New York, May 26, 2009 -- Moody's Investors Service has downgraded the rating of 123 securities
from 30 subprime RMBS transactions issued by Credit Suisse. 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 deal-specific severity
assumptions, in this case ranging from 55% to 80%.
The results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
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:
CSFB ABS Trust Series 2001-HE16
Cl. M-1, Downgraded to B2; previously on 6/24/2008
Downgraded to Ba2
Cl. M-2, Downgraded to C; previously on 6/24/2008
Downgraded to Caa2
Cl. B, Downgraded to C; previously on 6/24/2008 Downgraded
to Ca
CSFB ABS Trust Series 2001-HE17
Cl. M-1, Downgraded to B1; previously on 6/24/2008
Downgraded to A2
Cl. M-2, Downgraded to C; previously on 6/24/2008
Downgraded to Caa1
CSFB ABS Trust Series 2001-HE20
Cl. M-1, Downgraded to Baa3; previously on 6/24/2008
Downgraded to A1
Cl. M-2, Downgraded to Ca; previously on 6/24/2008
Downgraded to B1
Cl. B, Downgraded to C; previously on 10/24/2006 Downgraded
to Ca
CSFB ABS Trust Series 2001-HE25
Cl. M-1, Downgraded to Baa1; previously on 10/24/2006
Downgraded to Aa2
Cl. M-2, Downgraded to Ca; previously on 6/20/2006
Downgraded to Baa1
Cl. B, Downgraded to C; previously on 10/24/2006 Downgraded
to Ca
CSFB ABS Trust Series 2001-HE30
Cl. M-1, Downgraded to Baa2; previously on 1/3/2002
Assigned Aa2
Cl. M-2, Downgraded to Ca; previously on 5/11/2007
Downgraded to Baa3
Cl. M-F-1, Downgraded to A1; previously
on 1/3/2002 Assigned Aa2
Cl. M-F-2, Downgraded to Baa3; previously
on 7/28/2005 Downgraded to Baa1
Cl. B, Downgraded to C; previously on 5/11/2007 Downgraded
to Caa3
Cl. B-F, Downgraded to Ca; previously on 10/24/2006
Downgraded to Caa3
CSFB ABS Trust Series 2001-HE8
Cl. M-1, Downgraded to Baa1; previously on 3/30/2001
Assigned Aa2
Cl. M-2, Downgraded to Ba3; previously on 3/30/2001
Assigned A2
Cl. B, Downgraded to C; previously on 7/28/2005 Downgraded
to Ba2
CSFB ABS Trust Series 2002-HE1
Cl. M-1, Downgraded to Baa2; previously on 11/13/2007
Downgraded to A2
Cl. M-2, Downgraded to Ca; previously on 6/24/2008
Downgraded to Ba3
Cl. B, Downgraded to C; previously on 11/13/2007 Downgraded
to Ca
CSFB ABS Trust Series 2002-HE11
Cl. M-2, Downgraded to Ba2; previously on 6/24/2008
Downgraded to Baa3
Cl. B-1, Downgraded to C; previously on 6/24/2008
Downgraded to Caa3
CSFB ABS Trust Series 2002-HE16
Cl. M-2, Downgraded to Baa2; previously on 5/29/2002
Assigned A2
Cl. B-1, Downgraded to B1; previously on 11/13/2007
Downgraded to Ba3
CSFB ABS Trust Series 2002-HE4
Cl. M-1, Downgraded to Baa1; previously on 10/28/2005
Upgraded to Aa1
Cl. M-2, Downgraded to B2; previously on 11/13/2007
Downgraded to Baa3
Cl. M-F-1, Downgraded to A3; previously
on 2/26/2002 Assigned Aa2
Cl. M-F-2, Downgraded to Ba3; previously
on 10/28/2005 Downgraded to Baa1
Cl. B, Downgraded to C; previously on 11/13/2007 Downgraded
to B2
Cl. B-F, Downgraded to C; previously on 8/1/2006
Downgraded to Caa3
CSFB Home Equity Pass-Thru Ctfs 2004-8
Cl. M-4, Downgraded to Ba1; previously on 1/29/2008
Downgraded to Baa2
Cl. M-5, Downgraded to B1; previously on 1/29/2008
Downgraded to Baa3
Cl. M-6, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba1
Cl. B-1, Downgraded to C; previously on 1/29/2008
Downgraded to B1
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Caa3
Home Equity Asset Trust 2002-1
Cl. M-1, Downgraded to A3; previously on 6/27/2002
Assigned Aa2
Cl. M-2, Downgraded to Ba3; previously on 8/6/2007
Downgraded to Baa2
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to Caa3
Home Equity Asset Trust 2002-2
Cl. M-1, Downgraded to A3; previously on 7/29/2002
Assigned Aa2
Cl. M-2, Downgraded to B1; previously on 8/6/2007
Downgraded to Baa1
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to Caa2
Home Equity Asset Trust 2002-3
Cl. M-1, Downgraded to Baa2; previously on 9/26/2002
Assigned Aa2
Cl. M-2, Downgraded to Caa1; previously on 8/6/2007
Downgraded to Ba1
Cl. B-1, Downgraded to C; previously on 7/23/2007
Downgraded to Caa3
Home Equity Asset Trust 2002-4
Cl. M-1, Downgraded to Baa1; previously on 10/29/2002
Assigned Aa2
Cl. M-2, Downgraded to B3; previously on 8/6/2007
Downgraded to Baa1
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to Caa1
Home Equity Asset Trust 2002-5
Cl. M-1, Downgraded to A2; previously on 1/6/2003
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 1/6/2003
Assigned A2
Cl. B-1, Downgraded to Ca; previously on 8/6/2007
Downgraded to Caa1
Home Equity Asset Trust 2003-1
Cl. B-2, Downgraded to C; previously on 8/6/2007
Downgraded to Caa1
Home Equity Asset Trust 2003-2
Cl. M-1, Downgraded to Baa1; previously on 4/9/2003
Assigned Aa2
Cl. M-2, Downgraded to Ba2; previously on 4/9/2003
