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Rating Action:

Moody's takes action on $126 Million of Subprime RMBS

24 Sep 2013

New York, September 24, 2013 -- Moody's Investors Service has downgraded the ratings of 15 tranches and upgraded the ratings of 7 tranches from 10 transactions issued by various issuers, backed by Subprime mortgage loans. Complete rating actions are as follows:

Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2002-WF1

Cl. M-1, Upgraded to B1 (sf); previously on Mar 24, 2011 Downgraded to B2 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2003-ABF1

Cl. A, Downgraded to A1 (sf); previously on Mar 11, 2011 Downgraded to Aa2 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013)

Issuer: Bear Stearns Asset-Backed Securities Trust 2002-1

Cl. 1-A5, Downgraded to A1 (sf); previously on Oct 11, 2012 Downgraded to Aa3 (sf)

Cl. 2-A, Downgraded to Baa1 (sf); previously on Oct 11, 2012 Downgraded to A3 (sf)

Cl. M-1, Downgraded to Ba3 (sf); previously on Mar 11, 2011 Downgraded to Ba1 (sf)

Issuer: ContiMortgage Home Equity Loan Trust 1995-01

A-5, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Underlying Rating: Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

A-6IO, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Underlying Rating: Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

A-7IO, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Underlying Rating: Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Caa3 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Issuer: ContiMortgage Home Equity Loan Trust 1995-04

A-9, Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

A-13IO, Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

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

Issuer: ContiMortgage Home Equity Loan Trust 1996-01

A-7, Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

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

A-9IO, Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

Underlying Rating: Downgraded to Ca (sf); previously on Mar 7, 2011 Downgraded to Caa2 (sf)

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

Issuer: ContiMortgage Home Equity Loan Trust 1997-4

B, Upgraded to B2 (sf); previously on Mar 7, 2011 Confirmed at Caa3 (sf)

Issuer: Delta Funding Home Equity Loan Trust 1998-1

Cl. A-6F, Downgraded to B3 (sf); previously on Mar 7, 2011 Downgraded to B1 (sf)

Underlying Rating: Downgraded to B3 (sf); previously on Mar 7, 2011 Downgraded to B1 (sf)

Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013)

Issuer: Delta Funding Home Equity Loan Trust 1999-1

A-1A, Downgraded to A2 (sf); previously on May 14, 2009 Upgraded to Aa2 (sf)

Underlying Rating: Downgraded to A2 (sf); previously on May 14, 2009 Upgraded to Aa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013)

A-5F, Downgraded to A2 (sf); previously on Jun 19, 2008 Downgraded to Aa2 (sf)

Underlying Rating: Downgraded to A2 (sf); previously on Jun 18, 2008 Assigned Aa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013)

A-6F, Downgraded to A2 (sf); previously on Jun 19, 2008 Downgraded to Aa2 (sf)

Underlying Rating: Downgraded to A2 (sf); previously on Jun 18, 2008 Assigned Aa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3, Outlook Positive on May 21, 2013)

Issuer: Long Beach Mortgage Loan Trust 2004-3

Cl. M-1, Upgraded to Baa1 (sf); previously on Mar 8, 2011 Downgraded to Ba1 (sf)

Cl. M-2, Upgraded to Ba3 (sf); previously on Mar 8, 2011 Downgraded to B1 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on Mar 8, 2011 Downgraded to B2 (sf)

Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 8, 2011 Downgraded to Ca (sf)

Cl. M-5, Upgraded to Caa2 (sf); previously on Mar 8, 2011 Downgraded to Ca (sf)

RATINGS RATIONALE

The rating actions reflect recent performance of the underlying pools and Moody's updated expected losses on the pools. The downgrades are a result of deteriorating performance or structural features resulting in higher expected losses for the bonds than previously anticipated. The upgrades are due to improvement in collateral performance, and/ or build-up in credit enhancement.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in June 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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 8.1% in August 2012 to 7.3% in August 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for 2013. Moody's expects housing prices to continue to rise in 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.

A list of these actions including CUSIP identifiers may be found at:

http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF342818

A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at:

http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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 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 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 rating action, and whose ratings may change as a result of this 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.

Siddharth Jain
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

Amita Shrivastava
VP - Senior Credit Officer
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 takes action on $126 Million of Subprime RMBS
No Related Data.
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