Moody's takes action on Morgan Stanley deals
New York, February 27, 2008 -- Moody's Investors Service has downgraded forty seven tranches from fourteen
Morgan Stanley transactions. Moody's also placed twelve tranches
from these transactions on review for possible downgrade. The collateral
backing these transactions consists primarily of fixed-rate and
adjustable rate first lien subprime mortgage loans.
These rating actions are based on a comparison of the bonds' credit enhancement,
including excess spread, relative to the current projected loss
numbers. The overwhelming majority of these transactions have pool
factors of less than 10% and the average note factor of certificates
being downgraded to impairment ratings is approximately 17%.
The actions are the result of volatility due to tail end risks even though
the overall collateral performance is in the area of initial expectations.
The complete rating actions are as follows:
Morgan Stanley ABS Capital I Inc. 2002-NC6
Cl. M-1 Currently Aa2, on review for possible downgrade,
Cl. M-2, Downgraded to Ba2, previously A2,
Cl. B-1, Downgraded to Ca, previously Ba2,
Cl. B-2, Downgraded to C, previously B2,
Morgan Stanley ABS Capital I Inc. Mortgage Loan Asset-Backed
Certificates, Series 2001-WF1
Cl. M-1 Currently Aa2, on review for possible downgrade,
Cl. M-2, Downgraded to B2, previously A2,
Cl. B-1, Downgraded to Ca, previously Baa3,
Morgan Stanley ABS Capital I Inc. Trust 2003-HE1
Cl. M-3, Downgraded to Baa2, previously A3,
Cl. B-1, Downgraded to Baa3, previously Baa1,
Cl. B-2, Downgraded to Ba3, previously Baa2,
Cl. B-3, Downgraded to Caa3, previously Baa3,
Morgan Stanley ABS Capital I Inc. Trust 2003-HE3
Cl. B-2, Downgraded to Ba3, previously Baa2,
Cl. B-3, Downgraded to Caa3, previously Baa3,
Morgan Stanley ABS Capital I Inc. Trust 2003-NC6
Cl. M-2 Currently Aa3, on review for possible downgrade,
Cl. M-3, Downgraded to Baa3, previously A3,
Cl. B-1, Downgraded to Ba3, previously Baa1,
Cl. B-2, Downgraded to Caa3, previously Ba2,
Cl. B-3, Downgraded to Ca, previously B3,
Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Cl. M-3, Downgraded to Baa2, previously A3,
Cl. B-1, Downgraded to Ba1, previously Baa1,
Cl. B-2, Downgraded to B2, previously Baa2,
Cl. B-3, Downgraded to Ca, previously Ba1,
Cl. B-4, Downgraded to Ca, previously Ba3,
Morgan Stanley ABS Capital I Inc. Trust 2005-WMC1
Cl. M-2 Currently Aa2, on review for possible downgrade,
Cl. M-3 Currently Aa3, on review for possible downgrade,
Cl. M-4, Downgraded to Baa2, previously A1,
Cl. M-5, Downgraded to Baa3, previously A2,
Cl. M-6, Downgraded to Ba3, previously A3,
Cl. B-1, Downgraded to B2, previously Baa1,
Cl. B-2, Downgraded to Caa3, previously Baa2,
Cl. B-3, Downgraded to Ca, previously Baa3,
Morgan Stanley Capital I Inc. Trust 2003-NC4
Cl. M-1 Currently Aaa, on review for possible downgrade,
Cl. M-2 Currently Aa2, on review for possible downgrade,
Cl. M-3, Downgraded to Baa2, previously A1,
Cl. B-1, Downgraded to Ba3, previously Baa1,
Cl. B-2, Downgraded to Caa3, previously Ba2,
Cl. B-3, Downgraded to C, previously B3,
Morgan Stanley Dean Witter Capital I Inc. Mortgage Pass-Through
Certificates, Series 2001-NC3
Cl. M-2, Downgraded to Baa1, previously A2,
Cl. B-1, Downgraded to Caa2, previously Ba1,
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE1
Cl. M-1 Currently Aa2, on review for possible downgrade,
Cl. M-2, Downgraded to Ba1, previously A2,
Cl. B-1, Downgraded to Caa2, previously Baa2,
Cl. B-2, Downgraded to C, previously Ba1,
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE2
Cl. M-2, Downgraded to Baa2, previously A2,
Cl. B-1, Downgraded to Caa2, previously B1,
Cl. B-2, Downgraded to C, previously Caa1,
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-NC4
Cl. M-1 Currently Aaa, on review for possible downgrade,
Cl. M-2, Downgraded to Ba1, previously A3,
Cl. B-1, Downgraded to Caa3, previously B3,
Cl. B-2, Downgraded to C, previously Ca,
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC1
Cl. M-2 Currently Aa3, on review for possible downgrade,
Cl. M-3, Downgraded to Baa3, previously A3,
Cl. B-1, Downgraded to Caa2, previously Ba3,
Cl. B-2, Downgraded to C, previously B3,
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC2
Cl. M-1 Currently Aaa, on review for possible downgrade,
Cl. M-2 Currently Aa2, on review for possible downgrade,
Cl. M-3, Downgraded to Baa3, previously A3,
Cl. B-1, Downgraded to Caa2, previously Ba1,
Cl. B-2, Downgraded to Ca, previously Ba3.
For more information please see www.Moodys.com.
New York
Navneet Agarwal
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Karandeep Bains
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653