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Rating Action:

Moody's takes action on $113.5 Million of Subprime RMBS issued from 2003 to 2006

28 Jun 2018

New York, June 28, 2018 -- Moody's Investors Service has upgraded the ratings of seven tranches and downgraded the ratings of three tranches from eight transactions, backed by Subprime RMBS loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: MASTR Asset Backed Securities Trust 2006-AM2

Cl. A-3, Downgraded to Ca (sf); previously on May 5, 2010 Downgraded to Caa3 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust 2006-FM1

Cl. A-2B, Downgraded to C (sf); previously on Jul 11, 2014 Downgraded to Caa3 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1

Cl. M-1, Upgraded to Aa3 (sf); previously on Apr 27, 2017 Upgraded to Baa1 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1

Cl. A-1, Upgraded to Aaa (sf); previously on Nov 7, 2016 Upgraded to Aa3 (sf)

Cl. A-2B, Upgraded to Aaa (sf); previously on Nov 7, 2016 Upgraded to Aa3 (sf)

Cl. S, Downgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf)

Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3

Cl. M-2, Upgraded to A3 (sf); previously on Mar 9, 2017 Upgraded to Baa3 (sf)

Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC4

Cl. M-2, Upgraded to Baa3 (sf); previously on Apr 17, 2013 Upgraded to Ba2 (sf)

Issuer: Renaissance Home Equity Loan Trust 2005-4

Cl. A-3, Upgraded to B1 (sf); previously on Jul 19, 2012 Downgraded to Caa1 (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2005-EC1

Cl. M-2, Upgraded to Caa2 (sf); previously on Jul 8, 2010 Downgraded to Ca (sf)

RATINGS RATIONALE

The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. The rating downgrade on the IO bond is a result of the pay down on the underlying bonds. The rating downgrades on the remaining bonds are a result of the erosion of enhancement available to the bonds and the pro rata pay structure after credit support depletion date.

The principal methodology used in rating Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Cl. A-1 and Cl. A-2B; Merrill Lynch Mortgage Investors, Inc. 2004-WMC3 Cl. M-2; Merrill Lynch Mortgage Investors, Inc. 2004-WMC4 Cl. M-2; MASTR Asset Backed Securities Trust 2006-AM2 Cl. A-3; Merrill Lynch Mortgage Investors Trust 2006-FM1 Cl. A-2B; Merrill Lynch Mortgage Investors Trust Series 2006-HE1 Cl. M-1; Renaissance Home Equity Loan Trust 2005-4 Cl. A-3; and Securitized Asset Backed Receivables LLC Trust 2005-EC1 Cl. M-2 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Merrill Lynch Mortgage Investors Trust, Series 2003-HE1 Cl. S 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.

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 3.8% in May 2018 from 4.3% in May 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. 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 and tranche recoveries may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF472470

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.

Wenzhao Wu
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

Ola Hannoun-Costa
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

No Related Data.
© 2018 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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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 appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

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

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