New York, July 29, 2016 -- Moody's Investors Service has upgraded the rating of 5 tranches and downgraded
the rating of 2 tranches from five deals backed by second-lien
RMBS loans.
Complete rating actions are as follows:
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-D
Cl. 1-A, Upgraded to B3 (sf); previously on Jun
10, 2010 Downgraded to Caa2 (sf)
Cl. 2-A, Upgraded to Caa1 (sf); previously on
Jun 10, 2010 Downgraded to Caa2 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-K
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Jun 10, 2010 Downgraded to Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-M
Cl. 1-A, Upgraded to B3 (sf); previously on Jun
10, 2010 Downgraded to Caa2 (sf)
Issuer: CWABS, INC., Asset-Backed Certificates,
Series 2003-S1
Cl. A-5, Downgraded to Ba2 (sf); previously on
Jan 17, 2014 Downgraded to A3 (sf)
Cl. M-1, Downgraded to B2 (sf); previously on
Jul 22, 2011 Downgraded to Ba1 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-G
Cl. 2-A, Upgraded to Caa3 (sf); previously on
Aug 13, 2010 Confirmed at Ca (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are primarily the result of an increase in credit enhancement
available to the bonds. The ratings downgraded are primarily the
result of a decrease in credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
Methodologies page on www.moodys.com for a copy of this
methodology.
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 4.9% in June 2016 from 5.3%
in June 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 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 2016. 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF436831
A list of updated estimated pool losses 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_SF256364
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.
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.
Nadia Lamniai
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
Eric Fellows
Senior Vice President/Manager
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