New York, January 15, 2019 -- Moody's Investors Service (Moody's) has downgraded the ratings of
two tranches from two transactions, backed by Subprime loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors, Inc. 2003-WMC1
Cl. S, Downgraded to C (sf); previously on Sep 5,
2018 Downgraded to Caa3 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2003-BC1
Cl. S, Downgraded to C (sf); previously on Nov 29,
2017 Confirmed at Caa1 (sf)
RATINGS RATIONALE
The downgrade of the ratings to C (sf) reflects the nonpayment of interest
for an extended period of 13 months. For these bonds, the
coupon rate is subject to a calculation that has reduced the required
interest distribution to zero. The coupon on these bonds is subject
to changes in interest rates and/or collateral composition and there is
a remote possibility that they may receive interest in the future.
The actions also reflect the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools.
The methodologies used in these ratings were "US RMBS Surveillance Methodology"
published in January 2017 and "Moody's Approach to Rating Structured
Finance Interest-Only (IO) Securities" published in June 2017.
Please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
The above Credit Ratings were assigned in accordance with Moody's existing
Methodologies entitled "US RMBS Surveillance Methodology," dated
1/31/2017 and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities," dated 6/8/2017. Please note that on 11/14/2018,
Moody's released a Request for Comment, in which it has requested
market feedback on potential revisions to these Methodologies.
If the revised Methodologies are implemented as proposed, these
Credit Ratings are not expected to be affected. Please refer to
Moody's Request for Comment, titled "Proposed Update to US
RMBS Surveillance Methodology" and "Proposed Update to Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities,"
for further details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 3.9% in December 2018 from 4.1%
in December 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2019 year.
Deviations from this central scenario could lead to rating actions in
the sector. House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2019. Lower
increases than Moody's expects or decreases could lead to negative rating
actions. Finally, performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can impact the
performance of these transactions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the reference bonds and/or pools.
A list of these actions including CUSIP identifiers and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF477361
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Ilana Fried
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Soumya Vasudevan
VP-Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653