New York, March 11, 2011 -- Moody's Investors Service has downgraded the ratings of 91 tranches and
confirmed the rating of one tranche from 22 Subprime deals issued by ABSC.
The collateral backing these deals primarily consists of first-lien,
fixed and adjustable rate Subprimeresidential 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. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
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.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
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: ABSC Home Equity Loan Trust Pass-Through Certificates,
Series 2001-HE3
Cl. A-1, Downgraded to B1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M1, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to C (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Sec Corp Home Equity Loan Tr 2004-HE8
Cl. M1, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to C (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
1999-LB1
A-3A, Downgraded to B3 (sf); previously on Apr 8,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
A-5A, Downgraded to B3 (sf); previously on Apr 8,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
A-1F, Downgraded to B1 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
A-2F, Downgraded to B1 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
B-1A, Downgraded to C (sf); previously on Apr 8,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
B-1F, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE2
Cl. M1, Downgraded to A2 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to B2 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to C (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE4
Cl. M1, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE5
Cl. M1, Downgraded to Baa1 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to B2 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE6
Cl. M1, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Ca (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M6, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE7
Cl. M1, Downgraded to A3 (sf); previously on Jan 26,
2004 Assigned Aa2 (sf)
Cl. M2, Downgraded to B1 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M6, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE1
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (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. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE10
Cl. M2, Downgraded to Baa1 (sf); previously on Apr 8,
2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Caa2 (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE2
Cl. M1, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M5A, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M5B, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE3
Cl. M1, Downgraded to Baa3 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa2 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M6, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE4
Cl. M2, Downgraded to A1 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Baa3 (sf); previously on Apr 8,
2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE5
Cl. M1, Downgraded to A2 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Ba1 (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to B1 (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to B2 (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to Ca (sf); previously on Apr 8,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE6
Cl. M1, Downgraded to Ba1 (sf); previously on Apr 8,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to C (sf); previously on Apr 8,
2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE7
Cl. M1, Downgraded to Ba2 (sf); previously on Apr 8,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa2 (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M5, Downgraded to Ca (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M6, Confirmed at Ca (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE9
Cl. M1, Downgraded to B3 (sf); previously on Apr 8,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Ca (sf); previously on Apr 8,
2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series 2001-HE1
Cl. M-1, Downgraded to B2 (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 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation, Long Beach Home
Equity Loan Trust 2000-LB1, Home Equity Loan Pass-Through
certificates, Series 2000-LB1
Cl. AF5, Downgraded to Baa2 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF6, Downgraded to Baa1 (sf); previously on Apr
8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M2V, Downgraded to Caa3 (sf); previously on Apr
8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M1F, Downgraded to Caa3 (sf); previously on Apr
8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M2F, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation, Series 2002-HE1
Cl. M1, Downgraded to Baa2 (sf); previously on Apr 8,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to B2 (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Securities Corporation, Series 2002-HE2
Cl. B, Downgraded to Caa3 (sf); previously on Apr 8,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Home Equity Loan Trust, Series 2003-HE3
Cl. M1, Downgraded to A3 (sf); previously on Apr 8,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to B2 (sf); previously on Apr 8,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to Caa3 (sf); previously on Apr 8,
2010 B2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel : http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF239165
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 :
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
Qiuzi Huang
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
Moody's downgrades $1.1 billion of Subprime RMBS issued by ABSC in 1999 through 2004
