New York, July 02, 2009 -- Moody's Investors Service has downgraded the rating of 39 securities from
9 transactions issued by Centex. 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, in this case ranging from 65% to 80%.
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:
Centex Home Equity Co (CHEC) Loan Tr 2004-1
Cl. M-4, Downgraded to A3; previously on 9/29/2004
Assigned A1
Cl. M-5, Downgraded to Baa1; previously on 9/29/2004
Assigned A2
Cl. M-6, Downgraded to Baa2; previously on 9/29/2004
Assigned A3
Cl. M-7, Downgraded to Baa3; previously on 9/29/2004
Assigned Baa1
Cl. M-8, Downgraded to Ba1; previously on 9/29/2004
Assigned Baa2
Cl. M-9, Downgraded to Ba2; previously on 11/7/2007
Downgraded to Ba1
Cl. B-1, Downgraded to B2; previously on 11/7/2007
Downgraded to B1
Cl. B-2, Downgraded to Ca; previously on 11/7/2007
Downgraded to B3
Centex Home Equity Loan Trust 2002-A
Cl. MF-1, Downgraded to A1; previously on 1/29/2002
Assigned Aa2
Cl. MF-2, Downgraded to Baa3; previously on 1/29/2002
Assigned A2
Cl. MV-1, Downgraded to Baa2; previously on 1/29/2002
Assigned Aa2
Cl. MV-2, Downgraded to B1; previously on 1/29/2002
Assigned A2
Cl. BF, Downgraded to Caa2; previously on 1/29/2002
Assigned Baa2
Cl. BV, Downgraded to C; previously on 11/9/2006 Downgraded
to B1
Centex Home Equity Loan Trust 2002-C
Cl. M-2, Downgraded to Baa2; previously on 8/23/2002
Assigned A2
Cl. B-1, Downgraded to Caa3; previously on 2/12/2007
Downgraded to Baa3
Cl. B-2, Downgraded to C; previously on 11/9/2006
Downgraded to B1
Centex Home Equity Loan Trust 2002-D
Cl. B, Downgraded to Caa3; previously on 9/11/2007 Downgraded
to B3
Centex Home Equity Loan Trust 2003-A
Cl. M-3, Downgraded to Baa3; previously on 3/31/2003
Assigned Baa1
Cl. B, Downgraded to Ba1; previously on 3/31/2003 Assigned
Baa2
Centex Home Equity Loan Trust 2003-B
Cl. M-2, Downgraded to Baa2; previously on 7/31/2003
Assigned A2
Cl. M-3, Downgraded to Ba1; previously on 7/31/2003
Assigned Baa1
Cl. B, Downgraded to B3; previously on 7/31/2003 Assigned
Baa2
Centex Home Equity Loan Trust 2004-B
Cl. M-4, Downgraded to A3; previously on 5/19/2004
Assigned A1
Cl. M-5, Downgraded to Baa1; previously on 5/19/2004
Assigned A2
Cl. M-6, Downgraded to Baa3; previously on 5/19/2004
Assigned A3
Cl. M-7, Downgraded to Ba2; previously on 5/19/2004
Assigned Baa1
Cl. B, Downgraded to Caa3; previously on 5/19/2004 Assigned
Baa2
Centex Home Equity Loan Trust 2004-C
Cl. M-4, Downgraded to A3; previously on 8/9/2004
Assigned A1
Cl. M-5, Downgraded to Baa1; previously on 8/9/2004
Assigned A2
Cl. M-6, Downgraded to Baa3; previously on 8/9/2004
Assigned A3
Cl. M-7, Downgraded to Ba2; previously on 8/9/2004
Assigned Baa1
Cl. B, Downgraded to Caa1; previously on 8/9/2004 Assigned
Baa2
Centex Home Equity Loan Trust 2004-D
Cl. MV-2, Downgraded to Baa2; previously on 10/26/2004
Assigned Aa3
Cl. MV-3, Downgraded to Baa3; previously on 10/26/2004
Assigned A1
Cl. MV-4, Downgraded to Ba1; previously on 10/26/2004
Assigned A2
Cl. MV-5, Downgraded to Ba2; previously on 10/26/2004
Assigned A3
Cl. MV-6, Downgraded to B1; previously on 10/26/2004
Assigned Baa1
Cl. BV, Downgraded to Caa3; previously on 10/26/2004
Assigned Baa2
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
Caree Zhang
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $155.9 million of Centex subprime RMBS