New York, June 10, 2010 -- Moody's Investors Service has downgraded the ratings of 36 tranches and
confirmed the ratings of 7 tranches from 21 RMBS transactions issued by
CWABS. The collateral backing these deals primarily consists of
closed-end second (CES) mortgages and/or home equity lines of credit
(HELOC).
The actions are a result of the continued performance deterioration in
second lien pools in conjunction with home price and unemployment conditions
that remain under duress. The actions reflect Moody's updated loss
expectations on the second lien pools in relation to existing credit protection.
For details regarding Moody's approach to estimating losses on second
lien securities, please refer to the methodology publication "Second
Lien RMBS Loss Projection Methodology: April 2010" available on
Moodys.com.
Certain tranches included in this action, noted below, are
wrapped by MBIA Insurance Corporation (rated B3) or Syncora Guarantee
Inc. (rated Ca). 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. Certain other tranches included in this action,
noted below, are wrapped by Financial Guaranty Insurance Company
(FGIC). Moody's withdrew the insurance financial strength rating
of FGIC in March 2009. As a result securities wrapped by FGIC are
rated at their underlying rating without consideration of FGIC's guaranty.
RMBS securities wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
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 Rating Methodologies sub-directory. 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
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2006-SPS1
Cl. A, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2006-SPS2
Cl. A, Downgraded to C; previously on Mar 18,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-A
Notes, Downgraded to Caa2; previously on Mar 18, 2010
Ba1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-B
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 B3 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Cl. 2-A, Downgraded to Caa2; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-C
Notes, Downgraded to Caa2; previously on Mar 18, 2010
B3 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Master Trust, Series 2003-E
Notes, Downgraded to Caa2; previously on Mar 18, 2010
B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Revolving Home Equity Asset-Backed Notes,
Series 2004-O
Cl. 1-A, Downgraded to Caa3; previously on Mar
18, 2010 Ba3 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to Ca; previously on Mar
18, 2010 B3 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-D
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 B2 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to Caa2; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-E
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Cl. 2-A, Downgraded to Caa1; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-F
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Cl. 2-A, Downgraded to Caa2; previously on Mar
18, 2010 B3 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-J
Cl. 1-A, Downgraded to Caa1; previously on Mar
18, 2010 B3 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to B3; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-K
Cl. 1-A, Downgraded to Caa3; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to Ca; previously on Apr
16, 2010 Downgraded to Caa3 and Placed Under Review for Possible
Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-L
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to Ca; previously on Apr
16, 2010 Downgraded to Caa3 and Placed Under Review for Possible
Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-M
Cl. 1-A, Downgraded to Caa2; previously on Mar
18, 2010 B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Confirmed at Ca; previously on Apr 16,
2010 Downgraded to Ca and Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-N
Cl. 1-A, Downgraded to Caa3; previously on Apr
16, 2010 Caa2 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Downgraded to Ca; previously on Apr
16, 2010 Caa2 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-Q
Cl. 1-A, Confirmed at Caa3; previously on Mar
18, 2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on March 9, 2009)
Cl. 2-A, Downgraded to Ca; previously on Mar
18, 2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on March 9, 2009)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-S
Cl. A, Downgraded to Caa3; previously on Mar 18,
2010 B3 Placed Under Review for Possible Downgrade
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-T
Cl. 1-A, Confirmed at Ca; previously on Apr 16,
2010 Downgraded to Ca and Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 2-A, Confirmed at Ca; previously on Apr 16,
2010 Downgraded to Ca and Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-U
Cl. 1-A, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Cl. 2-A, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: CWABS, Inc. Asset-Backed Certificates,
Series 2003-S2
Cl. A-4, Downgraded to A2; previously on Mar
18, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to A1; previously on Mar
18, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1; previously on Mar
18, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba1; previously on Mar
18, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Issuer: CWABS, Inc., Asset-Backed Certificates,
Series 2003-SC1
Cl. M-1, Downgraded to Ba1; previously on Mar
18, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3; previously on Mar
18, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B1; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-4, Confirmed at B3; previously on Mar 18,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF207536
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph DiMiceli
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $1.6 bn of CES-HELOC RMBS issued by CWABS