Fitch Affirms 9 RMBS Classes from 2 Morgan Stanley ABS Capital I Inc. Trust Issues

Business Wire, Jan 26, 2006

NEW YORK -- Fitch Ratings has affirmed the ratings on the following Morgan Stanley ABS Capital I Inc. Trust issues:

Series 2004-SD1

-- Class A at 'AAA';

-- Class M-1 at 'AA';

-- Class M-2 at 'A';

-- Class B at 'BBB'.

Series 2004-SD3

-- Class A at 'AAA';

-- Class M-1 at 'AA';

-- Class M-2 at 'A';

-- Class B-1 at 'BBB';

-- Class B-2 at 'BBB-'.

The mortgage pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgage (ARMs) loans secured primarily by first liens on one- to four-family residential properties.

At the closing date for series 2004-SD1, the pool consisted of 92.98% performing loans, 4.82% sub-performing loans, and 2.20% re-performing loans. The original collateral was 44.23% FRMs, 55.77% ARMs and had a weighted average seasoning of 17 months. For series 2004-SD3, the pool consisted of 92.02% performing loans, 5.83% sub-performing loans, and 2.14% re-performing loans. The collateral was originally 33.87% FRMs and 66.13% ARMs and had a weighted average seasoning of 28 months.

As of the December 2005 distribution date, the transactions are seasoned 23 and 15 months respectively, and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) are approximately 45% and 59% respectively.

The affirmations reflect a stable relationship between credit enhancement (CE) and future loss expectations and affect approximately $277.35 million of outstanding certificates. The delinquencies have remained relatively stable, and the losses to date have been low, with a weighted average loss of approximately 25 basis points (bps). All of the classes' CE levels have increased to approximately 2 times their original levels.

All of the loans were acquired from various originators, including Bank of America, N.A., Washington Mutual, New Century, and Long Beach. The loans are serviced by Bank of America (rated 'RPS1' by Fitch), Wells Fargo Bank, N.A. (rated 'RPS1' by Fitch), Wilshire Credit Corp. (rated 'RPS1-' by Fitch), and Washington Mutual (rated 'RPS2' by Fitch).

Fitch will continue to closely monitor these transactions. Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings website at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.