New York, February 03, 2009 -- Moody's Investors Service has downgraded the ratings of 77 securities
and confirmed 3 other ratings from 19 transactions issued by Ace Securities
Corp. Home Equity Loan Trust. These actions are a part of
an ongoing review of Subprime RMBS transactions.
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of
historical performance information regarding the asset class as well as
for the transaction sponsor, ii) an analysis of the collateral being
securitized, iii) an analysis of the
policies, procedures and alignment of interests of the key parties
to the transaction, most notably the originator and the servicer,
iv) an analysis of the transaction's allocation of
collateral cashflow and capital structure, v) an analysis of the
transaction's governance and legal structure, and (vi) a comparison
of these attributes against those of other
similar transactions.
Moody's approach to analyzing seasoned subprime pools i.e.
issued prior to 2H 2005 takes into account the annualized loss rate from
last 12 months ("Recent Losses") and the projected
loss rate over next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by
assessing cumulative losses incurred over the past 12-months as
a percentage of the average pool factor in the last year. For Pipeline
Losses, Moody's uses an annualized roll rate of
15%, 30%, 65% and 90% for loans
that are delinquent 60-days, 90+ days, are in
foreclosure, and REO respectively. Moody's then applies deal-specific
severity assumptions. The results
of these two calculations - Recent Losses and Pipeline Losses -
are weighted to arrive at the lifetime cumulative loss projection.
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:
Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE1
Cl. M-1, Downgraded to Baa1; previously on 12/14/2007
Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca; previously on 12/14/2007
Baa1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on 12/14/2007
Caa2 Placed Under Review for Possible Downgrade
Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE2
Cl. M-1, Confirmed at Aa2; previously on 12/14/2007
Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3; previously on 12/14/2007
A2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa1; previously on 12/14/2007
Baa1 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 12/14/2007
Baa2 Placed Under Review for Possible Downgrade
ACE Securities Corp. Home Equity Loan Trust, Series 2002-HE3
Cl. M-1, Confirmed at Aa2; previously on 12/14/2007
Aa2 Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at Baa2; previously on 12/14/2007
Baa2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca; previously on 12/14/2007
Caa3 Placed Under Review for Possible Downgrade
ACE Securities Corp. Home Equity Loan Trust, Series 2003-FM1
Cl. M-1, Downgraded to Aa1; previously on 5/31/2007
Upgraded to Aaa
Cl. M-2, Downgraded to A1; previously on 5/31/2007
Upgraded to Aa2
Cl. M-3, Downgraded to A2; previously on 5/31/2007
Upgraded to Aa3
Cl. M-4, Downgraded to Baa2; previously on 5/31/2007
Upgraded to A1
Cl. M-5, Downgraded to Ba1; previously on 6/16/2003
Assigned Baa2
Cl. M-6, Downgraded to B1; previously on 6/16/2003
Assigned Baa3
ACE Securities Corp. Home Equity Loan Trust, Series 2003-HE1
Cl. M-1, Downgraded to Aa2; previously on 12/14/2007
Aaa Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3; previously on 12/14/2007
A2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa3; previously on 12/14/2007
A3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 12/14/2007
Baa1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on 12/14/2007
Baa2 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on 12/14/2007
Ba3 Placed Under Review for Possible Downgrade
ACE Securities Corp. Home Equity Loan Trust, Series 2003-NC1
Cl. M-2, Downgraded to Baa3; previously on 10/27/2003
Assigned A2
Cl. M-3, Downgraded to B1; previously on 12/20/2007
A3 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca; previously on 12/20/2007
Baa1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on 12/20/2007
Ba3 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on 12/20/2007
B2 Placed Under Review for Possible Downgrade
ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1
Cl. M-6, Downgraded to Ba1; previously on 1/23/2004
Assigned Baa3
Cl. B, Downgraded to B3; previously on 5/31/2007 Downgraded
to B2
