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Moody’s Downgrades $1.9 Trillion Of Subprime RMBS

Courtesy of Tyler Durden

There is still nearly $2 trillion in subprime out there? Good thing the FASB has allowed all this worthless paper to be carried at par or else we might all realize just how the market trades on vapors, myth and lots of hope. But at least Obama’s campaign was based on a promise of transparency. Instead we are getting a Value Added Tax.

Moody’s $1.826 trillion downgrade (release below) involves 18 RMBS tranches issued by BNC Mortgage Loan Trust. The collateral backing these deal primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages. In other moves Moody’s also downgraded nearly another $30 billion in other RMBS tranches issued by entities such as First Franklin, Citigroup Mortgage Loan Trust, Park Place, First NLC, RASC, and RAMP, .

Release on the BNC downgrade

New York, April 06, 2010 — Moody’s Investors Service has downgraded the ratings of 18 tranches and confirmed the ratings of 3 tranches from 5 RMBS transactions issued by BNC Mortgage Loan Trust. The collateral backing these deal primarily consists of first-lien, fixed and adjustable-rate subprime residential mortgages.

 

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. The actions reflect Moody’s updated loss expectations on subprime pools issued from 2005 to 2007. For details regarding Moody’s approach to estimating losses on subprime pools originated in 2005, 2006, and 2007, please refer to the methodology publication “Subprime RMBS Loss Projection Update: February 2010” available on Moodys.com.

 

To assess the rating implications of the updated loss levels on subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation® (SFW), the cash flow model developed by Moody’s Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to small increments in losses on the underlying mortgage pool is taken into consideration when assigning ratings.

 

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. In addition, Moody’s publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

 

 

Complete rating actions are as follows:

 

 

Issuer: BNC Mortgage Loan Trust 2006-1

Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A2, Confirmed at A3; previously on Jan 13, 2010 A3 Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to Ca; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

 

Issuer: BNC Mortgage Loan Trust 2006-2

Cl. A1, Confirmed at Caa1; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A2, Confirmed at Aaa; previously on Jan 13, 2010 Aaa Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to Baa3; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade

Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

 

Issuer: BNC Mortgage Loan Trust 2007-1

Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 Caa1 Placed Under Review for Possible Downgrade

Cl. A2, Downgraded to A1; previously on Jan 13, 2010 Aa3 Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to B1; previously on Jan 13, 2010 Baa2 Placed Under Review for Possible Downgrade

Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

 

Issuer: BNC Mortgage Loan Trust 2007-2

Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

Cl. A2, Downgraded to Ba2; previously on Jan 13, 2010 A1 Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A4, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

Cl. A5, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

 

Issuer: BNC Mortgage Loan Trust 2007-3

Cl. A1, Downgraded to Ca; previously on Jan 13, 2010 B2 Placed Under Review for Possible Downgrade

Cl. A2, Downgraded to Baa3; previously on Jan 13, 2010 Aa2 Placed Under Review for Possible Downgrade

Cl. A3, Downgraded to Caa1; previously on Jan 13, 2010 A2 Placed Under Review for Possible Downgrade

Cl. A4, Downgraded to C; previously on Jan 13, 2010 B3 Placed Under Review for Possible Downgrade

Cl. A5, Downgraded to C; previously on Jan 13, 2010 Caa2 Placed Under Review for Possible Downgrade

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