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Rating Action:

Moody's takes action on $177.9 Million of RMBS issued in 2001-2005

11 Sep 2018

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

No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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