New York, March 22, 2011 -- Moody's Investors Service has downgraded the ratings of 118 tranches and
confirmed the rating of one tranche from 13 Alt-A and Option-ARM
deals issued by HarborView Mortgage Loan Trust. The collateral
backing these deals primarily consists of first-lien, fixed
and adjustable rate Alt-A and Option-ARM residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Alt-A
and Option-ARM pools securitized before 2005. Although most
of these pools have paid down significantly, the remaining loans
are affected by the housing and macroeconomic conditions that remain under
duress.
The actions reflect Moody's updated loss expectations on Alt-A
and Option-ARM pools issued from prior to 2005. The principal
methodology used in these ratings was "Pre-2005 US RMBS Surveillance
Methodology" published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology"
is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
for the pool that is dependent on the vintage of loan origination (10%,
5% and 3% for the 2004, 2003 and 2002 and prior vintage
respectively). The baseline rates are higher than the average rate
of new delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility in performance. Once
the loan count in a pool falls below 75, the rate of delinquency
is increased by 1% for every loan less than 75. For example,
for a pool with 74 loans from the 2004 vintage, the adjusted rate
of new delinquency would be 10.10%. In addition,
if current delinquency levels in a small pool is low, future delinquencies
are expected to reflect this trend. To account for that,
the rate calculated above is multiplied by a factor ranging from 0.5
to 2.0 for current delinquencies ranging from less than 2.5%
to greater than 30% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Certain securities, as noted below, are insured 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.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: HarborView Mortgage Loan Trust 2003-2
Cl. 1-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Aa3 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Aa3 (sf); previously
on Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 1-X, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B1 (sf); previously on
Apr 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2003-3
Cl. 1A-1, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Confirmed at Aaa (sf); previously on
Apr 12, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Caa3 (sf); previously
on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 12, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-1
Cl. 1-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Aa3 (sf); previously on
Apr 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Aa3 (sf); previously on Apr 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B1 (sf); previously on
Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-10
Cl. 1-A-1, Downgraded to Ba1 (sf); previously
on Apr 12, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2A, Downgraded to Baa2 (sf); previously
on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2B, Downgraded to Ba1 (sf); previously
on Apr 12, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Ba1 (sf); previously on
Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1B, Downgraded to Ba1 (sf); previously
on Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1A, Downgraded to Baa3 (sf); previously
on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Ba1 (sf); previously on
Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to Baa2 (sf); previously
on Apr 12, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to Ba1 (sf); previously on
Apr 12, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. X-3, Downgraded to Ca (sf); previously on
Apr 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 12, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-11
Cl. 1-A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1B, Downgraded to Ca (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A1B, Downgraded to Ca (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A2B, Downgraded to Ca (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A2A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A3, Downgraded to Ca (sf); previously on
Apr 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A1A, Downgraded to Caa1 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A2A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A2B, Downgraded to Ca (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A3, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A4, Downgraded to Ca (sf); previously on
Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to Caa3 (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to Caa3 (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. X-3, Downgraded to Caa3 (sf); previously
on Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. X-B, Downgraded to C (sf); previously on
Apr 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-2
Cl. 1A-1, Downgraded to Caa1 (sf); previously
on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Caa1 (sf); previously
on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 12, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-3
Cl. 1-A, Downgraded to Ba1 (sf); previously on
Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Ba1 (sf); previously on
Apr 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-4
Cl. 1-A, Downgraded to A2 (sf); previously on
Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to A2 (sf); previously on
Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to A2 (sf); previously on
Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to A2 (sf); previously on
Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to A2 (sf); previously on
Apr 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B2 (sf); previously on
Apr 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-5
Cl. 1-A, Downgraded to Ba3 (sf); previously on
Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Downgraded to Ba3 (sf); previously
on Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Ba3 (sf); previously on
Apr 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-6
Cl. 1-A, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2A, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2B, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Baa2 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Apr 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-7
Cl. 1-A, Downgraded to B3 (sf); previously on
Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to B3 (sf); previously
on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to B3 (sf); previously
on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to B3 (sf); previously
on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ba3 (sf); previously
on Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to B3 (sf); previously
on Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to B3 (sf); previously on
Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to B3 (sf); previously on
Apr 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to Ba3 (sf); previously on
Apr 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-8
Cl. 1-A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A2, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A3, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A4A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A4B, Downgraded to Ca (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A1, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A2, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa3 (sf); previously on Apr 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 12, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: HarborView Mortgage Loan Trust 2004-9
Cl. 1-A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A1A, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A1B, Downgraded to Ca (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A2, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A3, Downgraded to Caa2 (sf); previously
on Apr 12, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. X, Downgraded to Caa3 (sf); previously on Apr 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 12, 2010 Caa1 (sf) 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_SF238423
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Max Sauray
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $1.58 billion of Alt-A and Option-ARM RMBS issued by HarborView from 2003 to 2004
