NEW YORK (Standard & Poor's) March 28, 2008--Standard & Poor's Ratings
Services today lowered its
ratings on 81 classes of asset-backed certificates
from 21 U.S. residential mortgage-backed securities (RMBS) transactions from
four issuers. We placed our rating on one of the downgraded classes on
CreditWatch with negative implications. Concurrently, we affirmed our ratings
on the remaining 103 classes from these and nine other transactions (see
list).
The rating actions involve transactions from New Century Home Equity Loan
Trust, NovaStar Mortgage Funding Trust, Securitized Asset Backed Receivables
LLC Trust, and Soundview Home Loan Trust.
The downgrades reflect a reduction in credit enhancement as a result of
monthly realized losses, as well as high amounts of severe delinquencies
(90-plus days, foreclosures, and REOs). As of the February 2008 remittance
date, cumulative realized losses for the downgraded transactions, as a
percentage of the original pool balances, ranged from 0.98% (Soundview Home
Loan Trust 2005-3) to 2.72% (New Century Home Equity Loan Trust 2005-D).
Severe delinquencies, as a percentage of the current pool balances, ranged
from 11.8% (NovaStar Mortgage Funding Trust 2004-1) to 35.78% (Soundview Home
Loan Trust 2005-3). Overcollateralization is below its target for all of the
downgraded transactions except Soundview Home Loan Trust 2005-OPT3. The
overcollateralization for Soundview Home Loan Trust 2005-2 has been completely
eroded. The pool factors for these transactions range from 10.69% (NovaStar
Mortgage Funding Trust 2004-1) to 56.71% (New Century Home Equity Loan Trust
2005-C).
We lowered the rating on class M-7 from New Century Home Equity Loan
Trust 2004-3 and placed it on CreditWatch negative due to the combination of
high severe delinquencies and the amount of credit support the class may lose
as a result of the transaction's step-down feature. We will closely monitor
this transaction and take further negative rating actions if the amount of
credit support relative to severe delinquencies continues to deteriorate.
The affirmations reflect sufficient credit enhancement available to
support the ratings at their current levels.
Subordination, overcollateralization, and excess spread provide credit
support for these transactions. A portion of the collateral in each NovaStar
Mortgage Funding Trust transaction is insured up to a certain loan-to-value
ratio by primary mortgage insurance issued by Mortgage Guaranty Insurance
Corp., PMI Mortgage Insurance Corp., or Radian Guaranty. The collateral for
these transactions consists of subprime mortgage loans.
RATINGS LOWERED
New Century Home Equity Loan Trust
Rating
Transaction Class CUSIP To From
2004-3 M-8 64352VJC6 BB BBB
2004-3 M-9 64352VJD4 B BBB-
2004-4 M-7 64352VJQ5 BBB BBB+
2004-4 M-8 64352VJR3 BB BBB
2004-4 M-9 64352VJS1 B BBB-
2005-1 M-9 64352VKJ9 BB BBB-
2005-2 M-9 64352VLB5 BB BBB-
2005-4 M-10 64352VND9 BB- BBB-
2005-4 M-9 64352VNC1 BB BBB-
2005-B M-5 64352VNP2 BB A+
2005-B M-6 64352VNQ0 BB- A
2005-B M-7 64352VNR8 B BBB+
2005-B M-8 64352VNS6 B- BB
2005-B M-9 64352VNT4 CCC B
2005-C M-5 64352VPD7 BB A+
2005-C M-6 64352VPE5 BB- A
2005-C M-7 64352VPF2 B BB
