New York, March 05, 2009 -- Moody's Investors Service has downgraded the ratings of forty tranches
issued in nine transactions from the Ameriquest Mortgage Securities Inc.,
Quest Trust shelf. The collateral backing each tranche consists
primarily of first lien adjustable-rate and fixed-rate "scratch
and dent" mortgage loans. Scratch and dent loans in the Ameriquest
/ Quest shelf include loans in bankruptcy or forbearance, loans
subject to multiple delinquencies prior to closing or / and delinquent
at closing, loans with underwriting exceptions to applicable subprime
guidelines, modified loans, small balance loans and seasoned
loans, including called loans.
The actions are triggered by higher than anticipated delinquency levels
and severity of loss as well as well as slower than anticipated voluntary
prepayments, resulting in a higher updated loss expectation for
the underlying collateral and lower coverage for the rated debt given
available credit enhancement.
The ratings on the securities are monitored by evaluating factors determined
to be applicable to the credit profile of the securities, such as
i) the nature, sufficiency, and quality of historical performance
information regarding the asset class ii) an analysis of the collateral
being securitized, iii) an analysis of the transaction's allocation
of collateral cash flow and capital structure, and (iv) a comparison
of these attributes against those of other similar transactions.
General loss estimation methodology is outlined below, separately
for recent and for more seasoned vintages.
For recent vintages (2005 and later), Moody's calculates estimated
losses for Scratch and Dent RMBS in a two-step process.
First, serious delinquencies are projected through late 2009,
primarily based upon recent performance. These projected delinquencies
are converted into projected losses using lifetime roll rates (the probability
of transition to default) averaging 60% for 60-day delinquencies,
90% for delinquencies greater than 90 days, 100% for
foreclosure and 100% for REO, and severity assumption based
on the higher of actual severities and 65%.
The second step is to determine losses beyond 2009, following the
projection period. Depending on a deal's performance, as
well as collateral characteristics, such as loan type, or
loan-to-value ratios and geographic concentrations of remaining
current loans, Moody's assumes varying degrees of slowing in the
loss rate (which is measured by loss-to-liquidation) for
the remaining life of the deal. Typical degrees of slowing in loss
rate after late 2009 range from 65% to 85%.
For more seasoned vintages (before 2005), Moody's calculates estimated
losses for Scratch and Dent RMBS as follows:
- Current delinquencies are used to project pipeline losses.
- Annual roll rates are assumed at 0% for 30 days,
15% for 60 days, 30% for 90 days, 65%
for foreclosures and 90% for REO.
- Severities used are higher of 65% or actual historical
severity for each transaction.
- Loss is calculated for the previous year. Expected annual
loss is then derived from a weighted average of previous year loss and
expected pipeline loss. The transaction expected loss is projected
out over the deal's expected remaining life. Depending on a transaction's
time of origination, a 75% weight can be applied to pipeline
loss when it is considered to be more representative of future expected
performance than the previous year's losses.
- Expected loss is finally compared to credit enhancement to derive
a rating.
Loss estimates are subject to variability and, as a result,
realized losses could ultimately turn out higher or lower than our current
expectations. Moody's will continue to evaluate performance data
as it becomes available and will assess the pattern of potential future
defaults and adjust loss expectations accordingly if necessary.
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.
Complete rating actions are as follows:
Ameriquest Mortgage Securities Inc., Quest Trust 2002-X1
Cl. M-1, Downgraded to Ba1; previously on 5/24/2002
Assigned A2
Cl. M-2, Downgraded to Caa1; previously on 1/9/2009
Baa3 Placed Under Review for Possible Downgrade
Ameriquest Mortgage Securities Inc., Quest Trust 2003-X4
Cl. M-2, Downgraded to B3; previously on 1/14/2008
Downgraded to B1
Cl. M-3, Downgraded to C; previously on 1/14/2008
Downgraded to Caa2
Ameriquest Mortgage Securities Inc., Quest Trust 2004-X1
Cl. A, Downgraded to A1; previously on 6/30/2008 Downgraded
to Aa2
Cl. M-1, Downgraded to Caa2; previously on 11/8/2007
Downgraded to Ba2
Cl. M-2, Downgraded to C; previously on 7/18/2008
Downgraded to Ca
Ameriquest Mortgage Securities Inc., Quest Trust 2004-X2
Cl. M-2, Downgraded to Baa2; previously on 9/28/2004
Assigned A2
Cl. M-3, Downgraded to Caa3; previously on 9/28/2004
Assigned Baa1
Cl. M-4, Downgraded to C; previously on 11/8/2007
Downgraded to Ba3
Cl. M-5, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Ameriquest Mortgage Securities Inc., Quest Trust 2004-X3
Cl. M-3, Downgraded to B1; previously on 11/29/2004
Assigned Baa1
Cl. M-4, Downgraded to Ca; previously on 7/18/2008
Downgraded to B2
Cl. M-5, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Ameriquest Mortgage Securities Inc., Quest Trust 2005-X2
Cl. A-2, Downgraded to Caa1; previously on 5/16/2008
Downgraded to Baa1
Cl. M-1, Downgraded to C; previously on 7/18/2008
Downgraded to Caa2
Cl. M-2, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Cl. M-3, Downgraded to C; previously on 7/18/2008
Downgraded to Ca
Quest Trust 2005-X1
Cl. M-2, Downgraded to Ba1; previously on 6/28/2005
Assigned A2
Cl. M-3, Downgraded to B3; previously on 6/28/2005
Assigned A3
Cl. M-4, Downgraded to C; previously on 6/28/2005
Assigned Baa1
Cl. M-5, Downgraded to C; previously on 6/28/2005
Assigned Baa2
Cl. M-6, Downgraded to C; previously on 7/18/2008
Downgraded to Ba2
Cl. M-7, Downgraded to C; previously on 7/18/2008
Downgraded to Caa1
Quest Trust 2006-X1
Cl. A-2, Downgraded to Caa1; previously on 12/19/2008
Downgraded to B2
Cl. M-1, Downgraded to C; previously on 7/18/2008
Downgraded to Caa2
Cl. M-2, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Cl. M-3, Downgraded to C; previously on 7/18/2008
Downgraded to Ca
Cl. M-4, Downgraded to C; previously on 7/18/2008
Downgraded to Ca
Quest Trust 2006-X2
Cl. A-1, Downgraded to Caa3; previously on 9/16/2006
Assigned Aaa
Cl. A-2, Downgraded to Ca; previously on 7/18/2008
Downgraded to A1
Cl. M-1, Downgraded to C; previously on 7/18/2008
Downgraded to Baa3
Cl. M-2, Downgraded to C; previously on 7/18/2008
Downgraded to Caa1
Cl. M-3, Downgraded to C; previously on 7/18/2008
Downgraded to Caa1
Cl. M-4, Downgraded to C; previously on 7/18/2008
Downgraded to Caa2
Cl. M-5, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Cl. M-6, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Cl. M-7, Downgraded to C; previously on 7/18/2008
Downgraded to Caa3
Cl. M-8, Downgraded to C; previously on 7/18/2008
Downgraded to Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF158297
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
Odile Grisard Boucher
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on Ameriquest scratch and dent transactions