New York, September 11, 2018 -- Moody's Investors Service has upgraded the ratings of two tranches from
two transactions, and downgraded the ratings of 26 tranches from
19 transactions.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2
Cl. M-4, Downgraded to B1 (sf); previously on
Sep 24, 2014 Upgraded to Ba1 (sf)
Issuer: Amortizing Residential Collateral Trust 2004-1
Cl. M4, Downgraded to B1 (sf); previously on Aug 16,
2016 Upgraded to Ba3 (sf)
Cl. M5, Downgraded to B3 (sf); previously on Aug 16,
2016 Upgraded to B2 (sf)
Issuer: Argent Securities Inc., Series 2003-W1
Cl. M-4, Downgraded to B2 (sf); previously on
Aug 8, 2014 Downgraded to B1 (sf)
Cl. M-5, Downgraded to B3 (sf); previously on
Mar 5, 2013 Affirmed B2 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-6
Cl. M-1, Downgraded to B1 (sf); previously on
Mar 29, 2016 Upgraded to Ba1 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1
Cl. M-3, Downgraded to B1 (sf); previously on
Oct 14, 2016 Upgraded to Ba3 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB7
Cl. M-1, Downgraded to B1 (sf); previously on
May 4, 2012 Downgraded to Ba3 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2002-A
Cl. B-2, Downgraded to Caa1 (sf); previously
on Jan 30, 2018 Upgraded to B2 (sf)
Issuer: CS First Boston Mortgage Securities Corp, CSFB ABS
Trust Series 2001-HE8
Cl. A-1, Downgraded to Baa1 (sf); previously
on May 24, 2012 Downgraded to A3 (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series
2005-CF1
Cl. M-1, Downgraded to Baa3 (sf); previously
on Feb 4, 2013 Downgraded to A3 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on
Feb 4, 2013 Affirmed Ba1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates,
Series 2002-3
Cl. 2-A-1, Upgraded to Aaa (sf); previously
on Sep 18, 2013 Downgraded to A1 (sf)
Issuer: Fieldstone Mortgage Investment Trust 2004-3
Cl. M5, Downgraded to B3 (sf); previously on Mar 12,
2013 Downgraded to B1 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-4
Cl. M-4, Downgraded to B1 (sf); previously on
Aug 23, 2016 Upgraded to Ba2 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11
Cl. M-2, Downgraded to B1 (sf); previously on
Oct 3, 2013 Upgraded to Ba1 (sf)
Issuer: MASTR Asset Backed Securities Trust 2002-OPT1
Cl. M-4, Downgraded to B2 (sf); previously on
Jan 12, 2015 Upgraded to B1 (sf)
Issuer: People's Choice Home Loan Securities Trust 2005-3
Cl. M3, Downgraded to B2 (sf); previously on May 18,
2017 Upgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2001-2
Cl. AF-5, Downgraded to B2 (sf); previously on
Jan 26, 2017 Downgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2002-2
Cl. AF-5, Downgraded to B3 (sf); previously on
Jun 25, 2018 Downgraded to B1 (sf)
Cl. AF-6, Downgraded to B3 (sf); previously on
Jun 25, 2018 Downgraded to B1 (sf)
Cl. M-1, Upgraded to Ba1 (sf); previously on
Jan 27, 2016 Upgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2003-1
Cl. AF-5, Downgraded to Baa3 (sf); previously
on May 18, 2012 Downgraded to A3 (sf)
Cl. AF-6, Downgraded to Baa1 (sf); previously
on Jan 26, 2017 Downgraded to A3 (sf)
Cl. AF-7, Downgraded to Baa1 (sf); previously
on May 18, 2012 Downgraded to A3 (sf)
Issuer: Soundview Home Loan Trust 2003-1
Cl. M-4, Downgraded to B2 (sf); previously on
Oct 20, 2014 Upgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-11XS
Cl. 2-M1, Downgraded to Baa3 (sf); previously
on May 23, 2018 Upgraded to A2 (sf)
Cl. 2-M2, Downgraded to Ba2 (sf); previously
on May 23, 2018 Upgraded to Baa1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools. The rating upgrades
are due to total credit enhancement available to the bonds and improvement
in pool performance. Except as noted below, the rating downgrades
are due to outstanding interest shortfalls that are either not expected
to be reimbursed because the bond has a weak interest shortfall reimbursement
mechanism or not expected to be fully reimbursed for an extended period
due to insufficient interest collections. The rating downgrades
on Amortizing Residential Collateral Trust 2004-1 Classes M4 and
M5 are due to depleting credit enhancement and poor collateral performance.
The rating downgrades on Saxon Asset Securities Trust 2001-2 Class
AF-5, Saxon Asset Securities Trust 2002-2 Classes
AF-5 and AF-6 and Saxon Asset Securities Trust 2003-1
Classes AF-5, AF-6 and AF-7 are due to insufficient
interest collected as a result of interest not being cross-collateralized
between the underlying collateral groups.
Today's rating downgrade on Conseco Finance Home Equity Loan Trust
2002-A Class B-2 reflects the correction of a prior error.
In the prior rating action, the cumulative loss for Class B-2
was not taken into account. This error has now been corrected,
and today's rating action reflects the accumulated total losses
on the bond.
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 macroeconomic uncertainty,
and in particular the unemployment rate. The unemployment rate
fell to 3.9% in August 2018 from 4.4% in August
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.
A list of these actions including CUSIP identifiers and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF474315
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.
Surbhi Khandelwal
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
Deepika Kothari
Senior Vice President
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