Moody's places certain classes of certificates backed by New Century subprime loans on review for possible downgrade and upgrade.
New York, August 31, 2007 -- Moody's Investors Service has placed on review for possible upgrade 6
certificates, and for possible downgrade 20 certificates,
issued in 2004 and backed by New Century originated subprime loans.
The actions are based on the analysis of the credit enhancement provided
by subordination, overcollateralization and excess spread relative
to the expected loss.
Complete rating actions are as follows:
Review for Possible Upgrade:
Issuer: GSAA Trust 2004-NC1
Class M-1, current rating Aa2;
Class M-2, current rating A2;
Class B-1, current rating Baa2;
Issuer: New Century Home Equity Loan Trust, Series 2004-2
Class M-1, current rating Aa1;
Class M-2, current rating Aa2;
Class M-3, current rating Aa3;
Review for Possible Downgrade:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE1
Class M-6, current rating Baa3;
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE2
Class M-6, current rating Baa3;
Issuer: Carrington Mortgage Loan Trust, Series 2004-NC1
Class M-3, current rating A3;
Class M-4, current rating Baa1;
Class M-5, current rating Baa2;
Class M-6, current rating Baa3;
Issuer: GSAMP Trust 2004-NC1
Class B-3, current rating Baa3;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC1
Class B-3, current rating Baa3;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Class B-3, current rating Baa3;
Class B-4, current rating Ba1;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3
Class B-3, current rating Baa3;
Class B-4, current rating Ba1;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC4
Class B-3, current rating Baa3;
Class B-4, current rating Ba1;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC5
Class B-3, current rating Baa3;
Class B-4, current rating Ba1;
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC6
Class B-3, current rating Baa3;
Issuer: New Century Home Equity Loan Trust, Series 2004-1
Class M-6, current rating Baa3;
Issuer: New Century Home Equity Loan Trust, Series 2004-3
Class M-9, current rating Baa3;
Issuer: Securitized Asset Backed Receivables LLC Trust 2004-NC1
Class B-3, current rating Baa3.
For more information 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
Ola Hannoun-Costa
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653