New York, December 10, 2010 -- Moody's Investors Service has downgraded the ratings of four tranches
from four RMBS transactions issued by MSDWCC HELOC Trusts. The
collateral backing these deals primarily consists of home equity lines
of credit.
RATINGS RATIONALE
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.
The principal methodology used in rating these notes was "Second Lien
RMBS Loss Projection Methodology: April 2010" rating methodology
published in April 2010. Other methodologies and factors that may
have been considered in the process of rating this issuer can also be
found 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.
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. Class A issued by MSDWCC HELOC Trust 2005-1 and
Class A issued by MSCC HELOC Trust 2007-1 are wrapped by Ambac
Assurance Corporation (Segregated Account - Unrated). 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 remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
If expected losses on the each of the collateral pools were to increase
by 10%, model implied results indicate that most of the deals'
ratings would remain stable, with the exception of Class A from
MSDWCC HELOC Trust 2003-2, for which model implied results
would be one notch lower (for example, Ba2 versus Ba1, or
Ca versus Caa3).
For more information please see www.moodys.com.
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: MSCC HELOC Trust 2007-1, HELOC Asset-Backed
Notes, Series 2007-1
Expected Losses (as a % of Original Balance): 9%
Cl. A, Downgraded to B3 (sf); previously on Mar 18,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: MSDWCC HELOC Trust 2003-1
Expected Losses (as a % of Original Balance): 1%
Cl. A, Downgraded to Ba1 (sf); previously on Mar 18,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: MSDWCC HELOC Trust 2003-2
Expected Losses (as a % of Original Balance): 1%
Cl. A, Downgraded to Baa3 (sf); previously on Mar 18,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Issuer: MSDWCC HELOC Trust 2005-1
Expected Losses (as a % of Original Balance): 2%
Cl. A, Downgraded to B3 (sf); previously on Mar 18,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
A list of these actions including CUSIP identifiers may be found at:
Excel: : http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF228009
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, 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
Aron Bergman
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
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 $811 million of second Lien RMBS issued by MSDWCC HELOC Trusts