NOTE: On May 1, 2020, the press release was corrected as follows: The second, third, eighth, and ninth paragraphs of the Regulatory Disclosures section were added, and at the end of the press release, the first contact was changed to Zhiyu Jiang. Revised release follows.
New York, December 19, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of
42 tranches and downgraded the ratings of two tranches from 23 transactions
backed Option ARM, Alt-A and Subprime loans.
Complete rating actions are as follows:
Issuer: First Franklin Mortgage Loan Trust 2004-FF7
Cl. M1, Upgraded to Aa1 (sf); previously on Oct 25,
2017 Upgraded to A1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF12
Cl. M-1, Upgraded to Aaa (sf); previously on
Oct 16, 2018 Upgraded to Aa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF9
Cl. I-A, Upgraded to A1 (sf); previously on Jan
30, 2018 Upgraded to Baa1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-3, Downgraded to B2 (sf); previously on
Jun 22, 2016 Downgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-3, Upgraded to B1 (sf); previously on Sep
22, 2015 Upgraded to Caa1 (sf)
Issuer: Saxon Asset Securities Trust 2006-1
Cl. M-2, Upgraded to B3 (sf); previously on Feb
4, 2019 Upgraded to Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2006-2
Cl. A-3C, Upgraded to Aaa (sf); previously on
Dec 20, 2018 Upgraded to Aa1 (sf)
Cl. A-3D, Upgraded to Aa1 (sf); previously on
Dec 20, 2018 Upgraded to Aa2 (sf)
Issuer: Saxon Asset Securities Trust 2007-3
Cl. 1-A, Upgraded to Baa1 (sf); previously on
Feb 1, 2019 Upgraded to Ba1 (sf)
Cl. 2-A2, Upgraded to Ba1 (sf); previously on
Feb 1, 2019 Upgraded to B1 (sf)
Cl. 2-A3, Upgraded to B2 (sf); previously on
Feb 1, 2019 Upgraded to Caa1 (sf)
Cl. 2-A4, Upgraded to B2 (sf); previously on
Feb 1, 2019 Upgraded to Caa1 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-AR4
Cl. I-A-2a, Upgraded to Ba3 (sf); previously
on Aug 18, 2015 Upgraded to B3 (sf)
Cl. I-A-3, Upgraded to Caa1 (sf); previously
on Aug 18, 2015 Upgraded to Caa3 (sf)
Cl. I-A-2b Underlying, Upgraded to Ba3 (sf);
previously on Aug 18, 2015 Upgraded to B3 (sf)
Cl. I-A-2b Grantor Trust, Upgraded to Ba3 (sf);
previously on Aug 18, 2015 Upgraded to B3 (sf)
Issuer: GreenPoint Mortgage Funding Trust 2006-OH1
Cl. A-1, Upgraded to Caa1 (sf); previously on
Dec 9, 2010 Downgraded to Caa3 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2007-AR3
Cl. A1, Upgraded to Caa1 (sf); previously on Dec 9,
2010 Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1
Cl. A-1, Upgraded to Baa1 (sf); previously on
Jul 5, 2018 Upgraded to Ba1 (sf)
Issuer: Lehman XS Trust Series 2005-6
Cl. 1-A1, Upgraded to Caa2 (sf); previously on
Sep 2, 2014 Downgraded to Ca (sf)
Cl. 1-A4, Upgraded to Caa2 (sf); previously on
Sep 3, 2010 Downgraded to Ca (sf)
Issuer: Lehman XS Trust, Mortgage Pass Through Certificates,
Series 2006-14N
Cl. 1-A1A, Upgraded to Caa1 (sf); previously
on Sep 4, 2012 Confirmed at Caa3 (sf)
Cl. 1-A1B, Upgraded to Caa3 (sf); previously
on Nov 19, 2010 Confirmed at Ca (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Issuer: RASC Series 2005-KS10 Trust
Cl. M-3, Upgraded to Ba1 (sf); previously on
Dec 20, 2018 Upgraded to Ba2 (sf)
Issuer: RASC Series 2006-KS2 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on
Apr 12, 2017 Upgraded to Aa2 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Apr
12, 2017 Upgraded to Baa3 (sf)
Issuer: Renaissance Home Equity Loan Trust 2003-2
M-1, Downgraded to B3 (sf); previously on Jun 10,
2013 Upgraded to B1 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-1
Cl. AF-4, Upgraded to Baa2 (sf); previously on
Jan 26, 2018 Upgraded to Ba2 (sf)
Cl. AF-5, Upgraded to Ba2 (sf); previously on
Jan 26, 2018 Upgraded to Ba3 (sf)
Cl. AF-6, Upgraded to Ba1 (sf); previously on
Jan 26, 2018 Upgraded to Ba2 (sf)
Cl. AV-3, Upgraded to Baa2 (sf); previously on
Jan 26, 2018 Upgraded to Ba1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS
Cl. M2, Upgraded to B3 (sf); previously on Dec 24,
2018 Upgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-16XS
Cl. A4A, Upgraded to A1 (sf); previously on Dec 28,
2018 Upgraded to A3 (sf)
