Moody's downgrades, reviews for downgrade, and confirms the ratings on several tranches from deals originated by New Century Mortgage Corporation in 2001, 2002, and 2003
New York, June 19, 2007 -- Moody's Investors Service has downgraded eighteen tranches, placed
under review for possible downgrade five tranches, and confirmed
the rating on three tranches from several 2001, 2002, and
2003 deals with loans originated by New Century Mortgage Corporation.
The collateral backing these classes consists of primarily first lien,
fixed and adjustable-rate, subprime mortgage loans.
The certificates have been downgraded and placed on review for possible
downgrade based upon recent and expected pool losses and the resulting
erosion of credit support. Overcollateralization amounts in all
of the transactions are currently below their floors and pipeline losses
are likely to cause further erosion of the overcollateralization,
which could put pressure on the subordinate tranches. Furthermore,
existing credit enhancement levels may be low given the current projected
losses on the underlying pools. Although the deals' losses
are performing within the area of original expectations, credit
support deterioration seen in many of these deals can be partially attributed
to the deals passing performance triggers and therefore releasing large
amounts of overcollateralization.
Finally, Moody's has confirmed the current ratings on the Class
M-5 and M-6 certificates from New Century Home Equity Loan
Trust, Series 2003-3 and on the Class B-1 certificates
from Morgan Stanley Dean Witter Capital I Inc., Series 2001-NC3
as credit support is sufficient to support the current ratings on these
certificates.
Complete rating actions are as follows:
Downgrade
Issuer: Ace Securities Corporation Home Equity Loan Trust
Series 2003-NC1, Class M-5, downgraded from
Baa2 to Ba3
Series 2003-NC1, Class M-6, downgraded from
Baa3 to B2
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
Series 2001-HE1, Class B, downgraded from Ba1 to B3
Issuer: Merrill Lynch Mortgage Investors Trust
Series 2002-NC1, Class B-1, downgraded from
Baa2 to Ba2
Series 2002-NC1, Class B-2, downgraded from
Baa3 to Ba3
Issuer: Morgan Stanley Capital I Inc.
Series 2003-NC4, Class B-2, downgraded from
Baa2 to Ba2
Series 2003-NC4, Class B-3, downgraded from
Baa3 to B3
Issuer: Morgan Stanley Dean Witter Capital I Inc.
Series 2001-NC4, Class B-1, downgraded from
B1 to Caa1
Series 2002-NC2, Class B-1, downgraded from
Ba1 to Caa1
Series 2002-NC4, Class M-2, downgraded from
Aa2 to A3
Series 2002-NC4, Class B-1, downgraded from
Baa3 to B3
Series 2002-NC4, Class B-2, downgraded from
B1 to Ca
Series 2003-NC1, Class B-1, downgraded from
Baa2 to Ba3
Series 2003-NC1, Class B-2, downgraded from
Baa3 to B3
Series 2003-NC2, Class B-1, downgraded from
Baa2 to Ba1
Series 2003-NC2, Class B-2, downgraded from
Baa3 to Ba3
Issuer: New Century Home Equity Loan Trust
Series 2003-2, Class M-3, downgraded from Baa2
to Ba2
Series 2003-2, Class M-4, downgraded from Baa3
to B2
Review for Downgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc.
Series 2003-NC3, Class B-2, current rating Baa2,
under review for possible downgrade
Series 2003-NC3, Class B-3, current rating Baa3,
under review for possible downgrade
Issuer: Morgan Stanley ABS Capital I Inc.
Series 2003-NC5, Class B-1, current rating Baa1,
under review for possible downgrade
Series 2003-NC5, Class B-2, current rating Baa2,
under review for possible downgrade
Series 2003-NC5, Class B-3, current rating Baa3,
under review for possible downgrade
Confirm
Issuer: Morgan Stanley Dean Witter Capital I Inc.
Series 2001-NC3, Class B-1, confirmed at Ba1
Issuer: New Century Home Equity Loan Trust
Series 2003-3, Class M-5, confirmed at Baa2
Series 2003-3, Class M-6, confirmed at 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
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653