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Moody’s downgrades $194M in subprime RMBS

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Ratings giant Moody’s Investors Service (MCO) downgraded the ratings of four tranches of residential mortgage-backed securities issued by Bravo Mortgage Asset Trust 2006-1.

The downgrades are tied to the underlying loans' recent performance. The adjustments consider Moody’s loss expectations for the downgraded pools.

The downgrades also reflect the correction of a previous error that was made in the firm’s structured finance workstation cash flow model. The model was used to rate the Moody’s transaction, but required an adjustment to correct an old error.

"In prior rating actions for Bravo Mortgage Asset Trust 2006-1, the aggregate Class A-2 bond balance was modeled incorrectly, resulting in an overstatement of the credit enhancement available to cover losses on these bonds," Moody’s wrote. "Due to the discovery of this error, three tranches were placed on review on May 7, 2013. The error has now been corrected, and today's rating actions reflect this change."

Complete rating actions are as follows:

Issuer: Bravo Mortgage Asset Trust 2006-1 

Cl. A-2, Downgraded to A3 (sf); previously on May 7, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Baa1 (sf); previously on May 7, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Cl. M-1, Downgraded to Caa1 (sf); previously on May 7, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to C (sf); previously on Jul 14, 2010 Confirmed at Ca (sf)


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