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02 Mar 2009
New York, March 02, 2009 -- Moody's Investors Service has downgraded the ratings of 19 tranches
issued in four CSFB Home Equity Mortgage Trust transactions. Underlying
securities' collateral consists primarily of closed-end second
lien residential mortgage loans (CES).
The ratings on the securities were monitored by evaluating factors Moody's
determined to be essential in the analysis of securities backed by such
loans. The salient factors include: i) Moody's review
of the nature, sufficiency, and quality of historical loan
performance information, ii) analysis of the collateral composition
and pool credit performance including prepayment, loan delinquency
and loss data, iii) consideration of the transaction's capital
structure and related allocations of collateral cash flows and losses,
and iv) a comparison of current credit enhancement levels to updated Moody's
pool loss projections based on present collateral credit performance.
When analyzing underlying ratings for CES and HELOC transactions,
Moody's projects cumulative losses for each deal based on a collateral
analysis of the deal's Constant Prepayment Rate (CPR) and Constant
Default Rate (CDR).
CPR - CPR is based on the average of the last six months 1-month
CDR - There are two approaches for determining pool CDR.
The first approach calculates CDR based on pool loan losses from the previous
twelve months, i.e. recent losses. A second
approach is based on pipeline losses -- losses derived from days-aged
delinquencies and Moody's assumptions for default based on days
delinquent, in foreclosure, or liquidation, and the
severity of loss given default. Moody's assumes 100%
severity for second liens, including both CES and HELOCs.
After the CDR is calculated using the two methods, the effective
CDR for loss projection purposes is determined by using a weighted average
of the CDRs as determined by the recent loss and pipeline loss approaches
-- with weightings determined on a transaction by transaction basis.
Moody's assumes that the CDR will not decline for the next three
years and will decline subsequently for the life of the deal under a schedule,
typically reducing by 50% in year 4 and remaining constant thereafter.
Based on calculated CPR and CDR, Moody's calculates projected
deal-specific cumulative losses and the weighted average life of
the deal. The credit enhancement calculation can also include credit
for excess spread, i.e. the aggregate, positive
difference in the weighted average loan coupon and the all-inclusive
securities' interest and deal fees, including servicing.
Excess spread benefit is calculated by multiplying the stressed annualized
excess spread by the weighted average life of the deal.
Aggregate credit enhancement which combines subordination benefit (including
over-collateralization and/or reserve accounts) and excess spread
benefit is compared with projected cumulative losses for the deal to derive
coverage multiples and associated ratings by deal tranche. Moody's
will analyze tranche coverage multiples after consideration of timing
of tranche repayment and allocation of losses (if any).
Methodologies and factors that may have been considered in the process
of rating this issue can be found at www.moodys.com in the
Rating Methodology and Performance directory.
Issuer: CSFB Home Equity Mortgage Trust 2005-3
Cl. M-1, Downgraded to Aa3; previously on 7/10/2007
Upgraded to Aaa
Cl. M-2, Downgraded to Ba1; previously on 10/20/2008
Downgraded to A1
Cl. M-3, Downgraded to Ca; previously on 10/20/2008
Downgraded to Ba2
Cl. M-4, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
Issuer: CSFB Home Equity Mortgage Trust 2005-4
Cl. A-3, Downgraded to Aa3; previously on 10/25/2005
Cl. A-4, Downgraded to Ba1; previously on 10/20/2008
Downgraded to Aa1
Cl. M-1, Downgraded to Ca; previously on 10/20/2008
Downgraded to Baa1
Cl. M-2, Downgraded to C; previously on 10/20/2008
Downgraded to B2
Cl. M-3, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
Issuer: CSFB Home Equity Mortgage Trust 2005-5
Cl. A-1A, Downgraded to Caa1; previously on 10/20/2008
Downgraded to Baa2
Cl. A-1F1, Downgraded to Ba1; previously on 10/20/2008
Downgraded to A3
Cl. A-1F2, Downgraded to Caa1; previously on
10/20/2008 Downgraded to Baa2
Cl. A-2A, Downgraded to C; previously on 10/20/2008
Downgraded to B3
Cl. A-2F, Downgraded to C; previously on 10/20/2008
Downgraded to B3
Issuer: CSFB Home Equity Mortgage Trust 2006-1
Cl. A-1A2, Downgraded to Ba2; previously on 10/20/2008
Downgraded to Baa1
Cl. A-1B, Downgraded to Ba2; previously on 10/20/2008
Downgraded to Baa1
Cl. A-1F, Downgraded to Ba2; previously on 10/20/2008
Downgraded to Baa1
Cl. A-2, Downgraded to Ca; previously on 10/20/2008
Downgraded to Ba3
Cl. A-3, Downgraded to C; previously on 10/20/2008
Downgraded to Caa3
A list of these actions including CUSIP identifiers may be found at:
For more information please see www.moodys.com.
Structured Finance Group
Moody's Investors Service
Moody's takes action on CSFB HEMT transactions
Structured Finance Group
Moody's Investors Service
No Related Data.
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