First, subprime. Next, Alt-A. The red pens at Moody's Investors Service are now, officially, running low on red ink. After downgrading 1,923 subprime RMBS classes between Monday and Tuesday of this week -- including numerous previously Aaa-rated tranches -- the hits to Aaa-rate RMBS just kept coming on Wednesday. The agency downgraded another 510 classes from 64 additional subprime deals, according to calculations by Housing Wire, and then got busy cutting up Alt-A securities -- to the tune of 388 classes downgraded from 75 different Alt-A deals. IndyMac figured prominently into the Alt-A downgrades, with a full 46 of the 75 issues downgraded tied to the former Alt-A powerhouse. Moody's also warned of pending downgrades to a stunning 254 different Aaa-rated Alt-A tranches, worth well into the hundreds of billions of dollars. The list of Alt-A downgrades and Housing Wire's count of at-risk Aaa tranches:
  • 5 tranches from 5 Alt-A transactions issued by CSAB, an additional 77 Aaa-rated tranches put on review for downgrade (full list)
  • 100 tranches from 14 Alt-A transactions issued by CSFB, including Aaa downgrades to CSFB Adjustable Rate Mortgage Trust 2007-1, an additional 71 Aaa-rated tranches put on review for downgrade (full list)
  • 46 tranches from 10 Alt-A transactions issued by CSMC, an additional 49 Aaa-rated tranches put on review for downgrade (full list)
  • 165 tranches from 46 Alt-A transactions issued by IndyMac, 92 Aaa-rated tranches put on review for downgrade (full list)
This list of subprime downgrades, including Housing Wire's tally of deals affected at the Aaa-level:
  • 67 tranches from 8 subprime RMBS transactions issued by NovaStar Mortgage Funding Trust (full list)
  • 38 tranches from 6 subprime RMBS transactions issued by Nationstar/Centex (full list)
  • 25 tranches from 3 subprime RMBS transactions issued by First NLC Trust, includes Aaa downgrades to First NLC Trust Mortgage-Backed Certificates, Series 2007-1 (full list)
  • 226 tranches from 25 subprime RMBS transactions issued by SASCO, includes Aaa downgrades to Structured Asset Securities Corp 2006-Z, 2006-BC2, 2006-BC3, 2006-BC4, 2006-NC1, 2007-BC2, 2007-MLN1, 2007-OSI, 2007-WF1, 2007-EQ1 (full list)
  • 121 tranches from 15 subprime RMBS transactions issued by SAIL, includes Aaa downgrades to Structured Asset Investment Loan Trust 2006-BNC2, 2006-BNC3 (full list)
  • 12 tranches from 1 subprime RMBS transaction issued by Lehman, includes Aaa downgrades to Lehman ABS Mortgage Loan Trust 2007-1 (full list)
  • 21 tranches from 6 subprime RMBS transactions issued by Ameriquest Mortgage Securities Inc. (full list)
We can't help but wonder what the Federal Reserve is now holding on its books, given the amount of Aaa-rated securities that have been cut in the past three days alone. One thing is ominously certain for the financial markets, however -- the write-downs are far from over.