New York, August 09, 2012 -- Moody's Investors Service (Moody's) has downgraded the ratings on 7 tranches,
upgraded the ratings on 12 tranches and confirmed the ratings on 15 tranches
from fifteen subprime RMBS transactions issued by various financial institutions.
The collateral backing these transactions are subprime residential mortgage
loans.
Complete rating actions are as follows:
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. A-2C, Downgraded to Aa3 (sf); previously
on Jul 15, 2011 Downgraded to Aa1 (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on
May 30, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Confirmed at Caa2 (sf); previously on
May 30, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Funding Corporation Asset-Backed Certificates,
Series 2006-OPT1
Cl. A-2, Confirmed at Caa1 (sf); previously on
May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade
Cl. A-3C1, Confirmed at Caa2 (sf); previously
on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. A-3C2, Confirmed at Caa2 (sf); previously
on May 30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. A-3D, Confirmed at Ca (sf); previously on
May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Centex Home Equity Loan Trust 2005-A
Cl. M-2, Confirmed at Caa1 (sf); previously on
May 30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Ca (sf); previously on May
30, 2012 C (sf) Placed Under Review for Possible Upgrade
Issuer: Centex Home Equity Loan Trust 2005-B
Cl. AF-4, Downgraded to Aa3 (sf); previously
on May 30, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Centex Home Equity Loan Trust 2005-C
Cl. AF-5, Downgraded to Aa3 (sf); previously
on May 30, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to Aa3 (sf); previously
on May 30, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Centex Home Equity Loan Trust 2005-D
Cl. M-1, Upgraded to Baa1 (sf); previously on
May 30, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B1 (sf); previously on May
30, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa2 (sf); previously on
May 30, 2012 C (sf) Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to Ca (sf); previously on May
5, 2010 Downgraded to C (sf)
Issuer: Centex Home Equity Loan Trust 2006-A
Cl. AV-4, Upgraded to Caa1 (sf); previously on
May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Issuer: GE-WMC Asset-Backed Pass-Through Certificates,
Series 2005-1
Cl. A-1, Confirmed at A2 (sf); previously on
May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade
Cl. A-2c, Upgraded to Ba1 (sf); previously on
May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ca (sf); previously on May
30, 2012 C (sf) Placed Under Review for Possible Upgrade
Issuer: IXIS Real Estate Capital Trust 2005-HE4
Cl. M-1, Downgraded to Caa2 (sf); previously
on May 30, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-2, Upgraded to A2 (sf); previously on
May 30, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade
Cl. AV-4, Upgraded to Caa3 (sf); previously on
May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-2, Upgraded to A2 (sf); previously on
May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. AV-3, Upgraded to Caa2 (sf); previously on
May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Cl. AV-4, Confirmed at Ca (sf); previously on
May 30, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-1, Downgraded to A2 (sf); previously on
May 30, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Saxon Asset Securities Trust 2006-2
Cl. A-1, Confirmed at Ba3 (sf); previously on
May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade
Cl. A-2, Confirmed at Ba3 (sf); previously on
May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade
Cl. A-3C, Confirmed at Ba3 (sf); previously on
May 30, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade
Cl. A-3D, Confirmed at B3 (sf); previously on
May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade
Issuer: Saxon Asset Securities Trust 2007-4
Cl. A-1, Confirmed at Caa3 (sf); previously on
May 30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Issuer: Wachovia Mortgage Loan Trust 2005-WMC1
Cl. A-4, Confirmed at A2 (sf); previously on
May 30, 2012 A2 (sf) Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at B3 (sf); previously on
May 30, 2012 B3 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The actions are a result of the recent performance of Subprime pools originated
after 2005 and reflect Moody's updated loss expectations on these pools.
The upgrades/downgrades in today's rating action are a result of improving/deteriorating
performance and/or structural features resulting in lower/higher expected
losses for certain bonds than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Moody's adjusts the methodologies noted above for Moody's current view
on loan modifications As a result of an extension of the Home Affordable
Modification Program (HAMP) to 2013 and an increased use of private modifications,
Moody's is extending its previous view that loan modifications will only
occur through the end of 2012. It is now assuming that the loan
modifications will continue at current levels until the end of 2013.
Today's rating actions reflect recent collateral performance, our
updated loss timing curves and detailed analysis of timing and amount
of credit enhancement released due to step-down. We capture
structural nuances by running each individual pool through a variety of
loss and prepayment scenarios in the Structured Finance Workstation®
(SFW), the cash flow model developed by Moody's Wall Street Analytics.
This individual pool level analysis incorporates performance variations
across the different pools and the structure of the transaction.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, we considered the volatility
of the projected losses and timeline of the expected defaults.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans and
a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific structural features
allow for a monitoring of the transaction (such as a credit enhancement
floor).
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
9.0% in May 2011 to 8.2% in May 2012.
Moody's forecasts a further drop to 7.8% by the end
of 2Q 2013. Moody's expects housing prices to remain stable
through the remainder of 2012 before gradually rising towards the end
of 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_SF294219
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details 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
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
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.
Minxi Qiu
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 $1.5 Billion Subprime RMBS issued by various financial institutions
