New York, September 12, 2013 -- Moody's Investors Service has confirmed the ratings of 14 tranches from
seven transactions backed by subprime mortgage loans issued by Accredited
Mortgage Loan Trust.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2002-1
Cl. A-1, Confirmed at Ba1 (sf); previously on
May 14, 2013 Ba1 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Confirmed at A3 (sf); previously on
May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2002-2
Cl. A-1, Confirmed at Caa1 (sf); previously on
May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Confirmed at Ba3 (sf); previously on
May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-3, Confirmed at A2 (sf); previously on
May 14, 2013 A2 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2003-1
Cl. A-1, Confirmed at Caa1 (sf); previously on
May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2003-2, Asset-Backed
Notes, Series 2003-2
Cl. A-1, Confirmed at B3 (sf); previously on
May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Confirmed at Ba3 (sf); previously on
May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2003-3, Asset-Backed
Notes, Series 2003-3
Cl. A-1, Confirmed at B3 (sf); previously on
May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Confirmed at Caa2 (sf); previously on
May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2004-1, Asset-Backed
Notes, Series 2004-1
Cl. A-1, Confirmed at B2 (sf); previously on
May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Confirmed at B3 (sf); previously on
May 14, 2013 B3 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Accredited Mortgage Loan Trust 2004-2, Asset-Backed
Notes, Series 2004-2
Cl. A-1, Confirmed at Caa2 (sf); previously on
May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain
Underlying Rating: Confirmed at Caa2 (sf); previously on May
14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-2, Confirmed at Caa2 (sf); previously on
May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain
Underlying Rating: Confirmed at Caa2 (sf); previously on May
14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying pools
and Moody's updated expected losses on the pools. In addition,
the rating actions reflect correction of errors in the Structured Finance
Workstation (SFW) cash flow models previously used by Moody's in rating
these transactions.
For all of the transactions, the pooling and servicing agreements
state that principal and interest collections are commingled first and
then used to make payments on the bonds. However, the cash
flow models used in prior rating actions incorrectly applied separate
interest and principal waterfalls. Due to the discovery of this
error, these tranches were placed on watch on May 14, 2013.
In addition, the cross-collateralization and allocation of
losses were incorrectly coded in the cash flow models used for the previous
rating actions. The errors have now been corrected, and today's
rating actions reflect these changes.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in June 2013. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology.
The primary sources of assumption uncertainty are our central macroeconomic
forecast and performance volatility as a result of servicer-related
activity such as modifications. The unemployment rate fell from
8.1% in August 2012 to 7.3% in August 2013.
Moody's forecasts an unemployment central range of 7.0%
to 8.0% for 2013. Moody's expects housing prices
to continue to rise in 2013. Performance of RMBS continues to remain
highly dependent on servicer activity such as modification-related
principal forgiveness and interest rate reductions. Any change
resulting from servicing transfers or other policy or regulatory change
can also impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF341606
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Edward Hou
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Bruce D. Fabrikant
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's confirms ratings on $195 Million of Subprime RMBS issued by Accredited from 2002-2004