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Rating Withdrawn on 3/25/2009)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