New York, June 16, 2009 -- Moody's Investors Service has downgraded the rating of 68 securities,
confirmed the rating of 5 securities, and upgraded the rating of
4 securities from 20 transactions issued by Asset Backed Securities Corporation.
These actions are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit enhancement
relative to updated collateral loss projections. The revised loss
projections generally result from deterioration in collateral performance
in recent months. Additionally, most affected transactions
have, at some point, passed performance triggers and released
portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e.
prior to 2H 2005) takes into account the annualized loss rate from last
12 months ("Recent Losses") and the projected loss rate over next 12 months
("Pipeline Losses"), and then translates these measures into lifetime
losses based on a deal's expected remaining life. Recent Losses
are calculated by assessing cumulative losses incurred over the past 12-months
as a percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%,
30%, 65% and 90% for loans that are delinquent
60-days, 90+ days, are in foreclosure, and
REO respectively. Moody's then applies deal-specific severity
assumptions, in this case ranging from 60% to 80%.
The results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
The upgrades of the ratings of four tranches are based upon non-declining
credit support due to cumulative losses exceeding their triggers,
requiring all future payments to be paid to the most senior outstanding
bond.
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 Credit Policy & Methodologies directory.
The complete rating actions follow:
Asset Backed Sec Corp HEL Trust 2001-HE3
Cl. A-1, Downgraded to Aa2; previously on 9/27/2001
Assigned Aaa
Cl. M1, Downgraded to Baa2; previously on 9/27/2001
Assigned Aa2
Cl. M2, Downgraded to Baa3; previously on 9/27/2001
Assigned A2
Cl. B, Downgraded to Ba3; previously on 9/27/2001 Assigned
Baa2
Asset Backed Sec Corp Hm Eqty Ln Tr 1999-LB1
A-1F, Downgraded to A3; previously on 11/16/2008 Upgraded
to A1
A-2F, Downgraded to A3; previously on 11/16/2008 Upgraded
to A1
Asset Backed Sec Corp Home Eqty Ln Tr 2002-HE1
Cl. M1, Downgraded to Aa3; previously on 1/29/2008 Aaa
Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Baa3; previously on 1/29/2008
A2 Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Ca; previously on 1/29/2008 Downgraded
to Caa3
Asset Bckd Sec Corp Home Eqty Ln Tr, 2001-HE1
Cl. M-1, Downgraded to A1; previously on 3/30/2001
Assigned Aa2
Cl. M-2, Downgraded to B3; previously on 3/30/2001
Assigned A2
Cl. B, Downgraded to C; previously on 6/19/2007 Downgraded
to B3
Asset Bkd Sec Co Home Eqty Loan Tr 2004-HE10
Cl. M2, Downgraded to A1; previously on 1/10/2005 Assigned
Aa2
Cl. M3, Downgraded to Baa3; previously on 1/10/2005
Assigned A2
Cl. M4, Downgraded to Caa1; previously on 1/10/2005
Assigned Baa1
Cl. M5, Downgraded to C; previously on 1/10/2005 Assigned
Baa2
Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded
to Ba3
Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE4
Cl. M2, Downgraded to Baa2; previously on 8/22/2003
Assigned A2
Cl. M3, Downgraded to Baa3; previously on 8/22/2003
Assigned A3
Cl. M4, Downgraded to B2; previously on 8/22/2003 Assigned
Baa2
Cl. M5-A, Downgraded to C; previously on 8/23/2007
Downgraded to Ba3
Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE5
Cl. M3, Downgraded to Baa2; previously on 9/11/2003
Assigned A3
Cl. M4, Downgraded to Ba1; previously on 9/11/2003 Assigned
Baa2
Cl. M5, Downgraded to C; previously on 8/23/2007 Downgraded
to B3
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE1
Cl. M-5, Downgraded to Baa3; previously on 4/23/2004
Assigned Baa2
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE2
Cl. M2, Downgraded to Baa1; previously on 5/17/2004
Assigned A2
Cl. M3, Downgraded to Baa2; previously on 5/17/2004
Assigned A3
Cl. M4, Downgraded to Baa3; previously on 5/17/2004
Assigned Baa1
Cl. M5A, Downgraded to Ba3; previously on 5/17/2004
Assigned Baa2
Cl. M5B, Downgraded to Ba3; previously on 5/17/2004
