Moody's takes actions on certain Fremont subprime transactions
New York, December 27, 2007 -- Moody's Investors Service has upgraded 17 certificates, downgraded
31 certificates and confirmed ratings of 5 certificates issued in 2004
and backed by Fremont originated subprime loans. The actions are
based on the analysis of the credit enhancement provided by subordination,
overcollateralization and excess spread relative to the expected loss.
All deals have very low pool factors and have stepped down. Seventeen
classes of certificates are upgraded due to the fast pay down of the pool
which led to strong build-up in credit enhancement for the most
senior tranches that are still outstanding in the transactions.
And the projected pipeline losses are not expected to significantly affect
the credit support for these certificates. On the other hand,
31 classes of certificates are downgraded because the redcution in overcollateralization
due to stepdown and higher loss severity at the tail end of the deals'
life have made the bottom tranches more vulnerable to further pool deterioration.
The complete rating actions are as follows:
Upgrade:
Issuer:
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2,
Class 2004FM2-M1, Upgraded to Aa1 from Aa2;
Fremont Home Loan Trust 2004-1, Class M-1, Upgraded
to Aaa from Aa1;
Fremont Home Loan Trust 2004-1, Class M-2, Upgraded
to Aa1 from Aa2;
Fremont Home Loan Trust 2004-1, Class M-3, Upgraded
to Aa2 from Aa3;
Fremont Home Loan Trust 2004-1, Class M-4, Upgraded
to Aa3 from A1;
Fremont Home Loan Trust 2004-1, Class M-5, Upgraded
to A1 from A2;
Fremont Home Loan Trust 2004-2, Class M-1, Upgraded
to Aaa from Aa1;
Fremont Home Loan Trust 2004-2, Class M-2, Upgraded
to Aa1 from Aa2;
Fremont Home Loan Trust 2004-B, Class M-1, Upgraded
to Aaa from Aa1;
Fremont Home Loan Trust 2004-B, Class M-2, Upgraded
to Aa1 from Aa2;
Fremont Home Loan Trust 2004-C, Class M-1, Upgraded
to Aa1 from Aa2;
Fremont Home Loan Trust 2004-C, Class M-2, Upgraded
to Aa2 from Aa3;
GSAMP Trust 2004-FM1, Class M-1, Upgraded to
Aaa from Aa2;
GSAMP Trust 2004-FM1, Class M-2, Upgraded to
Aa2 from A2;
GSAMP Trust 2004-FM2, Class M-1, Upgraded to
Aa1 from Aa2;
Merrill Lynch Mortgage Investors Trust, Series 2004-FM1,
Class 2004-FM1-M2, Upgraded to Aa2 from A2;
Merrill Lynch Mortgage Investors Trust, Series 2004-FM1,
Class 2004-FM1-M3, Upgraded to Aa3 from A3.
Downgrade:
Issuer:
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1,
Class 2004-FM1-M5, Downgraded to B1 from Baa2;
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1,
Class 2004-FM1-M6, Downgraded to Ca from Baa3;
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1,
Class 2004-FM1-B1A, Downgraded to C from Ba2;
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1,
Class 2004-FM1-B1B, Downgraded to C from Ba2;
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2,
Class 2004FM2-M6, Downgraded to Ba1 from Baa3;
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM2,
Class 2004FM2-B, Downgraded to Caa2 from Ba2;
Bear Stearns Asset Backed Securities I Trust 2004-FR1, Class
M-6, Downgraded to Ba1 from Baa2;
Bear Stearns Asset Backed Securities I Trust 2004-FR1, Class
M-7, Downgraded to B2 from Baa3;
Bear Stearns Asset Backed Securities I Trust 2004-FR1, Class
M-8B, Downgraded to Caa2 from Ba2;
Bear Stearns Asset Securities I Trust 2004-FR2, Class M-8B,
Downgraded to B3 from Ba2;
Fremont Home Loan Trust 2004-2, Class M-9, Downgraded
to Ba2 from Baa3;
Fremont Home Loan Trust 2004-2, Class B-1, Downgraded
to Ca from Ba1;
Fremont Home Loan Trust 2004-4, Class M-6, Downgraded
to Baa1 from A3;
Fremont Home Loan Trust 2004-4, Class M-7, Downgraded
to Baa3 from Baa1;
Fremont Home Loan Trust 2004-4, Class M-8, Downgraded
to Ba2 from Baa2;
Fremont Home Loan Trust 2004-4, Class M-9, Downgraded
to B3 from Baa3;
Fremont Home Loan Trust 2004-4, Class M-10,
Downgraded to Ca from Ba1;
Fremont Home Loan Trust 2004-4, Class B, Downgraded
to C from Ba2;
Fremont Home Loan Trust 2004-A, Class B-3, Downgraded
to Ba1 from Baa3;
Fremont Home Loan Trust 2004-B, Class M-9, Downgraded
to Ba2 from Baa3;
Fremont Home Loan Trust 2004-D, Class M-6, Downgraded
to Baa1 from A3;
Fremont Home Loan Trust 2004-D, Class M-7, Downgraded
to Baa3 from Baa1;
Fremont Home Loan Trust 2004-D, Class M-8, Downgraded
to Ba2 from Baa2;
Fremont Home Loan Trust 2004-D, Class M-9, Downgraded
to B1 from Baa3;
Fremont Home Loan Trust 2004-D, Class M-10,
Downgraded to Caa3 from Ba2;
GSAMP Trust 2004-FM2, Class B-2, Downgraded
to Ba1 from Baa2;
GSAMP Trust 2004-FM2, Class B-3, Downgraded
to Ba3 from Baa3;
GSAMP Trust 2004-FM2, Class B-4, Downgraded
to B1 from Ba1;
MASTR Asset Backed Securities Trust 2004-FRE1, Class M-8,
Downgraded to Baa3 from Baa2;
MASTR Asset Backed Securities Trust 2004-FRE1, Class M-9,
Downgraded to Ba2 from Baa3;
MASTR Asset Backed Securities Trust 2004-FRE1, Class M-10,
Downgraded to Caa2 from Ba1.
Confirm:
Issuer:
Bear Stearns Asset Backed Securities I Trust 2004-FR1, Class
M-8A, current rating Ba2, Confirmed;
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-FRE1,
Class B-2, current rating Baa2, Confirmed;
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-FRE1,
Class B-3, current rating Baa3, Confirmed;
Fremont Home Loan Trust 2004-2, Class M-3, current
rating Aa3, Confirmed;
Fremont Home Loan Trust 2004-2, Class M-4, current
rating A1, Confirmed.
For more information 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
JingJing Dang
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653