Cl. A3A, Upgraded to A2 (sf); previously on Dec 28,
2018 Upgraded to Baa1 (sf)
Cl. A4B, Upgraded to A1 (sf); previously on Dec 28,
2018 Upgraded to A3 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Dec 28,
2018 Upgraded to A3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Cl. A3B, Upgraded to A2 (sf); previously on Dec 28,
2018 Upgraded to Baa1 (sf)
Underlying Rating: Upgraded to A2 (sf); previously on Dec 28,
2018 Upgraded to Baa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 1-A5, Upgraded to Baa3 (sf); previously on
Dec 8, 2014 Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Dec
8, 2014 Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Cl. 1-A6, Upgraded to Baa2 (sf); previously on
Dec 8, 2014 Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Dec
8, 2014 Upgraded to Ba2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 12, 2018.)
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. M1, Upgraded to Aaa (sf); previously on Dec 17,
2018 Upgraded to Aa3 (sf)
Cl. M2, Upgraded to B2 (sf); previously on Dec 17,
2018 Upgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A1, Upgraded to Ba3 (sf); previously on Aug 8,
2017 Upgraded to B2 (sf)
Cl. A5, Upgraded to Ca (sf); previously on Apr 12,
2010 Downgraded to C (sf)
Cl. A6, Upgraded to Ba3 (sf); previously on Aug 8,
2017 Upgraded to B2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an improvement in the credit
enhancement available to the bonds. The rating downgrades are primarily
due to deteriorating credit enhancement and pool performance. The
rating downgrade on Cl. M-3 from Morgan Stanley ABS Capital
I Inc. Trust 2005-WMC2 is due to the outstanding interest
shortfalls on the bond that are not expected to be recouped. The
rating actions reflect the recent performance and Moody's updated loss
expectations on the underlying pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in February 2019. Please see the Rating
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 3.5% in November 2019 from 3.7%
in November 2018. Moody's forecasts an unemployment central range
of 3.8% to 4.2% for the 2020 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 2020. 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 and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF485937
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.
Moody’s either did not receive or take into account one or more third-party due diligence assessment(s) regarding the underlying assets or financial instruments (the “Due Diligence Assessment(s)”) in this credit rating action for Renaissance Home Equity Loan Trust 2003-2, Renaissance Home Equity Loan Trust 2005-1, Saxon Asset Securities Trust 2005-1, Saxon Asset Securities Trust 2006-1, Saxon Asset Securities Trust 2006-2, Saxon Asset Securities Trust 2007-3 and Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2.
The Due Diligence Assessment(s) referenced herein were prepared and produced solely by parties other than Moody’s. While Moody’s uses Due Diligence Assessment(s) only to the extent that Moody’s believes them to be reliable for purposes of the intended use, Moody’s does not independently audit or verify the information or procedures used by third-party due-diligence providers in the preparation of the Due Diligence Assessment(s) and makes no representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of the Due Diligence Assessment(s).
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings for Saxon Asset Securities Trust 2005-1, Saxon Asset Securities Trust 2006-1, Saxon Asset Securities Trust 2006-2, Saxon Asset Securities Trust 2007-3 and Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.
Moody’s attempted but was not able to disclose the draft rating action press release to Renaissance Home Equity Loan Trust 2003-2 and Renaissance Home Equity Loan Trust 2005-1 or its/their designated agent(s). The rating action press release was issued with no amendment.
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.
Zhiyu Jiang
Associate Lead 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
Karandeep Bains
VP-Sr Credit Officer/Manager
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