Moody's takes action on 11 RMBS deals backed by subprime mortgages originated by WMC
New York, April 04, 2008 -- Moody's Investors Service has downgraded 49 tranches from 11 deals sold
by various issuers in 2005. The transactions are backed by primarily
first-lien, subprime fixed and adjustable rate mortgage loans
The actions are based on the analysis of the credit enhancement provided
by subordination, overcollateralization and excess spread relative
to expected losses.
The certificates have been downgraded based upon recent and expected pool
losses and the resulting erosion of credit support. Moreover,
increasing delinquencies along with step-down, or the possibility
thereof, is likely to cause further erosion of credit enhancement
levels.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE1
Cl. M9, downgraded from Baa3 to Ba2
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE3
Cl. M9, downgraded from Baa3 to Ba2
Cl. M10, downgraded from Ba1 to B1
Cl. M11, downgraded from Ba2 to Caa2
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE5
Cl. M8, downgraded from Baa2 to Ba1
Cl. M9, downgraded from Baa3 to B2
Cl. M10, downgraded from Ba1 to Caa1
Cl. M11, downgraded from Ba2 to Caa3
Issuer: MASTR Asset Backed Securities Trust 2005-WMC1
Cl. M-4, downgraded from A1 to A3
Cl. M-5, downgraded from A2 to Baa1
Cl. M-6, downgraded from A3 to Baa2
Cl. M-7, downgraded from Baa1 to Ba1
Cl. M-8, downgraded from Baa2 to B2
Cl. M-9, downgraded from Baa3 to Caa1
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC1
Cl. B-3, downgraded from Baa3 to Ba1
Cl. B-4, downgraded from Ba1 to Ba3
Cl. B-5, downgraded from Ba2 to B3
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC2
Cl. M-4, downgraded from A1 to A3
Cl. M-5, downgraded from A2 to Baa1
Cl. M-6, downgraded from A3 to Baa2
Cl. B-1, downgraded from Baa1 to Baa3
Cl. B-2, downgraded from Baa2 to Ba1
Cl. B-3, downgraded from Baa3 to B3
Cl. B-4, downgraded from Ba1 to Caa2
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC1
Cl. M-2, downgraded from Aa2 to A1
Cl. M-3, downgraded from Aa3 to A3
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-5, downgraded from A2 to Baa1
Cl. M-6, downgraded from A3 to Baa2
Cl. B-1, downgraded from Baa1 to Baa3
Cl. B-2, downgraded from Baa2 to Ba3
Cl. B-3, downgraded from Baa3 to B1
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3
Cl. M-3, downgraded from Aa3 to A2
Cl. M-4, downgraded from A1 to Baa1
Cl. M-5, downgraded from A2 to Baa2
Cl. M-6, downgraded from A3 to Ba1
Cl. B-1, downgraded from Baa1 to Ba3
Cl. B-2, downgraded from Baa2 to B2
Cl. B-3, downgraded from Baa3 to Caa1
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4
Cl. M-3, downgraded from Aa3 to A2
Cl. M-4, downgraded from A1 to A3
Cl. M-5, downgraded from A2 to Baa2
Cl. M-6, downgraded from A3 to Baa3
Cl. B-1, downgraded from Baa1 to Ba1
Cl. B-2, downgraded from Baa2 to B1
Cl. B-3, downgraded from Baa3 to B3
Issuer: Structured Asset Securities Corp Trust 2005-WMC1
Cl. M2, downgraded from A2 to Baa2
Cl. M3, downgraded from A3 to Baa3
Cl. M4, downgraded from Baa2 to Ba1
Cl. M5, downgraded from Baa3 to B3
For more information please see www.moodys.com
New York
Navneet Agarwal
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653