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PLEASE READ AND SCROLL DOWN!

 

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Rating Action:

Moody's downgrades $46 million of ContiMortgage subprime RMBS

02 Jul 2009

New York, July 02, 2009 -- Moody's Investors Service has downgraded the rating of 19 securities and upgraded the rating of 1 security from 9 transactions issued by ContiMortgage Home Equity Loan Trust. 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 a severity assumption of 80%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection.

The upgrade of 1 rating is a result of stable and significant over-collateralization.

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:

ContiMortgage Home Equity Loan Trust 1994-05

A-4, Downgraded to B3; previously on 12/13/1994 Assigned Aaa

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Aaa

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

ContiMortgage Home Equity Loan Trust 1995-01

A-5, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

A-6IO, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

A-7IO, Downgraded to Caa1; previously on 12/19/2008 Downgraded to B3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at B3

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

ContiMortgage Home Equity Loan Trust 1995-02

A-5, Downgraded to B2; previously on 3/31/2008 Downgraded to Baa3

Current Underlying Rating: Downgraded to B2; previously on 6/16/2008 Published at Baa3

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

ContiMortgage Home Equity Loan Trust 1995-04

A-9, Downgraded to B3; previously on 6/20/2008 Downgraded to Ba1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

A-13IO, Downgraded to B3; previously on 6/20/2008 Downgraded to Ba1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

ContiMortgage Home Equity Loan Trust 1996-01

A-7, Downgraded to B3; previously on 6/16/2008 Published at Baa1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Baa1

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn on 3/25/2009)

ContiMortgage Home Equity Loan Trust 1996-02

A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-10IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at Ba1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

ContiMortgage Home Equity Loan Trust 1996-03

A-7, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-9IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-10IO, Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3

Current Underlying Rating: Downgraded to Caa1; previously on 6/16/2008 Published at Ba3

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

ContiMortgage Home Equity Loan Trust 1996-04

A-8, Downgraded to B3; previously on 2/18/2009 Downgraded to B1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-9, Downgraded to B3; previously on 2/18/2009 Downgraded to B1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-10, Downgraded to B3; previously on 2/18/2009 Downgraded to B1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-11IO, Downgraded to B3; previously on 2/18/2009 Downgraded to B1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

A-12IO, Downgraded to B3; previously on 2/18/2009 Downgraded to B1

Current Underlying Rating: Downgraded to B3; previously on 6/16/2008 Published at B1

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Negative on 6/25/2009)

ContiMortgage Home Equity Loan Trust 1997-2

M-1F, Upgraded to A3; previously on 12/12/2003 Downgraded to Baa3

A list of these actions including CUSIP identifiers may be found at:

www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF172303

For more information please see www.moodys.com.

New York
Bruce D. Fabrikant
Senior Vice President
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 $46 million of ContiMortgage subprime RMBS
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