CDC Subprime Deals Under Review

Thirty-four certificates from eight deals issued by CDC Mortgage Capital Trust in 2001, 2002, and 2003 and two deals issued by IXIS Real Estate Capital Trust in 2005 have been placed on review for possible downgrade by Moody's Investors Service.The affected transactions were as follows: CDC Mortgage Capital Trust series 2001-HE1, 2002-HE1, 2002-HE2, 2002-HE3, 2003-HE1, 2003-HE2, 2003-HE3, and 2003-HE4; and IXIS Real Estate Capital Trust series 2005-HE1 and 2005-HE2. The negative rating actions on the eight CDC Mortgage deals were attributed to "very low" pool factors. "The stepping down and continuous losses have left them with thin credit enhancement levels and made them more vulnerable to pool deterioration in the tail end of a deal's life," Moody's said. The actions on the IXIS deals were based on insufficient credit enhancement in view of "the high pipelines for both deals," the rating agency said. All the transactions are backed by first- and second-lien fixed- and adjustable-rate subprime mortgage loans. Moody's can be found online at http://www.moodys.com.