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Rating Action:

Moody's takes action on CWABS Transactions

17 Dec 2008
Moody's takes action on CWABS Transactions

New York, December 17, 2008 -- Moody's Investors Service has downgraded the ratings of 14 tranches issued in 11 CWABS Master Trust transactions. The underlying securities' collateral consists primarily of second lien home equity lines of credit (HELOCs).

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.

The securities are guaranteed by the respective financial guarantors identified below. The underlying ratings generally reflect the intrinsic credit quality of the securities in the absence of the guarantee. The current ratings on the below--noted securities are consistent with Moody's practice of rating such insured securities at the higher of the guarantor's insurance financial strength rating and the underlying or intrinsic rating. Please see the press release dated November 10, 2008, titled "Moody's modifies approach to rating structured finance securities wrapped by financial guarantors".

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 CPR.

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: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2002-E

Cl. A Certificates Downgraded to Baa1 from A3, previously on 11/16/2008 Downgraded to A3

Financial Guarantor: MBIA Insurance Corporation (Currently Baa1)

Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2002-F

Notes, Downgraded to A3, previously on 12/5/2008 Upgraded to A1

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2002-G

Notes, Downgraded to Baa1, previously on 12/5/2008 Upgraded to A2

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2004-A

Notes, Downgraded to Ba1, previously on 12/5/2008 Confirmed at Baa3

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2004-C

Notes, Downgraded to B1 and Placed Under Review for Possible Downgrade, previously on 12/5/2008 Downgraded to Ba2

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Master Trust, Series 2003-E

Notes, Downgraded to B1, previously on 12/5/2008 Downgraded to Ba1

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-E

Cl. 2-A, Downgraded to Ba1, previously on 12/5/2008 Downgraded to Baa3

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-F

Cl. 1-A, Downgraded to B1, previously on 12/5/2008 Downgraded to Ba3

Financial Guarantor: Financial Guaranty Insurance Company (Currently B1, Under Review for Possible Downgrade)

Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-G

Cl. 1-A, Downgraded to Baa1, previously on 11/17/2008 Downgraded to A1

Financial Guarantor: Ambac Assurance Corporation (Currently Baa1)

Cl. 2-A, Downgraded to Baa1, previously on 11/17/2008 Downgraded to A1

Financial Guarantor: Ambac Assurance Corporation (Currently Baa1)

Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes, Series 2004-Q

Cl. 1-A, Downgraded to Caa1 and Placed Under Review Direction Uncertain, previously on 12/5/2008 Downgraded to Ba3

Financial Guarantor: Syncora Guarantee Inc. (Currently Caa1, Under Review Direction Uncertain)

Cl. 2-A, Downgraded to Caa1 and Placed Under Review Direction Uncertain, previously on 12/5/2008 Downgraded to Ba3

Financial Guarantor: Syncora Guarantee Inc. (Currently Caa1, Under Review Direction Uncertain)

Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R

Cl. 1-A, Downgraded to Caa1 and Placed Under Review Direction Uncertain, previously on 12/5/2008 Downgraded to Ba1

Financial Guarantor: Syncora Guarantee Inc. (Currently Caa1, Under Review Direction Uncertain)

Cl. 2-A, Downgraded to Caa1 and Placed Under Review Direction Uncertain, previously on 12/5/2008 Downgraded to B3

Financial Guarantor: Syncora Guarantee Inc. (Currently Caa1, Under Review Direction Uncertain)

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF151370

For more information please see www.moodys.com.

New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Peter Genis
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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