2008-04-08 23:54:45 -
- Fitch Ratings has taken the following rating actions on five ACE Securities Corp Home Equity Loan Trust mortgage pass-through certificates. Affirmations total $774.7 million and downgrades total $413.0 million. Additionally, $21.3 million was placed on Rating Watch Negative and $37.5 million was removed from Rating Watch Negative. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class
are included with the rating actions as follows:
Ace 2005-RM2 TOTAL
--$8.3 million class A-1A affirmed at 'AAA', (BL: 99.19, LCR: 4.94);
--$2.1 million class A-1B affirmed at 'AAA', (BL: 99.00, LCR: 4.93);
--$21.0 million class M1 affirmed at 'AA+', (BL: 90.15, LCR: 4.49);
--$18.7 million class M2 affirmed at 'AA+', (BL: 76.99, LCR: 3.83);
--$11.0 million class M3 affirmed at 'AA', (BL: 68.68, LCR: 3.42);
--$10.2 million class M4 affirmed at 'AA-', (BL: 60.78, LCR: 3.03);
--$9.6 million class M5 affirmed at 'A+', (BL: 53.32, LCR: 2.65);
--$9.3 million class M6 affirmed at 'A', (BL: 40.18, LCR: 2);
--$7.6 million class M7 affirmed at 'A-', (BL: 37.91, LCR: 1.89);
--$5.9 million class M8 downgraded to 'BBB' from 'A-' (BL: 33.96, LCR: 1.69);
--$5.4 million class M9 downgraded to 'BB' from 'BBB+' (BL: 29.71, LCR: 1.48);
--$5.1 million class M10 downgraded to 'BB' from 'BBB' (BL: 25.12, LCR: 1.25);
--$5.7 million class M11 downgraded to 'B' from 'BBB-', removed from Rating Watch Negative (BL: 20.38, LCR: 1.01);
--$8.8 million class B1 downgraded to 'CC/DR6' from 'BB', removed from Rating Watch Negative (BL: 13.31, LCR: 0.66).
Deal Summary
--Originators: ResMae (100%);
--60+ day Delinquency: 38.87% (AOD 2/25/08);
--Realized Losses to date (% of Original Balance): 2.03% (AOD 2/25/08);
--Expected Remaining Losses (% of Current balance): 20.08%;
--Cumulative Expected Losses (% of Original Balance): 6.85%;
Ace 2005-SN1
--$22.7 million class A-1 affirmed at 'AAA', (BL: 63.68, LCR: 13);
--$58.7 million class A-2 affirmed at 'AAA', (BL: 16.80, LCR: 3.43);
--$4.5 million class M-1 affirmed at 'AA', (BL: 11.67, LCR: 2.38);
--$2.5 million class M-2 affirmed at 'A', (BL: 8.83, LCR: 1.8);
--$1.2 million class M-3 downgraded to 'BBB' from 'BBB+' (BL: 7.41, LCR: 1.51);
--$1.2 million class M-4 downgraded to 'BB' from 'BBB' (BL: 6.22, LCR: 1.27).
Deal Summary
--Originators: Washington Mutual (56%), National City, (33%), GE Mortgage (11%);
--60+ day Delinquency: 7.32% (AOD 2/25/08);
--Realized Losses to date (% of Original Balance): 1.07% (AOD 2/25/08);
--Expected Remaining Losses (% of Current balance): 4.90%;
--Cumulative Expected Losses (% of Original Balance): 3.78%;
Ace 2005-HE2 TOTAL
--$59.8 million class M-1 affirmed at 'AA+', (BL: 90.99, LCR: 2.78);
--$39.0 million class M-2 affirmed at 'AA', (BL: 76.45, LCR: 2.34);
--$23.8 million class M-3 affirmed at 'AA-', (BL: 66.97, LCR: 2.05);
--$21.3 million class M-4 rated 'A+', placed on Rating Watch Negative (BL: 55.90, LCR: 1.71);
--$20.7 million class M-5 downgraded to 'BBB' from 'A+' (BL: 49.51, LCR: 1.51);
--$18.3 million class M-6 downgraded to 'BB' from 'A' (BL: 42.29, LCR: 1.29);
--$15.2 million class M-7 downgraded to 'B' from 'A-' (BL: 35.88, LCR: 1.1);
--$15.2 million class M-8 downgraded to 'CCC' from 'BBB+' (BL: 29.41, LCR: 0.9);
--$12.2 million class M-9 downgraded to 'CC/DR5' from 'BBB', removed from Rating Watch Negative (BL: 23.89, LCR: 0.73);
--$12.2 million class M-10 downgraded to 'CC/DR5' from 'BBB-', removed from Rating Watch Negative(BL: 18.18, LCR: 0.56);
--$16.5 million class B-1 revised to 'C/DR6' from 'C/DR3' (BL: 11.14, LCR: 0.34);
--$7.3 million class B-2 revised to 'C/DR6' from 'C/DR5' (BL: 8.83, LCR: 0.27).
