by Calculated Risk on 7/17/2007 06:27:00 PM

On Bear Stearns:

New York, July 17, 2007 -- Moody's Investors Service has placed under review for possible downgrade thirteen tranches from eight deals issued by Bear Stearns in 2006. The collateral backing these classes consists of primarily first lien, fixed and adjustable-rate, Alt-A mortgage loans.

The ratings were placed under review for downgrade based on higher than anticipated rates of delinquency in the underlying collateral compared to current credit enhancement levels.

On IndyMac:

New York, July 17, 2007 -- Moody's Investors Service has placed under review for possible downgrade two tranches from two deals issued by IndyMac INDX Mortgage Loan Trust in 2006. The collateral backing these classes consists of primarily first lien, fixed and adjustable-rate, Alt-A mortgage loans.

The ratings were placed under review for downgrade based on higher than anticipated rates of delinquency in the underlying collateral compared to current credit enhancement levels.

It is worth repeating: the collateral consists primarily of Alt-A, first lien mortgage loans.

UPDATE: Reuters story: Moody's may cut Bear Stearns, IndyMac ABS (hat tip AllenM)

In addition, Moody's also said it may cut the ratings of eight tranches from three deals issued by Nomura Asset Acceptance Corporation in 2006. The collateral backing these classes consists of primarily first lien, fixed and adjustable-rate, Alt-A mortgage loans.

UPDATE2: More from Moody's (hat tip Brian)

Moody's has noted a negative trend in delinquencies for first-lien, Alt-A mortgage loans originated in late 2005 and 2006. Recent data shows that these first-lien, Alt-A mortgage loans have delinquency rates that are higher than original expectations, and a number of transactions may, in light of their current rating levels, be insufficiently protected against the greater than anticipated losses implied by such high delinquency levels. These loans were originated in an environment of aggressive underwriting, which combined with prolonged home price pressure has caused significant loan performance deterioration and is the primary factor in these reviews.

During the course of these reviews, Moody's will seek to identify the underlying cause of delinquency within each of the 33 transactions, as well as to assess the overall impact these early delinquencies will have on each transaction's projected lifetime losses. It is anticipated that the current rating reviews will be resolved over the next two months as more information becomes available and Moody's completes its analysis.
emphasis added