2005-C M-8 64352VPG0 B- BB
2005-C M-10 64352VPJ4 CCC B
2005-C M-9 64352VPH8 CCC B
2005-D M-5 64352VPU9 BBB- A+
2005-D M-6 64352VPV7
BB A
2005-D M-7 64352VPW5 BB- A-
2005-D M-8 64352VPX3 B BBB+
2005-D M-9 64352VPY1 B- BB
2005-D M-10 64352VPZ8 CCC B
NovaStar Mortgage Funding Trust
Rating
Transaction Class CUSIP To From
2004-1 M-6 66987XEF8 A- A
2004-1 B-1 66987XEG6 BB A-
2004-1 B-2 66987XEH4 B BBB
2004-1 B-3 66987XEJ0 CCC BBB-
2004-3 B-2 66987XFW0 BBB BBB+
2004-3 B-3 66987XFX8 B BBB
2004-3 B-4 66987XFY6 B- BBB
2004-4. B-3 66987WCB1 B BBB
2004-4 B-4 66987WCC9 B- BBB-
Securitized Asset Backed Receivables LLC Trust
Rating
Transaction Class CUSIP To From
2004-DO1 B-1 81375WAW6 BBB BBB+
2004-DO1 B-2 81375WAX4 BB BBB
2004-DO1 B-3 81375WAY2 B BBB-
Soundview Home Loan Trust
Rating
Transaction Class CUSIP To From
2005-2. B-4 83611MFC7 CCC B+
2005-3 M-7 83611MFT0 BBB A-
2005-3 M-8 83611MFU7 BB- BBB+
2005-3 M-9 83611MFV5 B BBB
2005-3 B-1 83611MFW3 CCC BB
2005-4. M-6 83611MKK3 BBB+ A
2005-4 M-7 83611MKL1 BBB- A-
2005-4 M-8 83611MKM9 BB- BBB+
2005-4 M-9 83611MKN7 B+ BBB
2005-4 M-10 83611MKP2 B BBB-
2005-4 M-11 83611MKQ0 CCC BB
2005-CTX1 M-7 83611PCA7 A- A
2005-CTX1 M-8 83611PCB5 BB BBB+
2005-CTX1 M-9 83611PCC3 B+ BBB
2005-CTX1 M-10 83611PCD1 B BBB-
2005-CTX1 B-1 83611PCE9 CCC BB
2005-CTX1 B-2 83611PCF6 CCC B
2005-DO1 M-11 83611MEH7 BB BBB-
2005-DO1 B-1 83611MEJ3 B B+
2005-OPT1 M-6 83611MDM7 BBB- A
2005-OPT1 M-7 83611MDN5 BB- BBB+
2005-OPT1 M-8 83611MDP0 B BB
2005-OPT1 M-9 83611MDQ8 CCC B
2005-OPT2 M-2 83611MGJ1 BBB A+
2005-OPT2 M-3 83611MGK8 BB+ BBB
2005-OPT2 M-6 83611MGN2 B- B
2005-OPT2 M-7 83611MGP7 CCC B
2005-OPT3 M-4 83611MGX0 A- A+
2005-OPT3 M-5 83611MGY8 BBB- A
2005-OPT3 M-6 83611MGZ5 BB A-
2005-OPT3 M-7 83611MHA9 B+ BBB
2005-OPT3 M-8 83611MHB7 B BB
2005-OPT3 M-10 83611MHG6 CCC B
2005-OPT3 M-9 83611MHC5 CCC B
2005-OPT4 M-4 83611MJP4 BBB A+
2005-OPT4 M-5 83611MJQ2 BB+ A
2005-OPT4 M-6 83611MJR0 BB- A-
2005-OPT4 M-7 83611MJS8 B+ BBB+
2005-OPT4 M-8 83611MJT6 B BBB
2005-OPT4 M-9 83611MJU3 CCC BB
2005-OPT4 M-10 83611MJV1 CCC B
2005-OPT4 M-11 83611MJW9 CCC B
RATING LOWERED AND PLACED ON CREDITWATCH NEG
ATIVE
New Century Home Equity Loan Trust
Rating
Transaction Class CUSIP To From
2004-3 M-7 64352VJB8 BBB/Watch Neg BBB+
RATINGS AFFIRMED
New Century Home Equity Loan Trust
Transaction Class CUSIP Rating
2003-4 M-1 64352VDK4 AA
2003-4 M-2 64352VDL2 A
2003-4 M-3 64352VDM0 A-
2003-4 M-4 64352VDN8 BBB+
2003-4 M-5 64352VDP3 BBB
2003-4 M-6 64352VDQ1 BBB-
2003-A A 64352VDR9 AAA
2003-A M-2 64352VDT5 AA+
2003-A M-3 64352VDU2 A+
2003-A M-4 64352VDV0 A+
2003-A M-5 64352VDW8 BBB-
2003-B M-1 64352VES6 AA
2003-B M-2 64352VET4 A
2003-B M-3 64352VEU1 A-
2003-B M-4 64352VEV9 BBB+
2003-B M-5 64352VEW7 BBB
2003-B M-6 64352VEX5 BBB-
2004-3 M-1 64352VHV6 AAA
2004-3 M-2 64352VHW4 AA+
2004-3 M-3 64352VHX2 AA
2004-3 M-4 64352VHY0 AA-
2004-3 M-5 64352VHZ7 A
2004-3 M-6 64352VJA0 A-
2004-4 M-1 64352VJJ1 AA+
2004-4 M-2 64352VJK8 AA
2004-4 M-3 64352VJL6 AA-
2004-4 M-4 64352VJM4 A+
2004-4 M-5 64352VJN2 A
2004-4 M-6 64352VJP7 A-
1997-NC5 A-5 64352VAE1 AAA
1997-NC5 A-6 64352VAF8 AAA
1997-NC5 A-7IO 64352VAG6 AAA
1997-NC5 M-1 64352VAH4 AA
1997-NC5 M-2 64352VAJ0 A
1997-NC5 B 64352VAK7 BBB-
