New York, August 29, 2018 -- Moody's Investors Service has upgraded the ratings of 7 tranches from
4 transactions, backed by second lien loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-F
Cl. 1-A, Upgraded to Caa2 (sf); previously on
Aug 13, 2010 Downgraded to Ca (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Aug 13, 2010 Confirmed at Ca (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-HE3
Cl. A, Upgraded to Caa2 (sf); previously on Nov 4,
2010 Downgraded to Ca (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Nov
4, 2010 Downgraded to Ca (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: SACO I Trust 2005-10
Cl. II-A-1, Upgraded to Baa2 (sf); previously
on Jan 17, 2018 Upgraded to Ba2 (sf)
Cl. II-A-3, Upgraded to Baa2 (sf); previously
on Jan 17, 2018 Upgraded to Ba2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES
Cl. 05F-1a, Upgraded to Caa2 (sf); previously
on Feb 11, 2013 Affirmed Ca (sf)
Cl. 05F-1b, Upgraded to Caa2 (sf); previously
on Feb 11, 2013 Affirmed 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 upgrade is primarily due to funds received by the deals in
February 2018 pursuant to the Second Amended Plan of Rehabilitation of
the Segregated account of Ambac Assurance Corporation, which resulted
in paydown of the bonds and reducing the undercollateralization on these
transactions. The upgrade on CL. 05F-1a and CL.
05F-1b from CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES reflects the upgrade of the linked underlying bond CL.
1-A from CWHEQ Revolving Home Equity Loan Trust, Series 2005-F.
The principal methodology used in rating all deals except CWHEQ Revolving
Home Equity Loan Resecuritization Trust 2006-RES Cl. 05F-1a
and Cl. 05F-1b was "US RMBS Surveillance Methodology"
published in January 2017. The principal methodology used in rating
CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES
Cl. 05F-1a and Cl. 05F-1b was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
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 3.9% in July 2018 from 4.3%
in July 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.
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_SF474147
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.
Chloe Zhang
Associate Lead 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
Soumya Vasudevan
VP-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