Moody's downgrades or reviews for possible downgrade ratings of 54 tranches issued by CSFB Home Equity Asset Trust.
New York, July 23, 2007 -- Moody's Investors Service has downgraded the ratings of 22 tranches
issued by CSFB Home Equity Asset Trust ("HEAT"). Additionally Moody's
has placed the ratings of 32 HEAT tranches on review for possible downgrade.
The collateral backing each deal placed on review consists primarily of
first-lien, subprime fixed and adjustable rate mortgage loans.
Each deal being downgraded or placed on review for possible downgrade
has experienced an increasing rate of severely delinquent loans.
Additionally, the recent pace of losses in each deal has eroded
overcollateralization below its targeted level. The timing of losses
coupled with passing of performance triggers has caused the protection
available to the subordinate bonds to be diminished.
Complete rating actions are as follows:
Credit Suisse First Boston Mortgage Securities Corp.
Issuer: CSFB Home Equity Pass-Through Certificates,
Series 2004-8
Cl. B-2, Downgraded to Ba1 from Baa2
Cl. B-3, Downgraded to Ba2 from Baa3
Issuer: Credit Suisse First Boston Mortgage Acceptance Corp.
Series 2002-5
Cl. B-1, Placed on Review for Possible Downgrade,
currently B1
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-1
Cl. M-2, Placed on Review for Possible Downgrade,
currently A2
Cl. B-1, Placed on Review for Possible Downgrade,
currently B3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-2
Cl. M-2, Placed on Review for Possible Downgrade,
currently A2
Cl. B-1, Placed on Review for Possible Downgrade,
currently B2
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-3
Cl. M-2, Placed on Review for Possible Downgrade,
currently A2
Cl. B-1, Downgraded to Caa3 from B3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-4
Cl. B-1, Placed on Review for Possible Downgrade,
currently Ba3
Cl. M-2, Placed on Review for Possible Downgrade,
currently A2
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-1
Cl. B-2, Placed on Review for Possible Downgrade,
currently B2
Cl. B-3, Placed on Review for Possible Downgrade,
currently Caa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-2
Cl. M-3, Placed on Review for Possible Downgrade,
currently A2
Cl. B-1, Placed on Review for Possible Downgrade,
currently B2
Cl. B-2, Placed on Review for Possible Downgrade,
currently Caa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-3
Cl. M-3, Placed on Review for Possible Downgrade,
currently A2
Cl. B-1, Placed on Review for Possible Downgrade,
currently Ba2
Cl. B-2, Placed on Review for Possible Downgrade,
currently Caa2
Cl. B-3, Placed on Review for Possible Downgrade,
currently Caa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-4
Cl. B-2, Placed on Review for Possible Downgrade,
currently Ba1
Cl. B-3, Placed on Review for Possible Downgrade,
currently B1
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-5
Cl. M-3, Placed on Review for Possible Downgrade,
currently A3
Cl. B-1, Placed on Review for Possible Downgrade,
currently Ba2
Cl. B-2, Placed on Review for Possible Downgrade,
currently B2
Cl. B-3, Placed on Review for Possible Downgrade,
currently Caa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-6
Cl. M-3, Placed on Review for Possible Downgrade,
currently A3
Cl. B-1, Placed on Review for Possible Downgrade,
currently Baa2
Cl. B-2, Placed on Review for Possible Downgrade,
currently B1
Cl. B-3, Placed on Review for Possible Downgrade,
currently Caa2
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-7
Cl. B-1, Placed on Review for Possible Downgrade,
currently Baa1
Cl. B-2, Placed on Review for Possible Downgrade,
currently Ba2
Cl. B-3, Placed on Review for Possible Downgrade,
currently B3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-8
Cl. B-2, Placed on Review for Possible Downgrade,
currently Baa2
Cl. B-3, Placed on Review for Possible Downgrade,
currently Ba3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-1
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to Ba2 from Baa2
Cl. B-3, Downgraded to B3 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-2
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to Ba2 from Baa2
Cl. B-3, Downgraded to B3 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-3
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to Ba2 from Baa2
Cl. B-3, Downgraded to B1 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-4
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to Ba2 from Baa2
Cl. B-3, Downgraded to Ba3 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-5
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to Ba2 from Baa2
Cl. B-3, Downgraded to Ba3 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-6
Cl. B-2, Downgraded to Ba1 from Baa2
Cl. B-3, Downgraded to Ba2 from Baa3
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-7
Cl. B-2, Downgraded to Ba1 from Baa2
Cl. B-3, Downgraded to Ba2 from Baa3
For more information please see www.Moodys.com
New York
Nicolas S. Weill
Managing Director - Chief Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph Rocco
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653