Assigned A1
Cl. M-3, Downgraded to Ca; previously on 8/6/2007
Downgraded to Baa3
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to Caa1
Home Equity Asset Trust 2003-3
Cl. M-1, Downgraded to A2; previously on 9/22/2006
Upgraded to Aa1
Cl. M-2, Downgraded to Baa3; previously on 9/22/2006
Upgraded to A1
Cl. M-3, Downgraded to B3; previously on 8/6/2007
Downgraded to Baa3
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to B3
Home Equity Asset Trust 2003-5
Cl. M-1, Downgraded to Baa1; previously on 8/28/2003
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 8/28/2003
Assigned A2
Cl. M-3, Downgraded to Ba3; previously on 8/6/2007
Downgraded to Baa1
Cl. B-1, Downgraded to Ca; previously on 8/6/2007
Downgraded to B3
Cl. B-2, Downgraded to C; previously on 8/6/2007
Downgraded to Caa2
Home Equity Asset Trust 2003-6
Cl. M-2, Downgraded to Caa1; previously on 11/14/2003
Assigned A2
Cl. M-3, Downgraded to C; previously on 8/6/2007
Downgraded to Baa2
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to B1
Home Equity Asset Trust 2003-7
Cl. M-1, Downgraded to A3; previously on 12/23/2003
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 12/23/2003
Assigned A2
Cl. M-3, Downgraded to Ba3; previously on 12/23/2003
Assigned A3
Cl. B-1, Downgraded to C; previously on 8/6/2007
Downgraded to Ba1
Cl. B-2, Downgraded to C; previously on 8/6/2007
Downgraded to B3
Home Equity Asset Trust 2003-8
Cl. M-1, Downgraded to A2; previously on 1/5/2004
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 1/5/2004
Assigned A2
Cl. M-3, Downgraded to Ba3; previously on 1/5/2004
Assigned A3
Cl. B-1, Downgraded to Caa3; previously on 1/5/2004
Assigned Baa1
Cl. B-2, Downgraded to Ca; previously on 8/6/2007
Downgraded to Ba1
Cl. B-3, Downgraded to C; previously on 8/6/2007
Downgraded to B3
Home Equity Asset Trust 2004-1
Cl. M-2, Downgraded to Ba1; previously on 1/29/2008
Downgraded to Baa3
Cl. M-3, Downgraded to B1; previously on 1/29/2008
Downgraded to Ba1
Cl. B-1, Downgraded to Ca; previously on 1/29/2008
Downgraded to B1
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa2
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Ca
Home Equity Asset Trust 2004-2
Cl. M-2, Downgraded to Baa3; previously on 1/29/2008
Downgraded to Baa2
Cl. M-3, Downgraded to Ba3; previously on 1/29/2008
Downgraded to Baa3
Cl. B-1, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba3
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Ca
Home Equity Asset Trust 2004-3
Cl. M-2, Downgraded to B1; previously on 1/29/2008
Downgraded to Baa3
Cl. M-3, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba2
Cl. B-1, Downgraded to C; previously on 1/29/2008
Downgraded to B3
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa3
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Ca
Home Equity Asset Trust 2004-4
Cl. M-3, Downgraded to Baa2; previously on 1/29/2008
Downgraded to A2
Cl. M-4, Downgraded to Baa3; previously on 1/29/2008
Downgraded to Baa1
Cl. M-5, Downgraded to B3; previously on 1/29/2008
Downgraded to Baa2
Cl. M-6, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba1
Cl. B-1, Downgraded to C; previously on 1/29/2008
Downgraded to Ba3
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Ca
Home Equity Asset Trust 2004-5
Cl. M-3, Downgraded to Baa3; previously on 1/29/2008
Downgraded to A3
Cl. M-4, Downgraded to Ba1; previously on 1/29/2008
Downgraded to Baa2
Cl. M-5, Downgraded to B3; previously on 1/29/2008
Downgraded to Baa3
Cl. M-6, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba3
Cl. B-1, Downgraded to C; previously on 1/29/2008
Downgraded to B2
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to Caa3
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Ca
Home Equity Asset Trust 2004-6
Cl. M-3, Downgraded to Baa3; previously on 1/29/2008
Downgraded to A2
Cl. M-4, Downgraded to Ba1; previously on 1/29/2008
Downgraded to Baa1
Cl. M-5, Downgraded to B3; previously on 1/29/2008
Downgraded to Baa2
Cl. M-6, Downgraded to Ca; previously on 1/29/2008
Downgraded to Baa3
Cl. B-1, Downgraded to C; previously on 1/29/2008
Downgraded to Ba3
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to B3
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Caa3
Home Equity Asset Trust 2004-7
Cl. M-5, Downgraded to Ba1; previously on 1/29/2008
Downgraded to Baa2
Cl. M-6, Downgraded to Caa1; previously on 1/29/2008
Downgraded to Ba1
Cl. B-1, Downgraded to Ca; previously on 1/29/2008
Downgraded to Ba3
Cl. B-2, Downgraded to C; previously on 1/29/2008
Downgraded to B3
Cl. B-3, Downgraded to C; previously on 1/29/2008
Downgraded to Caa3
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF167260
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades certain Credit Suisse subprime RMBS