Moody’s Downgrades $13bn of Subprime RMBS

Moody’s Investors Service said today it downgraded ratings on subprime residential mortgage-backed securities (RMBS) worth $13bn as its expectation of losses on subprime pools continues to evolve. Moody’s downgraded ratings on 111 tranches of 29 subprime RMBS deals worth $5.8bn and issued by MASTR Asset Backed Securities Trust. Moody’s also confirmed ratings on 22 classes. The agency also downgraded ratings on 71 tranches within 20 subprime RMBS deals worth $4.1bn and issued by CSFB Home Equity Asset Trust. Moody’s also confirmed ratings on 25 classes, as well as upgraded ratings on three classes. Moody’s downgraded ratings of 21 tranches from five subprime RMBS worth $2.5bn and issued by Centex Home Equity Loan Trust and Nationstar Home Equity Loan Trust. The firm also confirmed ratings of 10 classes. The credit-rating agency downgraded 21 tranches of five subprime RMBS deals worth $1bn and issued by SG Mortgage Securities Trust. Moody’s also confirmed ratings on three classes. The collateral backing the deals involved in today’s ratings actions primarily consist of fixed- and/or adjustable-rate subprime residential first mortgages. As Moody’s continues to update its loss estimates on subprime pools originated from 2005 to 2007, it occasionally makes sweeping downgrades like those announced today. “The actions are a result of the continued performance deterioration in subprime pools in conjunction with home price and unemployment conditions that remain under duress,” Moody’s said in a statement on the downgrades. Last week, Moody’s downgraded ratings on 55 tranches of 19 subprime RMBS deals worth $5.6bn and issued by Long Beach in 2005. Write to Diana Golobay.

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