New York, November 28, 2018 -- Moody's Investors Service has upgraded the ratings of 29 tranches and
downgraded the ratings of four tranches from 17 transactions, backed
by subprime RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: ABSC Home Equity Loan Trust Pass-Through Certificates,
Series 2001-HE3
Cl. A-1, Upgraded to A1 (sf); previously on Aug
18, 2016 Upgraded to A2 (sf)
Cl. M2, Upgraded to Baa3 (sf); previously on Sep 18,
2015 Upgraded to B1 (sf)
Issuer: ACE Securities Corp. Home Equity Loan 1999-LB2
A, Upgraded to Aa1 (sf); previously on May 11, 2012 Downgraded
to A1 (sf)
Issuer: Aegis Asset Backed Securities Trust 2004-2
Cl. M1, Upgraded to Aa1 (sf); previously on Mar 26,
2018 Upgraded to A1 (sf)
Cl. M2, Upgraded to Baa3 (sf); previously on Mar 26,
2018 Upgraded to B1 (sf)
Cl. M3, Upgraded to B1 (sf); previously on Mar 26,
2018 Upgraded to Caa1 (sf)
Issuer: AFC Mtg Loan AB Certs 1999-01
1A, Upgraded to Caa2 (sf); previously on May 2, 2012
Downgraded to Caa3 (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on May
2, 2012 Downgraded to Caa3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: AMRESCO Residential Mortgage Loan Trust 1998-3
A-5, Upgraded to Caa1 (sf); previously on Mar 23,
2018 Upgraded to Caa3 (sf)
A-6, Upgraded to Caa1 (sf); previously on Mar 23,
2018 Upgraded to Caa3 (sf)
A-7, Upgraded to Aa2 (sf); previously on Dec 12,
2012 Downgraded to A1 (sf)
Issuer: Argent Securities Inc., Series 2003-W2
Cl. M-4, Downgraded to B3 (sf); previously on
Mar 18, 2013 Affirmed B2 (sf)
Issuer: Argent Securities Inc., Series 2003-W9
Cl. M-3, Upgraded to Ba3 (sf); previously on
Sep 18, 2015 Upgraded to B3 (sf)
Cl. M-3B, Upgraded to Ba3 (sf); previously on
Sep 18, 2015 Upgraded to B3 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Mar
18, 2011 Downgraded to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust,
Series 2001-HE1
Cl. M-2, Upgraded to Caa2 (sf); previously on
Apr 12, 2012 Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2003-3
Cl. A-2, Upgraded to A2 (sf); previously on Dec
2, 2013 Downgraded to Baa2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2004-NC2
Cl. M-2, Upgraded to B3 (sf); previously on Feb
27, 2018 Upgraded to Caa3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Mar
13, 2011 Downgraded to C (sf)
Issuer: Chase Funding Loan Acquisition Trust 2004-AQ1
Cl. M-1, Upgraded to Baa2 (sf); previously on
Jun 11, 2015 Upgraded to Baa3 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on
Apr 26, 2016 Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Jun 11, 2015 Upgraded to Caa2 (sf)
Cl. B-1, Upgraded to Caa2 (sf); previously on
Apr 10, 2012 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE3
Cl. A, Upgraded to Aaa (sf); previously on Jul 7,
2016 Upgraded to Aa2 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on Jul
7, 2016 Upgraded to Aa2 (sf)*
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-3, Upgraded to B1 (sf); previously on Jul
7, 2016 Upgraded to B2 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Apr
9, 2012 Confirmed at C (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates,
Series 2002-5
Cl. MV-2, Upgraded to Baa3 (sf); previously on
Feb 26, 2018 Downgraded to B1 (sf)
Issuer: Equifirst Mortgage Loan Trust 2003-1
Cl. M-2, Upgraded to Baa3 (sf); previously on
May 5, 2014 Downgraded to Ba3 (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-2
Cl. M-7, Upgraded to B1 (sf); previously on Feb
27, 2018 Upgraded to B3 (sf)
Cl. M-8, Upgraded to Caa2 (sf); previously on
Mar 7, 2011 Downgraded to C (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-3
Cl. M-7, Upgraded to B1 (sf); previously on Apr
26, 2016 Upgraded to B2 (sf)
Issuer: GE Capital Mtg Services Inc 1999-HE1
A6, Downgraded to Ba1 (sf); previously on Jun 9, 2014
Downgraded to Baa1 (sf)
S*, Downgraded to Caa2 (sf); previously on Oct 27,
2017 Confirmed at Caa1 (sf)
A7, Downgraded to Baa3 (sf); previously on Jun 9, 2014
Downgraded to Baa1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an improvement in underlying
pool performance and credit enhancement available to the bonds.
The rating downgrade on Argent Securities Inc., Series 2003-W2,
Cl. M-4 is due to outstanding interest shortfalls on the
bond which are not expected to be recouped as the bond has a weak reimbursement
mechanism for interest shortfalls. The rating downgrades on GE
Capital Mtg Services Inc 1999-HE1, Cl. A6, Cl.
A7 and Cl. S are due to the weak performance of the underlying
collateral. The rating actions reflect Moody's updated loss expectations
on the pools.
The principal methodology used in rating all bonds except interest-only
classes was "US RMBS Surveillance Methodology" published on January 2017.
The methodologies used in rating interest-only classes were "US
RMBS Surveillance Methodology" published on January 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published on June 2017. Please see the list of ratings at the top
of this announcement to identify which classes are interest-only
(indicated by the *). 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
Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017.
Please note that on November 14, 2018, Moody's released
a Request for Comment, in which it has requested market feedback
on potential revisions to its Methodology for pre-2009 US RMBS
Prime Jumbo, Alt-A, Option ARM, Subprime,
Scratch and Dent, Second Lien and Manufactured Housing transactions.
If the revised Methodology is 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," for further details regarding the implications
of the proposed Methodology revisions on certain Credit Ratings.
"The Credit Rating for GE Capital Mtg Services Inc 1999-HE1 Cl.
S was assigned in accordance with Moody's existing Methodology entitled
"Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities," dated 6/8/2017. Please note that on November
14, 2018, Moody's released a Request for Comment,
in which it has requested market feedback on potential revisions to its
Methodology for Structured Finance Interest-Only (IO) Securities.
If the revised Methodology is implemented as proposed, the Credit
Rating on GE Capital Mtg Services Inc 1999-HE1 Cl. S may
be positively affected. Please refer to Moody's Request for
Comment, titled "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 3.7% in October 2018 from 4.1%
in October 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. Lower
increases than Moody's expects or decreases could lead to negative rating
actions. 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.
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.
A list of these actions including CUSIP identifiers and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476412
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.
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.
Surbhi Khandelwal
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
Deepika Kothari
Senior Vice President
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