Moody's takes rating actions on various 2002 and 2004 deals backed by loans originated by Option One Mortgage Corporation
New York, October 19, 2007 -- Moody's Investors Service has downgraded two tranches, placed under
review for possible downgrade twenty three tranches, and placed
under review for possible upgrade two tranches from several 2002 and 2004
deals with loans originated by Option One Mortgage Corporation.
The transactions consist of primarily first lien, adjustable and
fixed-rate subprime mortgage loans.
Although the deals' losses are performing within the area of original
expectations, the subordinate certificates are being downgraded
and placed on review for possible downgrade based on existing credit enhancement
levels relative to the current projected losses on the underlying pools.
Overcollateralization amounts in all of the transactions are currently
below their targets and pipeline losses could cause further depletion
of the overcollateralization and put pressure on the most subordinate
tranches. Most of the current credit support deterioration can
be attributed to the deals passing performance triggers and therefore
releasing large amounts of overcollateralization.
The certificates are being upgraded and placed on review for possible
upgrade based on the fact that their current credit enhancement,
provided by subordination, excess spread, and overcollateralization,
is high compared to the current projected losses on the underlying pool.
The complete rating actions are as follows:
Downgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc.
Series 2002-OP1; Class B-1, downgraded from Ba2
to Caa3
Series 2002-OP1; Class B-2, downgraded from B3
to C
Review for Downgrade
Issuer: ACE Securities Corp. Home Equity Loan Trust
Series 2004-OP1; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-OP1; Class B, current rating Ba2,
under review for possible downgrade
Issuer: Asset Backed Funding Corporation
Series 2004-OPT1; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-OPT1; Class B, current rating Ba2,
under review for possible downgrade
Series 2004-OPT2; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-OPT2; Class B, current rating Ba1,
under review for possible downgrade
Series 2004-OPT3; Class M-4, current rating Baa1,
under review for possible downgrade
Series 2004-OPT3; Class M-5, current rating Baa2,
under review for possible downgrade
Series 2004-OPT3; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-OPT4; Class M-6, current rating Baa3,
under review for possible downgrade
Issuer: GSAMP Trust
Series 2004-OPT; Class B-4, current rating Ba1,
under review for possible downgrade
Issuer: MASTR Asset Backed Securities Trust
Series 2002-OPT1; Class M-6, current rating Ba1,
under review for possible downgrade
Series 2004-OPT1; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-OPT1; Class M-7, current rating Ba1,
under review for possible downgrade
Issuer: Morgan Stanley Dean Witter Capital I Inc.
Series 2002-OP1; Class M-1, current rating Aa1,
under review for possible downgrade
Series 2002-OP1; Class M-2, current rating A1,
under review for possible downgrade
Issuer: Option One Mortgage Loan Trust
Series 2004-1; Class M-5, current rating Baa2,
under review for possible downgrade
Series 2004-1; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-1; Class M-7, current rating B1,
under review for possible downgrade B1
Series 2004-2; Class M-6, current rating Baa3,
under review for possible downgrade
Series 2004-2; Class M-7, current rating B1,
under review for possible downgrade B1
Issuer: Securitized Asset Backed Receivables LLC Trust
Series 2004-OP1; Class B-2, current rating Baa2,
under review for possible downgrade
Series 2004-OP1; Class B-3 current rating Baa3,
under review for possible downgrade
Review for Upgrade:
Issuer: Chase Funding Loan Acquisition Trust
Series 2004-OPT1; Class M-1 current rating Aa2,
under review for possible upgrade
Series 2004-OPT1; Class M-2 current rating A2,
under review for possible upgrade
For more information please see www.moodys.com.
New York
Nicolas S. Weill
Managing Director - Chief Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653