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Announcement:

Moody's places $168 million on review for downgrade and $2 million on review for upgrade of second-lien RMBS from 2000-2006

06 Jul 2012

New York, July 06, 2012 -- Moody's Investors Service (Moody's) has placed on review ratings on one tranche for upgrade and 16 tranches for downgrade from 11 residential mortgage-backed securities (RMBS) from 2000-06 backed by second-lien loans and home equity lines of credit. Moody's rates a total of 1257 tranches from 435 second- lien RMBS transactions from 1995-2007.

RATINGS RATIONALE

The actions reflect the recent performance of second-lien transactions and Moody's updated loss expectations on these pools. Today's rating actions include placing on review ratings on one bond for upgrade and 16 bonds for downgrade. The upgrade review is due primarily to higher credit enhancement levels. The downgrade reviews are primarily due to deteriorating collateral performance.

Although individual transaction performance varies, the overall performance on second-lien RMBS remains weak. Moody's is placing on review for downgrade ratings of second-lien RMBS with underlying pool performance weaker than Moody's previous expectations or with credit enhancement lower than Moody's prior projections.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "Second Lien RMBS Loss Projection Methodology: April 2010" published in April 2010. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

For the two tranches included in this action that financial guarantors insure, noted below, the principal methodology Moody's uses in determining the rating is the same methodology for rating securities that do not have a financial guaranty. The credit quality of RMBS that a financial guarantor insures reflects the higher of the credit quality of the guarantor or the RMBS without the benefit of the guaranty; however, for both of these tranches, the financial strength of the guarantor is lower than what the rating of the security would be absent the guaranty.

To determine which ratings to place on review, Moody's derived a rating assessment based on updated pool losses relative to the total credit enhancement available from subordination, as well as excess spread and external enhancement such as pool insurance policies, reserve accounts, and guarantees. Moody's placed on review ratings that differed significantly from the rating assessments.

Over the coming weeks, Moody's will perform individual, detailed, transaction-specific analysis and conclude the review on these tranches. When assigning the final ratings to bonds, in addition to the approach described above, Moody's will consider the volatility of the projected losses and timeline of the expected defaults.

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 9.0% in May 2011 to 8.2% in May 2012. Moody's forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's expects housing prices to remain stable through the remainder of 2012 before gradually rising towards the end of 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.

Complete rating actions are as follows:

Issuer: Citigroup HELOC Trust 2006-NCB1

Cl. 2A-2, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jan 6, 2011 Confirmed at Baa3 (sf)

Issuer: DLJ ABS Trust Series 2000-6

Cl. M-2, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Nov 30, 2010 Downgraded to Baa3 (sf)

Cl. B-1, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Nov 30, 2010 Downgraded to Ba2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2003-FFA

Cl. II-M-2, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Oct 20, 2010 Downgraded to Ba1 (sf)

Issuer: GMACM Home Equity Loan Trust 2000-HE4, GMACM Home Equity Loan-Backed Term Notes, Series 2000-HE4

Cl. A-1, B3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 18, 2009 Downgraded to B3 (sf)

Financial Guarantor: MBIA Insurance Corporation (B3 placed on review for possible downgrade on Dec 19, 2011)

Issuer: GMACM Home Equity Loan Trust 2001-HE3

Cl. A-2, B3 (sf) Placed Under Review for Possible Downgrade; previously on May 21, 2010 Downgraded to B3 (sf)

Underlying Rating: B3 (sf) Placed Under Review for Possible Downgrade; previously on May 21, 2010 Downgraded to B3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Issuer: GMACM Home Equity Loan Trust 2004-HE2

Cl. A-4, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on May 21, 2010 Downgraded to Baa2 (sf)

Issuer: HLTV Mortgage Loan Trust 2004-1

Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Feb 11, 2011 Confirmed at Baa3 (sf)

Issuer: HomeBanc Mortgage Trust 2005-2

Cl. M-3, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 3, 2010 Downgraded to B2 (sf)

Issuer: Irwin Home Equity Loan Trust 2005-1

Cl. B-3, C (sf) Placed Under Review for Possible Upgrade; previously on Jun 30, 2010 Downgraded to C (sf)

Issuer: Irwin Whole Loan Home Equity Trust 2003-A

Cl. M-1, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jul 22, 2011 Downgraded to Baa1 (sf)

Issuer: Irwin Whole Loan Home Equity Trust 2005-A

Cl. M-1, A3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to A3 (sf)

Cl. M-2, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to Baa1 (sf)

Cl. M-3, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to Baa2 (sf)

Cl. M-4, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to Baa3 (sf)

Cl. M-5, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to Ba1 (sf)

Cl. M-6, Ba3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 30, 2010 Downgraded to Ba3 (sf)

A list of the review actions associated with this announcement appears at

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290551

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are endorsed by Moody's Investors Service Ltd., One Canada Square, Canary Wharf, London E 14 5FA, UK, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history. The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

In addition to the information provided below please find on 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 each of the ratings.

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 places $168 million on review for downgrade and $2 million on review for upgrade of second-lien RMBS from 2000-2006
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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