New York, April 21, 2011 -- Moody's Investors Service has downgraded the ratings of seven tranches
and confirmed the ratings of two tranches from six assorted deals issued
between 2001 and 2007. The collateral backing these deals primarily
consists of closed end second lien loans and HELOCs.
RATINGS RATIONALE
The actions are a result of the continued performance deterioration in
second lien pools and HELOCs in conjunction with home price and unemployment
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on second lien pools and HELOCs.
The principal methodology used in these ratings was "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published
in December 2008. Other methodologies used include "Second Lien
RMBS Loss Projection Methodology: April 2010" published in April
2010.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier. RMBS securities wrapped by Ambac Assurance Corporation
are rated at their underlying rating without consideration of Ambac's
guaranty.
The Class G tranche from the CSFB Home Equity Mortgage Trust 2005-HF1
transaction was withdrawn since the balance of this tranche is zero and
can never increase due to an Amortization Event. The Class G no
longer funds additional draws after cumulative losses exceeded a certain
threshold, causing an "Amortization Event". The
tranche is treated as paid off and is withdrawn according to "Moody's
Guidelines for the Withdrawal of Ratings" dated December 5,
2008.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
If expected losses on the collateral pool were to increase by 10%,
model implied results indicate that the ratings listed below would not
change.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or financial
instruments in this transaction and the due diligence reports had a neutral
impact on the rating.
Complete rating actions are as follows:
Issuer: American Home Mortgage Assets Trust 2007-3
Cl. III-M-1, Downgraded to C (sf); previously
on Mar 18, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. III-M-2, Downgraded to C (sf); previously
on Mar 18, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-PO, Downgraded to C (sf); previously
on Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Home Loan Owner Trust 2001-A
Cl. B Ctf, Confirmed at Ca (sf); previously on Mar 18,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: CWHEQ Home Equity Loan Trust, Series 2006-S6
Cl. A-1, Confirmed at Caa1 (sf); previously on
Mar 18, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Equity Mortgage-Backed Pass-Through Certificates,
Series 2004-3
Cl. B-2A, Downgraded to C (sf); previously on
Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. B-2F, Downgraded to C (sf); previously on
Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed
Notes, Series 2005-1
Cl. M-1, Downgraded to C (sf); previously on
Mar 18, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust Series 2004-SL1
Cl. S, Downgraded to Ba1 (sf); previously on Mar 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Home Equity Mortgage Trust 2005-HF1
Cl. G, Withdrawn (sf); previously on Mar 18, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF244061
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Edward Hou
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on six second lien RMBS transactions from various issuers