ACE Securities Corp. Home Equity Loan Trust, Series 2003-TC1
Cl. M-3, Downgraded to Ba1; previously on 8/29/2003
Assigned A3
Cl. M-4, Downgraded to Ca; previously on 8/29/2003
Assigned Baa1
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2
2004FM2-M2, Downgraded to Baa1; previously on 9/7/2004
Assigned A2
2004FM2-M3, Downgraded to Baa3; previously on 9/7/2004
Assigned A3
2004FM2-M4, Downgraded to Ba3; previously on 9/7/2004
Assigned Baa1
2004FM2-M5, Downgraded to Caa2; previously on 9/7/2004
Assigned Baa2
2004FM2-M6, Downgraded to C; previously on 12/27/2007
Downgraded to Ba1
2004FM2-B, Downgraded to C; previously on 12/27/2007
Downgraded to Caa2
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE1
Cl. M-2, Downgraded to Baa3; previously on 12/14/2007
A2 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa2; previously on 4/10/2008
Downgraded to Baa2
Cl. M-4, Downgraded to C; previously on 4/10/2008
Downgraded to B3
Cl. M-5, Downgraded to C; previously on 4/10/2008
Downgraded to Ca
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE2
Cl. M-2, Downgraded to Baa1; previously on 10/12/2004
Assigned A2
Cl. M-3, Downgraded to Baa3; previously on 4/10/2008
Downgraded to Baa2
Cl. M-4, Downgraded to B2; previously on 4/10/2008
Downgraded to Ba1
Cl. M-5, Downgraded to Ca; previously on 4/10/2008
Downgraded to Ba3
Cl. M-6, Downgraded to C; previously on 4/10/2008
Downgraded to B3
Cl. B-1, Downgraded to C; previously on 4/10/2008
Downgraded to Ca
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3
Cl. M-6, Downgraded to B1; previously on 4/10/2008
Downgraded to Ba2
Cl. M-7, Downgraded to Caa2; previously on 4/10/2008
Downgraded to B2
Cl. M-8, Downgraded to C; previously on 4/10/2008
Downgraded to Caa2
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4
Cl. M-4, Downgraded to Baa3; previously on 4/10/2008
Downgraded to Baa1
Cl. M-5, Downgraded to B3; previously on 4/10/2008
Downgraded to Baa2
Cl. M-6, Downgraded to Ca; previously on 4/10/2008
Downgraded to Ba1
Cl. M-7, Downgraded to C; previously on 4/10/2008
Downgraded to Ba3
Cl. M-8, Downgraded to C; previously on 4/10/2008
Downgraded to B3
Cl. M-9, Downgraded to C; previously on 4/10/2008
Downgraded to Ca
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HS1
Cl. M-1, Downgraded to A2; previously on 4/10/2008
Downgraded to A1
Cl. M-2, Downgraded to Caa1; previously on 4/10/2008
Downgraded to Baa3
Cl. M-3, Downgraded to C; previously on 4/10/2008
Downgraded to Ba3
Cl. M-4, Downgraded to C; previously on 4/10/2008
Downgraded to B2
Cl. M-5, Downgraded to C; previously on 4/10/2008
Downgraded to Ca
ACE Securities Corp. Home Equity Loan Trust, Series 2004-IN1
Cl. M-4, Downgraded to Baa2; previously on 8/13/2004
Assigned Baa1
Cl. M-5, Downgraded to Baa3; previously on 8/13/2004
Assigned Baa2
Cl. M-6, Downgraded to Ba2; previously on 8/13/2004
Assigned Baa3
Cl. B, Downgraded to Ca; previously on 8/13/2004 Assigned
Ba2
ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1
Cl. M-3, Downgraded to Baa1; previously on 5/10/2004
Assigned A3
Cl. M-4, Downgraded to Baa2; previously on 5/10/2004
Assigned Baa1
Cl. M-5, Downgraded to Ba3; previously on 12/14/2007
Downgraded to Ba1
Cl. M-6, Downgraded to Ca; previously on 12/14/2007
Downgraded to B3
Cl. B, Downgraded to C; previously on 12/14/2007 Downgraded
to Ca
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM1
Cl. M-6, Downgraded to Ba1; previously on 9/7/2004
Assigned Baa3
Cl. B-1, Downgraded to B3; previously on 4/16/2008
Downgraded to B1
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2
Cl. M-3, Downgraded to A1; previously on 3/1/2005
Assigned Aa3
Cl. M-5, Downgraded to Baa2; previously on 4/10/2008
Downgraded to Baa1
Cl. M-6, Downgraded to Ba2; previously on 4/10/2008
Downgraded to Baa3
Cl. M-7, Downgraded to B3; previously on 4/10/2008
Downgraded to Ba1
Cl. B-1, Downgraded to C; previously on 4/10/2008
Downgraded to B1
Cl. B-2, Downgraded to C; previously on 4/10/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 4/10/2008
Downgraded to Ca
Ace Securities Corp. Home Equity Loan Trust. Series 2001-HE1
Cl. M-3, Downgraded to Ba3; previously on 12/13/2001
Assigned Baa2
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF155077
For more information please see www.moodys.com.
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Mark Branton
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on certain ACE Subprime RMBS