New York, June 30, 2010 -- Moody's Investors Service has downgraded the ratings of 32 tranches and
confirmed the ratings of 17 tranches from 19 RMBS transactions issued
by CSFB Home Equity Mortgage Trust. The collateral backing these
deal primarily consists of closed end second lien (CES) mortgages and
home equity lines of credit (HELOCs).
The actions are a result of the continued performance deterioration in
second lien pools in conjunction with home price and unemployment conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on second lien pools. For details regarding Moody's
approach to estimating losses on second lien pools, please refer
to the methodology publication "Second Lien RMBS Loss Projection Methodology:
April 2010" available on Moodys.com.
Certain tranches included in this action, noted below, are
wrapped by financial guarantors. For securities insured by a financial
guarantor, the rating on the securities is the higher of (i) the
guarantor's financial strength rating and (ii) the current underlying
rating (i.e., absent consideration of the guaranty)
on the security. The principal methodology used in determining
the underlying rating is the same methodology for rating securities that
do not have a financial guaranty and is as described earlier.
RMBS securities wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
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 Rating Methodologies sub-directory on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
Complete List of Actions
Issuer: CSFB Home Equity Mortgage Trust 2005-3
Expected Losses (as a % of Original Balance): 23%
Cl. M-2, Confirmed at Ba1; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2005-4
Expected Losses (as a % of Original Balance): 28%
Cl. A-4, Downgraded to Ba3; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2005-5
Expected Losses (as a % of Original Balance): 42%
Cl. A-1A, Confirmed at Caa1; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. A-1F1, Confirmed at Ba1; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. A-1F2, Confirmed at Caa1; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2005-HF1
Expected Losses (as a % of Original Balance): 26%
Cl. A-1, Downgraded to B1; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-2B, Downgraded to B1; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-3B, Downgraded to B1; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa3; previously on Mar
18, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2006-1
Expected Losses (as a % of Original Balance): 41%
Cl. A-1A2, Confirmed at Ba2; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-1B, Confirmed at Ba2; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-1F, Confirmed at Ba2; previously on Mar
18, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. A-2, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2006-3
Expected Losses (as a % of Original Balance): 64%
Cl. A-1, Downgraded to C; previously on Mar 18,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2006-4
Expected Losses (as a % of Original Balance): 62%
Cl. A-1, Downgraded to C; previously on Mar 18,
2010 B2 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2006-6
Expected Losses (as a % of Original Balance): 71%
Cl. 1A-1, Downgraded to Ca; previously on Mar
18, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to C; previously on Mar
18, 2010 Ca Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to C; previously on Mar
18, 2010 Ca Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to C; previously on Mar
18, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2007-1
Expected Losses (as a % of Original Balance): 54%
Cl. A-1, Confirmed at Ca; previously on Apr 16,
2010 Downgraded to Ca and Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: CSFB Home Equity Mortgage Trust 2007-2
Expected Losses (as a % of Original Balance): 77%
Cl. 2A-1F, Current Rating B3; preiously Feb 18,
2009 Downgraded to B3
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
Cl. 2A-1A, Current Rating B3; preiously Feb 18,
2009 Downgraded to B3
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
Cl. 2A-2, Current Rating B3; preiously Feb 18,
2009 Downgraded to B3
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
Cl. 2A-3, Current Rating B3; preiously Feb 18,
2009 Downgraded to B3
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
Cl. 2A-4, Current Rating B3; preiously Feb 18,
2009 Downgraded to B3
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Caa3 Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on June 25, 2009)
Issuer: Home Equity Mortgage Trust 2003-6
Expected Losses (as a % of Original Balance): 3%
Cl. M-2, Downgraded to Ba1; previously on Mar
18, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3; previously on Mar
18, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B1; previously on Mar
18, 2010 Baa1 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2003-7
Expected Losses (as a % of Original Balance): 5%
Cl. B, Downgraded to Caa3; previously on Mar 18,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2004-1
Expected Losses (as a % of Original Balance): 5%
Cl. B, Downgraded to Caa3; previously on Mar 18,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2004-2
Expected Losses (as a % of Original Balance): 4%
Cl. M-2, Downgraded to Ba2; previously on Mar
18, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2; previously on Mar
18, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2004-4
Expected Losses (as a % of Original Balance): 9%
Cl. M-3, Downgraded to B2; previously on Mar
18, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to B3; previously on Mar
18, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Caa3; previously on Mar
18, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Mar 18,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2005-1
Expected Losses (as a % of Original Balance): 14%
Cl. M-5, Confirmed at Ba1; previously on Mar
18, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-6, Confirmed at B3; previously on Mar 18,
2010 B3 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2005-2
Expected Losses (as a % of Original Balance): 15%
Cl. M-4, Confirmed at A2; previously on Mar 18,
2010 A2 Placed Under Review for Possible Downgrade
Cl. M-5, Confirmed at Baa2; previously on Mar
18, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-6, Confirmed at Ba3; previously on Mar
18, 2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to Ca; previously on Mar
18, 2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Home Equity Mortgage Trust 2006-2
Expected Losses (as a % of Original Balance): 54%
for Group 1 and 31% for Group 2
Cl. 1A-1, Downgraded to Ca; previously on Mar
18, 2010 Caa1 Placed Under Review for Possible Downgrade
Cl. 2A-1, Confirmed at Ca; previously on Mar
18, 2010 Ca Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn March 25, 2009)
Issuer: Home Equity Mortgage Trust 2006-5
Expected Losses (as a % of Original Balance): 71%
Cl. A-1, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF208897
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Peter Genis
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $1.2 bn of Second Lien RMBS issued by CSFB