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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

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Rating Action:

Moody's takes action on $149 Million of Subprime RMBS issued between 2002 and 2006

08 Jun 2017

New York, June 08, 2017 -- Moody's Investors Service has upgraded the ratings of 15 tranches from six transactions and downgraded the ratings of two tranches from one transaction issued by various issuers, backed by subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2

Cl. M-2, Upgraded to B3 (sf); previously on Jul 7, 2016 Upgraded to Caa1 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2002-2

Cl. B, Upgraded to Caa3 (sf); previously on Apr 9, 2012 Downgraded to C (sf)

Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 11, 2014 Upgraded to Ba1 (sf)

Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 11, 2014 Upgraded to B2 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2003-ABF1

Cl. A, Upgraded to A1 (sf); previously on Apr 23, 2014 Downgraded to A2 (sf)

Issuer: Bear Stearns Asset Securities I Trust 2004-FR2

Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 5, 2013 Downgraded to A3 (sf)

Cl. M-2, Downgraded to B1 (sf); previously on Mar 5, 2013 Upgraded to Ba2 (sf)

Issuer: Centex Home Equity Loan Trust 2005-A

Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 1, 2015 Upgraded to B1 (sf)

Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 29, 2016 Upgraded to B3 (sf)

Cl. M-4, Upgraded to B3 (sf); previously on Jul 29, 2016 Upgraded to Caa1 (sf)

Cl. M-5, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to C (sf)

Issuer: Centex Home Equity Loan Trust 2005-B

Cl. M-1, Upgraded to Ba1 (sf); previously on Sep 24, 2014 Upgraded to Ba2 (sf)

Cl. M-2, Upgraded to Ba1 (sf); previously on Jul 28, 2015 Upgraded to B1 (sf)

Cl. M-3, Upgraded to Ba1 (sf); previously on Jul 5, 2016 Upgraded to B2 (sf)

Cl. M-4, Upgraded to B3 (sf); previously on Jul 28, 2015 Upgraded to Caa3 (sf)

Issuer: Terwin Mortgage Trust 2006-3

Cl. I-A-2, Upgraded to A3 (sf); previously on Dec 1, 2014 Upgraded to Ba1 (sf)

Cl. II-A-2, Upgraded to B1 (sf); previously on Oct 15, 2010 Downgraded to Caa2 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating downgrades on Bear Stearns Asset Securities I Trust 2004-FR2 Classes M-1 and M-2 are due to interest shortfalls which are unlikely to be recouped. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. 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 4.3% in May 2017 from 4.7% in May 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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_SF453694

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.

Justin Mazzamaro
Associate 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

Mark Branton
Vice President - Senior Analyst
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.
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