Fitch Affirms $839.9MM and Downgrades $396.7MM from 6 Morgan Stanley Subprime Transactions

2008-04-01 23:37:57 -

- Fitch Ratings has taken the following rating actions on Morgan Stanley mortgage pass-through certificates. Affirmations total $839.9 million and downgrades total $396.7 million. Additionally, $92.8 million was placed on Rating Watch Negative and $58.0 million was removed from Rating Watch. Break Loss percentages (BL) and Loss Coverage Ratios (LCR) for each class are included with the rating actions as follows:

Morgan Stanley ABS Capital I Inc. Trust 2005-WMC1 TOTAL

--$38.5 million class M-1 affirmed at 'AA+', (BL: 85.24, LCR: 3.63);

--$35.0 million class M-2 affirmed at 'AA', (BL: 62.07, LCR: 2.64);

--$22.4 million class M-3 affirmed at 'AA-', (BL: 45.81, LCR: 1.95);

--$20.1 million class M-4 downgraded to 'BB' from 'A+' (BL: 32.71, LCR: 1.39);

--$18.4 million class M-5 downgraded to 'B' from 'A' (BL: 25.34, LCR: 1.08);

--$13.3 million class M-6 downgraded to 'B' from 'A-' (BL: 22.32, LCR: 0.95);

--$5.9 million class B-1 downgraded to 'CCC' from 'BBB+' (BL: 19.43, LCR: 0.83);

--$4.0 million class B-2 downgraded to 'CC/DR5' from 'BBB' (BL: 17.14, LCR: 0.73);

--$4.7 million class B-3 downgraded to 'CC/DR6' from 'BBB-' (BL: 14.64, LCR: 0.62).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 37.03%

--Realized Losses to date (% of Original Balance): 1.80%

--Expected Remaining Losses (% of Current balance): 23.49%

--Cumulative Expected Losses (% of Original Balance): 5.28%

Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 Total

--$37.6 million class M1 affirmed at 'AA+', (BL: 89.68, LCR: 4.18);

--$40.5 million class M2 affirmed at 'AA', (BL: 44.39, LCR: 2.07);

--$24.4 million class M3 affirmed at 'AA-', (BL: 38.48, LCR: 1.8);

--$21.2 million class M4 downgraded to 'BBB' from 'A+' (BL: 32.23, LCR: 1.5);

--$21.8 million class M5 downgraded to 'BB' from 'A' (BL: 27.72, LCR: 1.29);

--$19.3 million class M6 downgraded to 'B' from 'A-' (BL: 24.47, LCR: 1.14);

--$17.3 million class B1 downgraded to 'B' from 'BBB+' (BL: 21.75, LCR: 1.01);

--$7.6 million class B2 downgraded to 'CCC' from 'BBB', removed from Rating Watch Negative (BL: 19.53, LCR: 0.91);

--$4.6 million class B3 downgraded to 'CCC' from 'BBB-', removed from Rating Watch Negative (BL: 17.72, LCR: 0.83).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 32.09%

--Realized Losses to date (% of Original Balance): 1.15%

--Expected Remaining Losses (% of Current balance): 21.43%

--Cumulative Expected Losses (% of Original Balance): 4.62%

Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3 Total

--$29.2 million class M1 affirmed at 'AA+', (BL: 91.84, LCR: 3.8);

--$30.1 million class M2 affirmed at 'AA', (BL: 74.67, LCR: 3.09);

--$18.7 million class M3 affirmed at 'AA-', (BL: 63.74, LCR: 2.64);

--$17.3 million class M4 affirmed at 'A+', (BL: 53.62, LCR: 2.22);

--$15.8 million class M5 affirmed at 'A', (BL: 43.92, LCR: 1.82);

--$15.3 million class M6 downgraded to 'BBB' from 'BBB+' (BL: 34.96, LCR: 1.45);

--$12.8 million class B1 downgraded to 'B' from 'BBB' (BL: 27.30, LCR: 1.13);

--$11.8 million class B2 downgraded to 'CCC' from 'BB' (BL: 20.41, LCR: 0.84);

--$11.3 million class B3 downgraded to 'CC/DR5' from 'BB' (BL: 16.08, LCR: 0.67).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 37.96%

--Realized Losses to date (% of Original Balance): 1.53%

--Expected Remaining Losses (% of Current balance): 24.17%

--Cumulative Expected Losses (% of Original Balance): 5.88%

Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4 TOTAL

--$37.3 million class M-1 affirmed at 'AA+', (BL: 94.16, LCR: 3.58);

