New York, May 21, 2010 -- Moody's Investors Service has downgraded the ratings of 201 tranches,
confirmed the ratings of 16 tranches, and upgraded 1 tranche from
40 RMBS transactions issued by Bear Stearns. The collateral backing
these deals primarily consists of first-lien, fixed and/or
adjustable-rate subprime residential mortgages.
The actions are a result of the continued performance deterioration in
Subprime pools in conjunction with home price and unemployment conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on subprime pools issued from 2005 to 2007. For
details regarding Moody's approach to estimating losses on subprime pools
originated in 2005, 2006, and 2007, please refer to
the methodology publication "Subprime RMBS Loss Projection Update:
February 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on subprime
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
The above mentioned approach "Subprime RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on pools left
with a small number of loans. To project losses on pools with fewer
than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool (typically 20% for
subprime pools).
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool.
The fewer the number of loans remaining in the pool, the higher
the volatility and hence the stress applied. Once the loan count
in a pool falls below 75, the rate of delinquency is increased by
1% for every loan less than 75. For example, for a
pool with 74 loans from the 2005 vintage, the adjusted rate of new
delinquency would be 20.20%.
If current delinquency levels in a small pool is low, future delinquencies
are expected to reflect this trend. To account for that,
the rate calculated above is multiplied by a factor ranging from 0.2
to 2.0 for current delinquencies ranging from less than 2.5%
to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
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 tranches included in this action, noted
below, are wrapped by CIFG Assurance North America, Inc.
(CIFG); these securities are rated at their underlying rating pursuant
to the withdrawal of CIFG's insurance financial strength rating on November
2, 2009.
The principal methodology used in these ratings was Moody's "Subprime
RMBS Loss Projection Update: February 2010", published in
Feburary 2010 and available on www.moodys.com in the Rating
Methodologies sub-directory under the Research & Ratings tab.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
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
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ1
Cl. M-1, Downgraded to A2; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ2
Cl. A-3, Downgraded to Ba2; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1
Cl. A-2, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Aa3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B1; previously on Jan
13, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-FR1
Cl. M-1, Downgraded to Ba3; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE1
Cl. M-1, Confirmed at Aa2; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE10
Cl. A-3, Downgraded to Aa2; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE11
Cl. A-2, Downgraded to Aa1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca; previously on Jan
13, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE12
Cl. I-A-2, Downgraded to A2; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa2; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Aa3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B3; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE2
Cl. M-1, Downgraded to Baa3; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE4
Cl. M-1, Confirmed at Aa3; previously on Jan
13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE5
Cl. M-1, Confirmed at A1; previously on Jan 13,
2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE6
Cl. M-1, Confirmed at Aa2; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE8
Cl. A-3, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE9
Cl. I-A-3, Confirmed at Aaa; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-2, Confirmed at Aaa; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Financial Guarantor: CIFG Assurance North America, Inc.
(Insured Rating Withdrawn on Nov 2,2009)
Underlying Rating: Currently Aaa; previously on Jan 17,
2008 Assigned Aaa
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC1
Cl A-3, Downgraded to Aa1; previously on Jan 13,
2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa1; previously on Jan
13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Mar 24,
2009 Downgraded to Baa3
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC2
Cl. A-2, Downgraded to Aa1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to A1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B2; previously on Jan
13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC1
Cl. A-2, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Aa1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B2; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2
Cl. A-3, Confirmed at Aaa; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Aa1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B2; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE1
Cl. I-A-2, Downgraded to A1; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa3; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to Caa1; previously
on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on Jan 13, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. I-M-4, Downgraded to C; previously
on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. II-A-2, Confirmed at Aa2; previously
on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to A2; previously
on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. II-M-1, Downgraded to B1; previously
on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade
Cl. II-M-2, Downgraded to Ca; previously
on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-M-3, Downgraded to C; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. II-M-4, Downgraded to C; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-A-1, Confirmed at A1; previously
on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE2
Cl. I-A-2, Downgraded to Ba2; previously
on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to B3; previously
on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ba3; previously on Jan
13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE3
Cl. A-2, Downgraded to Ba2; previously on Jan
13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa1; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE4
Cl. I-A-2, Downgraded to Caa3; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE5
Cl. I-A-2, Downgraded to Caa1; previously
on Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Caa2; previously on Jan
13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE6
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to C; previously
on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. II-M-1, Downgraded to C; previously
on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-M-2, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE7
Cl. I-A-1, Downgraded to Ba2; previously
on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ca; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. II-1A-1, Downgraded to Ba1; previously
on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. II-1A-2, Downgraded to Ca; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-1A-3, Downgraded to C; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. II-2A, Downgraded to Ca; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9
Cl. I-A-1, Confirmed at Baa2; previously
on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa3; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Caa3; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Caa3; previously on
Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-PC1
Cl. A-2, Downgraded to A1; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa3; previously on Jan
13, 2010 Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2; previously on Jan
13, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 13,
2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ1
Cl. A-1, Downgraded to Caa2; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C; previously on Jan 13,
2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-AQ2
Cl. A-1, Downgraded to Caa1; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca; previously on Jan
13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-FS1
Cl. I-A-1, Confirmed at Ba3; previously
on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ca; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ca; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1
Cl. I-A-1, Confirmed at B3; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ca; previously
on Jan 13, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-1A-1, Upgraded to Ba1; previously
on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. II-1A-2, Downgraded to Caa3; previously
on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-1A-3, Downgraded to C; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-2A, Downgraded to Caa3; previously on
Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-3A, Downgraded to Caa3; previously on
Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-M-1, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE2
Cl. I-A-1, Downgraded to B1; previously
on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ca; previously
on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-1A-1, Downgraded to Baa3; previously
on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. II-1A-2, Downgraded to Caa3; previously
on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-1A-3, Downgraded to C; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-1A-4, Downgraded to C; previously
on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. II-2A, Downgraded to Ca; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-3A, Downgraded to Ca; previously on Jan
13, 2010 B3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE3
Cl. I-A-1, Downgraded to Ba1; previously
on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ca; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Caa3; previously on Jan
13, 2010 Caa2 Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Caa3; previously on
Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE4
Cl. I-A-1, Downgraded to Ba2; previously
on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ca; previously
on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Caa2; previously on Jan
13, 2010 B2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5
Cl. I-A-1, Downgraded to Baa2; previously
on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa1; previously
on Jan 13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Ca; previously
on Jan 13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to C; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Caa3; previously on Jan
13, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Caa2; previously on
Jan 13, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE6
Cl. I-A-1, Downgraded to Caa3; previously
on Jan 13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to C; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7
Cl. I-A-1, Downgraded to Caa2; previously
on Jan 13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa3; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ca; previously
on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to C; previously
on Jan 13, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Structured Products Trust 2007-EMX1
Cl. A-1, Confirmed at A1; previously on Jan 13,
2010 A1 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba3; previously on Jan
13, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa1; previously on Jan
13, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca; previously on Jan
13, 2010 B1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 13,
2010 B3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on Jan 13,
2010 Caa2 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Jan 13,
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/viewresearchdoc.aspx?docid=PBS_SF205882
A list of updated estimated pool losses and tranche recovery details is
being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689
For more information please see www.moodys.com.
New York
Amelia (Amy) Tobey
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 $6.6 bn of Subprime RMBS issued by Bear Stearns