New York, May 16, 2014 -- Moody's Investors Service has upgraded the ratings of 42 tranches from
19 transactions and downgraded the rating of one tranche from one transaction
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2006-ASAP1
Cl. A-2D, Upgraded to Ba3 (sf); previously on
Oct 29, 2013 Upgraded to B2 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Feb
26, 2013 Affirmed C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-RFC1
Cl. A-3, Upgraded to B2 (sf); previously on Apr
29, 2010 Downgraded to Caa1 (sf)
Cl. A-4, Upgraded to B3 (sf); previously on Jul
22, 2013 Upgraded to Caa2 (sf)
Issuer: Citicorp Residential Mortgage Trust Series 2006-3
Cl. A-5, Upgraded to B3 (sf); previously on Aug
20, 2012 Confirmed at Caa1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1
Cl. M-2, Upgraded to Ba2 (sf); previously on
Aug 26, 2013 Upgraded to B2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug
26, 2013 Upgraded to Caa3 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on
Apr 6, 2010 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE1
Cl. A-3, Upgraded to Ba3 (sf); previously on
Jul 22, 2013 Upgraded to B1 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Jul
22, 2013 Upgraded to B3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE3
Cl. A-2, Upgraded to Caa1 (sf); previously on
Apr 6, 2010 Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on
Apr 6, 2010 Downgraded to Ca (sf)
Issuer: CSFB Home Equity Asset Trust 2006-3
Cl. 2-A-4, Upgraded to Ba1 (sf); previously
on Jul 17, 2013 Upgraded to Ba3 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on
May 5, 2010 Downgraded to C (sf)
Issuer: CSFB Home Equity Pass-Through Certificates,
Series 2005-2
Cl. M-4, Upgraded to Baa2 (sf); previously on
Jul 22, 2013 Upgraded to Ba1 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Jul
22, 2013 Upgraded to Caa1 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on May
5, 2010 Downgraded to C (sf)
Issuer: Equifirst Mortgage Loan Trust 2005-1
Cl. M-4, Upgraded to B2 (sf); previously on Feb
26, 2013 Affirmed Caa1 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Dec
19, 2013 Upgraded to Caa2 (sf)
Cl. M-6, Upgraded to Caa2 (sf); previously on
Feb 26, 2013 Affirmed Ca (sf)
Issuer: Fremont Home Loan Trust 2005-E
Cl. 1-A-1, Upgraded to Ba1 (sf); previously
on Oct 29, 2013 Upgraded to B1 (sf)
Cl. 2-A-3, Upgraded to B1 (sf); previously
on Sep 11, 2012 Downgraded to B3 (sf)
Cl. 2-A-4, Upgraded to Caa1 (sf); previously
on Sep 11, 2012 Confirmed at Caa3 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT3
Cl. II-A, Upgraded to Baa1 (sf); previously on
Aug 13, 2010 Downgraded to Baa2 (sf)
Cl. III-A-4, Upgraded to Ba2 (sf); previously
on Aug 13, 2010 Downgraded to Ba3 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT4
Cl. I-A, Upgraded to Baa3 (sf); previously on
Aug 13, 2010 Downgraded to Ba1 (sf)
Cl. II-A-4, Upgraded to Ba3 (sf); previously
on Sep 14, 2012 Confirmed at B2 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-D
Cl. A-I-1, Upgraded to Baa3 (sf); previously
on Aug 28, 2013 Upgraded to Ba2 (sf)
Cl. A-I-2, Upgraded to B3 (sf); previously
on Aug 28, 2013 Upgraded to Caa1 (sf)
Cl. A-II-3, Upgraded to Ba3 (sf); previously
on Aug 28, 2013 Upgraded to B1 (sf)
Cl. A-II-4, Upgraded to B3 (sf); previously
on Aug 28, 2013 Upgraded to Caa2 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-HE2
Cl. A-3, Upgraded to Baa2 (sf); previously on
Oct 29, 2013 Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Ba2 (sf); previously on
Oct 29, 2013 Upgraded to B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on
Oct 29, 2013 Upgraded to Caa3 (sf)
Issuer: Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-WCW1
Cl. M-2, Upgraded to B2 (sf); previously on Aug
28, 2013 Upgraded to B3 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Sep
11, 2012 Confirmed at C (sf)
Issuer: Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2005-WCW3
Cl. M-1, Upgraded to B2 (sf); previously on Sep
11, 2012 Confirmed at Caa1 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Sep
11, 2012 Confirmed at C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-CB1
Cl. AF-2, Downgraded to Ca (sf); previously on
Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. AV-1, Upgraded to Ba3 (sf); previously on
Jul 12, 2010 Downgraded to B1 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2
Cl. A-3, Upgraded to Caa3 (sf); previously on
Jul 8, 2010 Downgraded to Ca (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-1
Trust
Cl. M-1, Upgraded to Ba2 (sf); previously on
Aug 28, 2013 Upgraded to B1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Aug 28, 2013 Upgraded to Caa3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The rating upgrades are a result of improving performance of the related
pools and/or faster pay-down of the bonds due to high prepayments/faster
liquidations. The rating downgrade is a result of deteriorating
performance and/or structural features resulting in higher expected losses
for the bond than previously anticipated.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 7.5% in April
2013 to 6.3% in April 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5%
for the 2014 year. Moody's expects house prices to continue to
rise in 2014. 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF368072
A list of updated estimated pool losses is being posted on an ongoing
basis for the duration of this review period and may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF345728
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 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.
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.
As the section on loss and cash flow analysis describes, 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 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.
Edwin Wang
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
Bruce D. Fabrikant
Senior Vice President
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 of Subprime RMBS issued by various trusts