--$38.3 million class M-2 affirmed at 'AA', (BL: 78.96, LCR: 3);

--$24.5 million class M-3 affirmed at 'AA-', (BL: 68.80, LCR: 2.62);

--$20.7 million class M-4 affirmed at 'A+', (BL: 60.19, LCR: 2.29);

--$21.4 million class M-5 rated 'A', placed on Rating Watch Negative (BL: 50.49, LCR: 1.92);

--$18.8 million class M-6 rated 'BBB+', placed on Rating Watch Negative (BL: 43.20, LCR: 1.64);

--$17.0 million class B-1 downgraded to 'BB' from 'BBB-', placed on Rating Watch Negative (BL: 36.08, LCR: 1.37);

--$15.7 million class B-2 downgraded to 'B' from 'BB', placed on Rating Watch Negative (BL: 29.71, LCR: 1.13);

--$14.4 million class B-3 downgraded to 'CCC' from 'B' (BL: 24.60, LCR: 0.94).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 40.44%

--Realized Losses to date (% of Original Balance): 1.70%

--Expected Remaining Losses (% of Current balance): 26.28%

--Cumulative Expected Losses (% of Original Balance): 6.77%

Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5 TOTAL

--$20.5 million class A2c affirmed at 'AAA', (BL: 98.88, LCR: 3.59);

--$55.5 million class M1 affirmed at 'AA+', (BL: 88.45, LCR: 3.21);

--$47.2 million class M2 affirmed at 'AA', (BL: 75.12, LCR: 2.72);

--$29.2 million class M3 affirmed at 'AA-', (BL: 66.40, LCR: 2.41);

--$27.7 million class M4 affirmed at 'A+', (BL: 58.02, LCR: 2.1);

--$24.7 million class M5 affirmed at 'A', (BL: 49.21, LCR: 1.78);

--$23.2 million class M6 affirmed at 'A-', (BL: 43.04, LCR: 1.56);

--$21.0 million class B1 downgraded to 'BB' from 'BBB+' (BL: 36.83, LCR: 1.34);

--$21.0 million class B2 downgraded to 'B' from 'BBB' (BL: 30.64, LCR: 1.11);

--$16.5 million class B3 downgraded to 'CCC' from 'BBB-' (BL: 26.45, LCR: 0.96).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 42.37%

--Realized Losses to date (% of Original Balance): 1.72%

--Expected Remaining Losses (% of Current balance): 27.58%

--Cumulative Expected Losses (% of Original Balance): 7.84%

Morgan Stanley ABS Capital I Inc. Trust, Series 2005-WMC6 TOTAL

--$4.8 million class A1mz affirmed at 'AAA', (BL: 98.19, LCR: 3.9);

--$7.5 million class A1ss affirmed at 'AAA', (BL: 98.99, LCR: 3.93);

--$62.8 million class A2c affirmed at 'AAA', (BL: 87.11, LCR: 3.46);

--$42.9 million class M1 affirmed at 'AA+', (BL: 74.25, LCR: 2.95);

--$37.6 million class M2 affirmed at 'AA', (BL: 62.45, LCR: 2.48);

--$25.9 million class M3 affirmed at 'AA-', (BL: 52.34, LCR: 2.08);

--$20.0 million class M4 rated 'A+', placed on Rating Watch Negative (BL: 47.11, LCR: 1.87);

--$19.4 million class M5 downgraded to 'BBB' from 'A' (BL: 41.46, LCR: 1.64);

--$16.5 million class M6 downgraded to 'BB' from 'A-', removed from Rating Watch Negative (BL: 36.25, LCR: 1.44);

--$17.6 million class B1 downgraded to 'B' from 'BBB+', removed from Rating Watch Negative (BL: 30.51, LCR: 1.21);

--$16.5 million class B2 downgraded to 'B' from 'BBB', removed from Rating Watch Negative (BL: 25.34, LCR: 1.01);

--$11.8 million class B3 downgraded to 'CCC' from 'BB', removed from Rating Watch Negative (BL: 22.17, LCR: 0.88).

Deal Summary

--Originators: WMC

--60+ day Delinquency: 36.77%

--Realized Losses to date (% of Original Balance): 1.94%

--Expected Remaining Losses (% of Current balance): 25.21%

--Cumulative Expected Losses (% of Original Balance): 8.72%

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.

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