New York, January 20, 2011 -- Moody's Investors Service has downgraded the ratings of eight tranches
from eight RMBS transactions issued by CWABS Master Trust. The
collateral backing these deals primarily consists of home equity lines
of credit (HELOC's).
RATINGS RATIONALE
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 second lien pools.
The principal methodology used in rating these notes was "Second Lien
RMBS Loss Projection Methodology: April 2010" rating methodology
published in April 2010. Other methodologies and factors that may
have been considered in the process of rating this issuer can also be
found on Moody's website.
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.
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. Class A issued by CWABS Master Trust, Series 2002-E
is wrapped by MBIA Insurance Corporation (rated B3). The notes
issued by the other seven CWABS Master Trust transactions are wrapped
by Financial Guaranty Insurance Company (Rating Withdrawn). RMBS
securities wrapped by Financial Guaranty Insurance Company are rated at
their underlying rating without consideration of the respective guaranties.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
later in 2011, accompanied by continued stress in national employment
levels through that timeframe.
If expected losses on the each of the collateral pools were to increase
by 10%, model implied results indicate that the deals ratings
would remain stable.
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: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2002-E
Cl. A, Downgraded to Ba3 (sf); previously on Mar 18,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2002-F
Notes, Downgraded to Baa3 (sf); previously on Mar 18,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2002-G
Notes, Downgraded to Ba1 (sf); previously on Mar 18,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2002-H
Notes, Downgraded to Ba1 (sf); previously on Mar 18,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2003-A
Notes, Downgraded to Ba3 (sf); previously on Mar 18,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust, Series 2003-B
Notes, Downgraded to Ba3 (sf); previously on Mar 18,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2003-C
Notes, Downgraded to B1 (sf); previously on Mar 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWABS Master Trust, Series 2003-D
Notes, Downgraded to B2 (sf); previously on Mar 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF234011
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, 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
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Bruce D. Fabrikant
Senior Vice President
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 $192 million of second lien RMBS HELOCs issued by CWABS Master Trust