
Cl. III-A-1, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Aa2
Cl. III-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to B1
Cl. IV-A-1, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Aa2
Cl. IV-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba3
Cl. V-A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Ba2
Cl. I-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. I-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. C-B-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. C-B-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AF2
Cl. I-A-1, Downgraded to A3; previously
on 8/10/2006 Assigned Aaa
Cl. I-A-2, Downgraded to B1; previously
on 7/25/2008 Downgraded to A3
Cl. I-A-3, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Baa3
Cl. I-A-4, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Ba3
Cl. I-A-5, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Ba3
Cl. I-A-6, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Ba2
Cl. II-A, Downgraded to Caa3; previously on 7/25/2008
Downgraded to Ba3
Cl. III-A-1, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to A1
Cl. III-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to B2
Cl. IV-A, Downgraded to Caa3; previously on 7/25/2008
Downgraded to B1
Cl. V-A-1, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to Ba2
Cl. V-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. V-M-1, Downgraded to C; previously
on 7/25/2008 Downgraded to Caa3
Cl. V-M-2, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. V-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. V-M-4, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. V-M-5, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. C-B-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. C-B-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AP1
Cl. A-2, Downgraded to B3; previously on 7/25/2008
Downgraded to Aa2
Cl. A-3, Downgraded to Caa1; previously on 7/25/2008
Downgraded to Aa3
Cl. A-4, Downgraded to Caa1; previously on 7/25/2008
Downgraded to A1
Cl. A-5, Downgraded to B3; previously on 7/25/2008
Downgraded to A1
Cl. A-IO, Downgraded to B3; previously on 2/10/2006
Assigned Aaa
Cl. M-1, Downgraded to C; previously on 3/19/2008
B2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on 3/19/2008
B3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AR1
Cl. I-A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa3
Cl. II-A-1, Downgraded to Caa2; previously
on 2/10/2006 Assigned Aaa
Cl. II-A-2, Downgraded to Caa2; previously
on 2/10/2006 Assigned Aaa
Cl. II-A-3, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba1
Cl. III-A, Downgraded to Caa1; previously on
7/25/2008 Downgraded to Baa3
Cl. II-X, Downgraded to Caa2; previously on 2/10/2006
Assigned Aaa
Cl. IV-A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa3
Cl. V-A-1, Downgraded to B3; previously
on 7/25/2008 Downgraded to Aa2
Cl. V-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Baa2
Cl. V-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. V-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. V-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. V-M-4, Downgraded to C; previously
on 11/13/2007 Downgraded to Ca
Cl. B-1, Downgraded to C; previously on 3/19/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C; previously on 3/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. B-4, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AR2
Cl. I-A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Ba2
Cl. II-A-1, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to Aa3
Cl. II-A-2, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to Aa3
Cl. II-A-3, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba3
Cl. III-A-1, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to A1
Cl. III-A-2, Downgraded to Ca; previously
on 7/25/2008 Downgraded to Ba1
Cl. II-X, Downgraded to Caa1; previously on 7/25/2008
Downgraded to Aa3
Cl. III-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. III-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. III-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. III-M-4, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. III-M-5, Downgraded to C; previously
on 11/13/2007 Downgraded to Ca
Cl. C-B-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. C-B-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. C-B-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AR3
Cl. A-1A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa2
Cl. A-1B, Downgraded to Ca; previously on 7/25/2008
Downgraded to B3
Cl. A-2, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa3
Cl. A-3A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa2
Cl. A-3B, Downgraded to Ca; previously on 7/25/2008
Downgraded to B2
Cl. A-4A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa2
Cl. A-4B, Downgraded to Ca; previously on 7/25/2008
Downgraded to B3
Cl. M-1, Downgraded to C; previously on 3/19/2008
B3 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on 3/19/2008
Caa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Caa1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-5, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-AR4
Cl. A-1A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Ba3
Cl. A-1B, Downgraded to Ca; previously on 7/25/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa2; previously on 7/25/2008
Downgraded to B1
Cl. A-3, Downgraded to Caa3; previously on 7/25/2008
Downgraded to B2
Cl. A-4A, Downgraded to Caa2; previously on 7/25/2008
Downgraded to B1
Cl. A-4B, Downgraded to Ca; previously on 7/25/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on 7/25/2008
Downgraded to Caa3
Cl. M-2, Downgraded to C; previously on 7/25/2008
Downgraded to Ca
Cl. M-3, Downgraded to C; previously on 7/25/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 7/25/2008
Downgraded to Ca
Cl. M-5, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-6, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-7, Downgraded to C; previously on 11/13/2007
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2006-WF1
Cl. A-2, Downgraded to A3; previously on 9/22/2006
Assigned Aaa
Cl. A-3, Downgraded to B3; previously on 7/25/2008
Downgraded to Aa1
Cl. A-4, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Aa2
Cl. A-5, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Aa3
Cl. A-6, Downgraded to Caa1; previously on 7/25/2008
Downgraded to Aa2
Cl. M-1, Downgraded to C; previously on 3/19/2008
Downgraded to Ba2
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2007-1
Cl. I-A-1A, Downgraded to B1; previously
on 7/25/2008 Downgraded to Aa3
Cl. I-A-1B, Downgraded to B1; previously
on 7/25/2008 Downgraded to Aa3
Cl. I-A-2, Downgraded to Caa1; previously