Deal Summary
--Originators: Fremont (83%);
--60+ day Delinquency: 49.74% (AOD 2/25/08);
--Realized Losses to date (% of Original Balance): 1.49% (AOD 2/25/08);
--Expected Remaining Losses (% of Current balance): 32.71%;
--Cumulative Expected Losses (% of Original Balance): 8.55%;
Ace 2005-HE3 TOTAL
--$43.7 million class A-1A affirmed at 'AAA', (BL: 88.11, LCR: 2.69);
--$10.9 million class A-1B affirmed at 'AAA', (BL: 85.02, LCR: 2.6);
--$34.8 million class A-2C affirmed at 'AAA', (BL: 87.28, LCR: 2.67);
--$58.4 million class M-1 affirmed at 'AA+', (BL: 67.18, LCR: 2.05);
--$35.5 million class M-2 downgraded to 'BBB' from 'AA' (BL: 55.68, LCR: 1.7);
--$22.4 million class M-3 downgraded to 'BB' from 'AA-' (BL: 47.34, LCR: 1.45);
--$19.6 million class M-4 downgraded to 'BB' from 'A+' (BL: 41.45, LCR: 1.27);
--$18.5 million class M-5 downgraded to 'B' from 'A' (BL: 35.50, LCR: 1.08);
--$18.0 million class M-6 downgraded to 'CCC' from 'A-' (BL: 29.47, LCR: 0.9);
--$14.2 million class M-7 downgraded to 'CCC' from 'BBB' (BL: 24.50, LCR: 0.75);
--$13.1 million class M-8 downgraded to 'CC/DR6' from 'BBB-', removed from Rating Watch Negative(BL: 19.96, LCR: 0.61);
--$10.9 million class M-9 downgraded to 'C/DR6' from 'BB-' (BL: 15.94, LCR: 0.49);
--$6.5 million class B-1 downgraded to 'C/DR6' from 'B' (BL: 13.33, LCR: 0.41);
--$10.9 million class B-2 revised to 'C/DR6' from 'C/DR5' (BL: 10.50, LCR: 0.32).
Deal Summary
--Originators: Finance America (44%), OwnIt (21%), New Century (17%);
--60+ day Delinquency: 46.47% (AOD 2/25/08);
--Realized Losses to date (% of Original Balance): 2.20% (AOD 2/25/08);
--Expected Remaining Losses (% of Current balance): 32.75%;
--Cumulative Expected Losses (% of Original Balance): 11.79%;
Ace 2005-HE4 TOTAL
--$48.0 million class A-1A affirmed at 'AAA', (BL: 90.08, LCR: 3.37);
--$22.1 million class A-1B affirmed at 'AAA', (BL: 82.04, LCR: 3.07);
--$57.9 million class A-2C affirmed at 'AAA', (BL: 80.97, LCR: 3.03);
--$52.6 million class M-1 affirmed at 'AA+', (BL: 69.24, LCR: 2.59);
--$45.3 million class M-2 affirmed at 'AA+', (BL: 58.77, LCR: 2.2);
--$26.3 million class M-3 affirmed at 'AA', (BL: 51.64, LCR: 1.93);
--$24.8 million class M-4 downgraded to 'BBB' from 'AA-' (BL: 46.33, LCR: 1.74);
--$22.6 million class M-5 downgraded to 'BBB' from 'A+' (BL: 41.22, LCR: 1.54);
--$20.4 million class M-6 downgraded to 'BB' from 'BBB+' (BL: 36.30, LCR: 1.36);
--$19.0 million class M-7 downgraded to 'B' from 'BBB' (BL: 31.56, LCR: 1.18);
--$17.5 million class M-8 downgraded to 'B' from 'BB+' (BL: 27.16, LCR: 1.02);
--$12.4 million class M-9 downgraded to 'CCC' from 'BB-' (BL: 23.87, LCR: 0.89);
--$10.2 million class M-10 downgraded to 'CCC' from 'B+' (BL: 21.12, LCR: 0.79);
--$13.9 million class B-1 revised to 'CC/DR5' from 'CC/DR3' (BL: 17.60, LCR: 0.66);
--$17.5 million class B-2 revised to 'CC/DR5' from 'CC/DR3' (BL: 13.35, LCR: 0.5).
Deal Summary
--Originators: New Century (64%);
--60+ day Delinquency: 35.14% (AOD 2/25/08);
--Realized Losses to date (% of Original Balance): 1.32% (AOD 2/25/08);
--Expected Remaining Losses (% of Current balance): 26.70%;
--Cumulative Expected Losses (% of Original Balance): 9.28%;
The rating actions are based on changes that Fitch has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating performance of pools from 2007, 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, available at www.fitchratings.com:
--'Fitch Places $139B U.S. Subprime RMBS On Watch Negative on Worsening Mortgage Performance' (Feb. 1, 2008);
--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);
--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 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, +1-212-908-0347
Michele Patterson, +1-212-908-0779
Sandro Scenga, +1-212-908-0278 (Media Relations)