NovaStar Mortgage Funding Trust
Transaction Class CUSIP Rating
2003-1 A-1 66987XCD5 AAA
2003-1 A-2 66987XCE3 AAA
2003-1 AIO 66987XCJ2 AAA
2003-1 P 66987XCK9 AAA
2003-1 M-1 66987XCF0 AA
2003-1 M-2 66987XCG8 A
2003-1 M-3 66987XCH6 BBB
2003-2 A-1 66987WAP2 AAA
2003-2 A-2 66987WAQ0 AAA
2003-2 P 66987XCL7 AAA
2003-2 M-1 66987WAR8 AA
2003-2 M-2 66987WAS6 A
2003-2 M-3 66987WAT4 A-
2003-2 B-1 66987WAU1 BBB+
2003-3 A-1 66987XCQ6 AAA
2003-3 A-2C 66987XCT0 AAA
2003-3 A-3 66987XCU7 AAA
2003-3 P 66987XDA0 AAA
2003-3 M-1 66987XCV5 AA
2003-3 M-2 66987XCW3 A
2003-3 M-3 66987XCX1 A-
2003-3 B-1 66987XCY9 BBB+
2003-3 B-2 66987XCZ6 BBB
2003-4. A-1 66987XDE2 AAA
2003-4 A-2B 66987XDG7 AAA
2003-4 A-2C 66987XDH5 AAA
2003-4 A-3 66987XDJ1 AAA
2003-4 P 66987XDQ5 AAA
2003-4 M-1 66987XDK8 AA
2003-4 M-2 66987XDL6 A
2003-4 M-3 66987XDM4 A-
2003-4 B-1 66987XDN2 BBB+
2003-4 B-2 66987XDP7 BBB
2003-4 B-3 66987XDU6 BBB-
2004-3 M-1 66987XFP5 AA+
2004-3 M-2 66987XFQ3 AA+
2004-3 M-3 66987XFR1 AA
2004-3 M-4 66987XFS9 AA-
2004-3 M-5 66987XFT7 A+
2004-3 M-6 66987XFU4 A
2004-3 B-1 66987XFV2 A-
2004-4 A-1A 66987WBN6 AAA
2004-4 A-1B 66987WBP1 AAA
2004-4 A-2C 66987WBS5 AAA
2
004-4 M-1 66987WBT3 AA+
2004-4 M-2 66987WBU0 AA+
2004-4 M-3 66987WBV8 AA
2004-4 M-4 66987WBW6 AA
2004-4 M-5 66987WBX4 AA-
2004-4 M-6 66987WBY2 A+
2004-4 B-1 66987WBZ9 A
2004-4 B-2 66987WCA3 A-
Securitized Asset Backed Receivables LLC Trust
Transaction Class CUSIP Rating
2004-DO1 A-1 81375WAZ9 AAA
2004-DO1 A-2 81375WAS5 AAA
2004-DO1 M-1 81375WAT3 AA+
2004-DO1 M-2 81375WAU0 A
2004-DO1 M-3 81375WAV8 A-
Soundview Home Equity Loan Trust
Transaction Class CUSIP Rating
2001-1 A 83611PAJ0 AAA
2001-1 A-IO 83611PAK7 AAA
2001-1 M-1 83611PAL5 BB
Soundview Home Loan Trust
Transaction Class CUSIP Rating
2005-3 B-2 83611MFX1 CCC
2005-3 B-3 83611MFY9 CCC
2005-DO1 B-2 83611MEK0 CCC
2005-OPT1 M-10 83611MDR6 CCC
2005-OPT2 M-8 83611MGQ5 CCC
2005-OPT2 M-9 83611MGR3 CCC
Analytic services provided by Standard & Poor's Ratings Services (Ratings Services) are the result of separate activities designed to preserve the independence and objectivity of ratings opinions. The credit ratings and observations contained herein are solely statements of opinion and not statements of fact or recommendations to purchase, hold, or sell any securities or make any other investment decisions. Accordingly, any user of the information contained herein should not rely on any credit rating or other opinion contained herein in making any investment decision. Ratings are based on information received by Ratings Services. Other divisions of Standard & Poor's may have information that is not available to Ratings Services. Standard & Poor's has established policies and procedures to maintain the confidentiality of non-public information received during the ratings process.
Ratings Services receives compensation for its ratings. Such compensation is normally paid either by the issuers of such securities or third parties participating in marketing the securities. While Standard & Poor's reserves the right to disseminate the rating, it receives no payment for doing so, except for subscriptions to its publications. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.