Assigned Baa2
Cl. M6, Downgraded to C; previously on 9/21/2007 Downgraded
to Ba2
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE3
Cl. M5, Downgraded to Baa3; previously on 6/18/2004
Assigned Baa2
Cl. M6, Downgraded to Ba2; previously on 9/21/2007 Downgraded
to Ba1
Cl. M7, Downgraded to C; previously on 9/21/2007 Downgraded
to B2
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE4
Cl. M3, Downgraded to A1; previously on 8/9/2004 Assigned
Aa2
Cl. M4, Downgraded to Ba2; previously on 6/5/2008 Downgraded
to Baa3
Cl. M5, Downgraded to Ca; previously on 6/5/2008 Downgraded
to Ba1
Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded
to Caa1
Cl. M7, Downgraded to C; previously on 6/5/2008 Downgraded
to Ca
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE5
Cl. M2, Downgraded to Baa3; previously on 8/2/2004 Assigned
A2
Cl. M3, Downgraded to Ba1; previously on 8/2/2004 Assigned
A3
Cl. M4, Downgraded to Ba3; previously on 8/2/2004 Assigned
Baa1
Cl. M5, Downgraded to B3; previously on 8/2/2004 Assigned
Baa2
Cl. M6, Downgraded to C; previously on 8/2/2004 Assigned
Baa3
Cl. M7, Downgraded to C; previously on 8/2/2004 Assigned
Ba1
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE6
Cl. M1, Downgraded to A2; previously on 9/27/2004 Assigned
Aa2
Cl. M2, Downgraded to Ba1; previously on 6/5/2008 Downgraded
to Baa2
Cl. M3, Downgraded to B1; previously on 6/5/2008 Downgraded
to Ba2
Cl. M4, Downgraded to Ca; previously on 6/5/2008 Downgraded
to B1
Cl. M5, Downgraded to C; previously on 6/5/2008 Downgraded
to B3
Cl. M6, Downgraded to C; previously on 6/5/2008 Downgraded
to Caa1
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE7
Cl. M2, Downgraded to Baa2; previously on 12/14/2004
Assigned A1
Cl. M3, Downgraded to Baa3; previously on 12/18/2008
Downgraded to Baa1
Cl. M4, Downgraded to Ba1; previously on 12/18/2008
Downgraded to Baa3
Cl. M5, Downgraded to Ba3; previously on 12/18/2008
Downgraded to Ba2
Cl. M6, Downgraded to Ca; previously on 12/18/2008 Downgraded
to B2
Cl. M7, Downgraded to C; previously on 12/18/2008 Downgraded
to Caa2
Asset Bkd Sec Corp Home Eqty Loan Tr 2004-HE8
Cl. M2, Downgraded to Baa3; previously on 1/10/2005
Assigned A2
Cl. M3, Downgraded to Ba2; previously on 1/10/2005 Assigned
A3
Cl. M4, Downgraded to Ca; previously on 3/26/2008 Downgraded
to Baa3
Cl. M5, Downgraded to C; previously on 3/26/2008 Downgraded
to Ba2
Cl. M6, Downgraded to C; previously on 3/26/2008 Downgraded
to B2
Cl. M7, Downgraded to C; previously on 3/26/2008 Downgraded
to Ca
Long Beach Home Equity Loan Trust 2000-LB1
Cl. M2F, Downgraded to Ca; previously on 6/9/2006 Downgraded
to Caa2
Cl. M2V, Downgraded to B3; previously on 6/9/2006 Downgraded
to B1
Cl. BV, Downgraded to C; previously on 1/5/2006 Downgraded
to Caa3
Asset Bkd Sec Corp Home Eqty Ln Tr 2002-HE3
Cl. M-2, Upgraded to Aaa; previously on 10/31/2002
Assigned A2
Cl. M-3, Upgraded to Baa2; previously on 6/9/2006
Downgraded to Ba1
Cl. M-4, Downgraded to Caa3; previously on 6/9/2006
Downgraded to Ba3
Asset Bkd Sec Corp Home Eqty Ln Tr 2003-HE1
Cl. M2, Upgraded to Aa1; previously on 7/12/2006 Upgraded
to Aa3
Cl. M3, Downgraded to Caa2; previously on 8/23/2007
Downgraded to B3
Asset Bkd Sec Corp Home Eqty Loan Tr 2003-HE2
Cl. M1, Confirmed at Aaa; previously on 1/29/2008 Aaa
Placed Under Review for Possible Downgrade
Cl. M2, Confirmed at Aa3; previously on 1/29/2008 Aa3
Placed Under Review for Possible Downgrade
Cl. M3, Confirmed at A3; previously on 1/29/2008 A3
Placed Under Review for Possible Downgrade
Cl. M4, Confirmed at Baa2; previously on 1/29/2008 Baa2
Placed Under Review for Possible Downgrade
Cl. M5, Confirmed at Ba2; previously on 1/29/2008 Ba2
Placed Under Review for Possible Downgrade
Asset Backed Sec Corp Home Eqt Ln Tr 2002-HE2
Cl. M2, Upgraded to Aaa; previously on 6/17/2005 Upgraded
to Aa3
A list of these actions including CUSIP identifiers may be found at:
www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF168688
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph DiMiceli
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $737.5 million of ABSC subprime RMBS