on 7/25/2008 Downgraded to A2
Cl. I-A-3, Aa3; previously on 11/23/2008
Downgraded to Aa3
Current Underlying Rating: Downgraded to Caa2; previously on
9/9/2008 Published at Ba1
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/23/2008)
Cl. I-A-4, Aa3; previously on 11/23/2008
Downgraded to Aa3
Current Underlying Rating: Downgraded to Caa2; previously on
9/9/2008 Published at Ba2
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/23/2008)
Cl. I-A-5, Aa3; previously on 11/23/2008
Downgraded to Aa3
Current Underlying Rating: Downgraded to Caa2; previously on
9/9/2008 Published at Ba2
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/23/2008)
Cl. I-A-6, Aa3; previously on 11/23/2008
Downgraded to Aa3
Current Underlying Rating: Downgraded to Caa1; previously on
9/9/2008 Published at Ba2
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/23/2008)
Cl. II-A-1, Downgraded to Caa2; previously
on 7/25/2008 Downgraded to A3
Cl. II-A-2, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Baa1
Cl. II-A-3, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Baa2
Cl. II-A-4, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Baa2
Cl. II-A-M, Baa1; previously on 11/17/2008
Downgraded to Baa1
Current Underlying Rating: Downgraded to Ca; previously on
9/9/2008 Published at Caa1
Financial Guarantor: Ambac Insurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. I-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. I-M-4, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. I-M-5, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. I-M-6, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-1, Downgraded to C; previously
on 7/25/2008 Downgraded to Caa3
Cl. II-M-2, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. II-M-3, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. II-M-4, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-5, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-6, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-7, Downgraded to C; previously
on 1/14/2008 Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2007-2
Cl. A-1A, Downgraded to Caa1; previously on 7/25/2008
Downgraded to A3
Cl. A-1B, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa3
Cl. A-2, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa1
Cl. A-3, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa1
Cl. A-4, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Baa1
Cl. A-5, Downgraded to Caa2; previously on 7/25/2008
Downgraded to A3
Cl. A-6, Downgraded to Ca; previously on 7/25/2008
Downgraded to Ba2
Cl. A-7, Downgraded to Ca; previously on 7/25/2008
Downgraded to Ba3
Cl. M-1, Downgraded to C; previously on 3/19/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-5, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Asset Acceptance Corp ALT 2007-3
Cl. A-1, Baa1; previously on 11/17/2008 Downgraded
to Baa1
Current Underlying Rating: Downgraded to Caa2; previously on
9/9/2008 Published at B3
Financial Guarantor: Ambac Insurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. A-2, Baa1; previously on 11/17/2008 Downgraded
to Baa1
Current Underlying Rating: Downgraded to Caa3; previously on
9/9/2008 Published at Caa2
Financial Guarantor: Ambac Insurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. A-3, Baa1; previously on 11/17/2008 Downgraded
to Baa1
Current Underlying Rating: Downgraded to Caa3; previously on
9/9/2008 Published at Caa2
Financial Guarantor: Ambac Insurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. A-4, Baa1; previously on 11/17/2008 Downgraded
to Baa1
Current Underlying Rating: Downgraded to Caa3; previously on
9/9/2008 Published at Caa1
Financial Guarantor: Ambac Insurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. M-1, Downgraded to C; previously on 7/25/2008
Downgraded to Ca
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Home Equity Loan Trust 2006-AF1
Cl. A-1, Downgraded to Ba2; previously on 11/16/2006
Assigned Aaa
Cl. A-2, Downgraded to Caa2; previously on 7/25/2008
Downgraded to A1
Cl. A-3, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Ba1
Cl. A-4, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Ba2
Cl. M-1, Downgraded to C; previously on 3/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on 3/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 3/19/2008
Downgraded to Ca
Nomura Home Equity Loan Trust 2007-1
Cl. I-A-1, Downgraded to Caa2; previously
on 3/5/2007 Assigned Aaa
Cl. I-A-2, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to A1
Cl. I-A-3, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Ba1
Cl. I-A-4, Downgraded to Caa3; previously
on 7/25/2008 Downgraded to Ba3
Cl. II-1-A, Downgraded to Ca; previously
on 7/25/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. II-2-A-1A, Downgraded to Caa2;
previously on 7/25/2008 Downgraded to Ba3
Cl. II-2-A-1B, Downgraded to Ca;
previously on 7/25/2008 Downgraded to Caa1
Cl. II-2-A-2, Downgraded to Caa2;
previously on 7/25/2008 Downgraded to Caa1
Cl. II-2-A-3, Downgraded to Caa3;
previously on 7/25/2008 Downgraded to Caa1
Cl. II-2-A-4A, Downgraded to Caa2;
previously on 7/25/2008 Downgraded to B2
Cl. II-2-A-4B, Downgraded to Ca;
previously on 7/25/2008 Downgraded to Caa3
Cl. I-M-1, Downgraded to C; previously
on 3/19/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. I-M-3, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-1, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. II-M-2, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. II-M-3, Downgraded to C; previously
on 7/25/2008 Downgraded to Ca
Cl. II-M-4, Downgraded to C; previously
on 3/19/2008 Downgraded to Ca
Cl. II-M-5, Downgraded to C; previously
on 1/14/2008 Downgraded to Ca
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of historical performance
information regarding the asset class as well as for the transaction sponsor,
ii) an analysis of the collateral, iii) an analysis of the policies,
procedures and alignment of interests of the key parties to the transaction,
most notably the originator and the servicer, iv) an analysis of
the transaction's allocation of collateral cashflow and capital structure,
v) an analysis of the transaction's governance and legal structure,
and (vi) a comparison of these attributes against those of other similar
transactions.
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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF155080
For more information please see www.moodys.com.
A list of updated estimated pool losses is being updated twice weekly
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF154891
For more information please see www.moodys.com.
New York
John Park
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain Nomura deals
