Fitch Affirms $2.2B & Downgrades $1.2B from 6 PPSI Subprime Deals

2008-05-01 23:57:07 -

- Fitch Ratings has taken the following rating actions on the six Park Place Securities, Inc. (PPSI) transactions listed below. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Affirmations total $2.2 billion and downgrades total $1.2 billion.

Series 2004-MHQ1

--$72.9 million class A-1 affirmed at 'AAA';

--$39.8 million class A-4

affirmed at 'AAA';

--$110.6 million class M-1 affirmed at 'AA+';

--$99.4 million class M-2 affirmed at 'AA';

--$56 million class M-3 affirmed at 'AA-';

--$49 million class M-4 downgraded to 'BBB+' from 'A+';

--$42 million class M-5 downgraded to 'BBB' from 'A';

--$35 million class M-6 downgraded to 'BBB-' from 'A-';

--$17 million class M-7 downgraded to 'BB' from 'BBB+';

--$13.3 million class M-8 downgraded to 'BB' from 'BBB';

--$15.4 million class M-9 downgraded to 'B' from 'BBB-';

--$13.7 million class M-10 affirmed at 'B'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co., Town & Country Credit Co., Argent Mortgage Co., and Olympus Mortgage Co.;

--60+ day Delinquency: 25.98%;

--Realized Losses to date (% of Original Balance): 3.30%.

Series 2004-WCW1

--$96 million class M-1 affirmed at 'AA';

--$40.7 million class M-2 affirmed at 'AA-';

--$78.3 million class M-3 affirmed at 'A';

--$17.2 million class M-4 affirmed at 'BBB+';

--$18.8 million class M-5 downgraded to 'BB' from 'BBB';

--$17.2 million class M-6 downgraded to 'B+' from 'BB';

--$17.2 million class M-7 downgraded to 'B' from 'BB';

--$15.9 million class M-8 downgraded to 'C/DR5' from 'BB-';

--$7 million class M-9 downgraded to 'C/DR6' from 'B'.

Deal Summary

--Originators: 100% Argent Mortgage Co. and Olympus Mortgage Co.;

--60+ day Delinquency: 29.60%;

--Realized Losses to date (% of Original Balance): 3.65%.

Series 2004-WCW2

--$137.7 million class M-1 affirmed at 'AA+';

--$120 million class M-2 affirmed at 'AA';

--$54 million class M-3 affirmed at 'AA-';

--$52.5 million class M-4 downgraded to 'A' from 'A+';

--$51 million class M-5 downgraded to 'BBB+' from 'A-';

--$37.5 million class M-6 downgraded to 'BBB-' from 'BBB+';

--$36 million class M-7 downgraded to 'BB' from 'BBB';

--$15.6 million class M-8 downgraded to 'BB-' from 'BB';

--$20.5 million class M-9 downgraded to 'B+' from 'BB-';

--$15.6 million class M-10 affirmed at 'B'.

Deal Summary

--Originators: 100% Argent Mortgage Co. and Olympus Mortgage Co.;

--60+ day Delinquency: 27.33%;

--Realized Losses to date (% of Original Balance): 3.06%.

Series 2004-WHQ1

--$4.7 million class A-1 affirmed at 'AAA';

--$4.2 million class A-2 affirmed at 'AAA';

--$5.1 million class A-5 affirmed at 'AAA';

--$77 million class M-1 affirmed at 'AA+';

--$60 million class M-2 affirmed at 'AA';

--$40 million class M-3 affirmed at 'AA-';

--$35 million class M-4 downgraded to 'A' from 'A+';

--$30 million class M-5 downgraded to 'BBB+' from 'A';

--$30 million class M-6 downgraded to 'BBB-' from 'A-';

--$25 million class M-7 downgraded to 'BB+' from 'BBB+';

--$14.7 million class M-8 downgraded to 'BB' from 'BBB';

--$8.8 million class M-9 downgraded to 'B' from 'BB+';

--$8.9 million class M-10 downgraded to 'B' from 'BB'.

Deal Summary

--Originators: 100% Argent Mortgage Co. and Olympus Mortgage Co.;

--60+ day Delinquency: 26.78%;

--Realized Losses to date (% of Original Balance): 2.68%.

Series 2004-WHQ2

--$39.4 million class A-1B affirmed at 'AAA';

--$51.8 million class A-1C affirmed at 'AAA';

--$5.8 million class A-1D affirmed at 'AAA';

--$40.6 million class A-2A affirmed at 'AAA';

--$10.1 million class A-2B affirmed at 'AAA';

--$24.7 million class A-3A affirmed at 'AAA';

--$49.5 million class A-3D affirmed at 'AAA';

--$8.2 million class A-3E affirmed at 'AAA';

--$70.9 million class M-1 affirmed at 'AA+';

--$197.8 million class M-2 affirmed at 'AA';

--$70.9 million class M-3 affirmed at 'AA-';

--$94.6 million class M-4 downgraded to 'A-' from 'A+';

--$62.3 million class M-5 downgraded to 'BBB' from 'A';

--$28 million class M-6 downgraded to 'BBB-' from 'A-';

--$47.3 million class M-7 downgraded to 'BB+' from 'BBB+';

--$53.8 million class M-8 downgraded to 'BB' from 'BBB';

--$28.1 million class M-9 downgraded to 'BB' from 'BBB';

--$31.8 million class M-10 downgraded to 'B' from 'BB+'.

Deal Summary

--Originators: 100% Argent Mortgage Co. and Olympus Mortgage Co.;

--60+ day Delinquency: 27.96%;

--Realized Losses to date (% of Original Balance): 3.00%.

Series 2004-WWF1

--$27.3 million class A-1B affirmed at 'AAA';

--$28.3 million class A-1C affirmed at 'AAA';

--$6.4 million class A-1D affirmed at 'AAA';

--$26.3 million class A-2 affirmed at 'AAA';

--$6.6 million class A-3 affirmed at 'AAA';

--$Class A-4 affirmed at 'AAA';

--$Class A-5 affirmed at 'AAA';

--$43 million class M-1 affirmed at 'AA+';

--$221.4 million class M-2 affirmed at 'AA';

--$64.5 million class M-3 affirmed at 'AA';

--$109.7 million class M-4 affirmed at 'AA-';

--$73.1 million class M-5 downgraded to 'BBB' from 'A-';

--$55.9 million class M-6 downgraded to 'BB+' from 'BBB+';

--$68.8 million class M-7 downgraded to 'BB-' from 'BBB-';

--$47.2 million class M-8 downgraded to 'B+' from 'BB';

--$25 million class M-9 downgraded to 'B' from 'BB';

--$17.1 million class M-10 affirmed at 'B';

--$16.1 million class M-11 downgraded to 'C/DR6' from 'B'.

Deal Summary

--Originators: 100% Argent Mortgage Co. and Olympus Mortgage Cos.;

--60+ day Delinquency: 32.13%;

--Realized Losses to date (% of Original Balance): 2.91%.

Additional details are available in the following research, available at www.fitchratings.com

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007).

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

Fitch Ratings, New York
Tara Sweeney, 212-908-0347
Michele Patterson, 212-908-0779
or
Media Relations:
Sandro Scenga, 212-908-0278