New York, February 26, 2013 -- Moody's Investors Service has downgraded the rating of 16 tranches,
upgraded the rating of 13 tranches, affirmed the rating of 99 tranches,
and confirmed the rating of 1 tranche from 13 transactions, backed
by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE4
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba1 (sf); previously on
May 30, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to B1 (sf); previously on May
30, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to Ca (sf); previously on May
30, 2012 C (sf) Placed Under Review for Possible Upgrade
Cl. M-5, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 16,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 16,
2009 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar
16, 2009 Downgraded to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE5
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba2 (sf); previously on
Aug 2, 2012 Confirmed at Ba3 (sf)
Cl. M-3, Affirmed Caa2 (sf); previously on Aug
2, 2012 Upgraded to Caa2 (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 16,
2009 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Oct 15,
2008 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Oct 15,
2008 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Oct 15,
2008 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Oct
15, 2008 Downgraded to C (sf)
Cl. B-1, Affirmed C (sf); previously on Oct 15,
2008 Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series
2005-R2
Cl. A-1B, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. A-2B, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Baa1 (sf); previously on Apr
14, 2010 Downgraded to Baa1 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on
Aug 21, 2012 Confirmed at B1 (sf)
Cl. M-4, Affirmed Caa3 (sf); previously on Apr
14, 2010 Downgraded to Caa3 (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series
2005-R3
Cl. A-1A, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. A-1B, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. A-2A, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. A-2B, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. A-3D, Affirmed Aaa (sf); previously on Apr
14, 2010 Confirmed at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed A3 (sf); previously on Apr
14, 2010 Downgraded to A3 (sf)
Cl. M-3, Affirmed Ba1 (sf); previously on Apr
14, 2010 Downgraded to Ba1 (sf)
Cl. M-4, Affirmed Caa1 (sf); previously on Apr
14, 2010 Downgraded to Caa1 (sf)
Cl. M-5, Affirmed Caa3 (sf); previously on Apr
14, 2010 Downgraded to Caa3 (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 14,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Nov
17, 2008 Downgraded to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE6
Cl. M1, Downgraded to A3 (sf); previously on Jan 10,
2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to A3 (sf); previously on Jan 10,
2013 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M4, Upgraded to Ba3 (sf); previously on Jul 12,
2010 Downgraded to B2 (sf)
Cl. M3, Affirmed Baa1 (sf); previously on Jul 12,
2010 Downgraded to Baa1 (sf)
Cl. M5, Affirmed Caa2 (sf); previously on Jul 12,
2010 Downgraded to Caa2 (sf)
Cl. M6, Affirmed C (sf); previously on Jul 12,
2010 Downgraded to C (sf)
Cl. M7, Affirmed C (sf); previously on Jul 12,
2010 Downgraded to C (sf)
Cl. M8, Affirmed C (sf); previously on Jul 12,
2010 Downgraded to C (sf)
Cl. M9, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M10, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Ba1 (sf); previously on Apr
29, 2010 Downgraded to Ba1 (sf)
Cl. M-3, Affirmed Caa2 (sf); previously on Apr
29, 2010 Downgraded to Caa2 (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 16,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 16,
2009 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT3
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Baa2 (sf); previously on Jul
18, 2011 Downgraded to Baa2 (sf)
Cl. M-3, Affirmed B3 (sf); previously on Jul
18, 2011 Downgraded to B3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Jul
18, 2011 Downgraded to Ca (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 19,
2009 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar
19, 2009 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Ba1 (sf); previously on
Sep 4, 2012 Upgraded to Ba2 (sf)
Cl. M-4, Affirmed Caa1 (sf); previously on Sep
4, 2012 Upgraded to Caa1 (sf)
Cl. M-5, Affirmed Ca (sf); previously on Sep
4, 2012 Upgraded to Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Apr 6,
2010 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar
19, 2009 Downgraded to C (sf)
Cl. M-11, Affirmed C (sf); previously on Mar
19, 2009 Downgraded to C (sf)
Issuer: Equifirst Mortgage Loan Trust 2005-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Ba2 (sf); previously on Jul
18, 2011 Downgraded to Ba2 (sf)
Cl. M-4, Affirmed Caa1 (sf); previously on Sep
14, 2012 Confirmed at Caa1 (sf)
Cl. M-5, Affirmed Ca (sf); previously on Sep
14, 2012 Confirmed at Ca (sf)
Cl. M-6, Affirmed Ca (sf); previously on Sep
14, 2012 Confirmed at Ca (sf)
Cl. M-7, Affirmed C (sf); previously on Jul 18,
2011 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Cl. B-1, Affirmed C (sf); previously on Mar 13,
2009 Downgraded to C (sf)
Issuer: Fremont Home Loan Trust 2005-2
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Baa2 (sf); previously on
Apr 29, 2010 Downgraded to Ba3 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Apr
29, 2010 Downgraded to Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 29,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 17,
2009 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 17,
2009 Downgraded to C (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-A
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Baa1 (sf); previously on Sep
15, 2010 Upgraded to Baa1 (sf)
Cl. M-4, Affirmed Ba3 (sf); previously on Sep
5, 2012 Confirmed at Ba3 (sf)
Cl. M-5, Affirmed Caa2 (sf); previously on Sep
15, 2010 Downgraded to Caa2 (sf)
Cl. M-6, Affirmed C (sf); previously on Sep 15,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Sep 15,
2010 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 17,
2009 Downgraded to C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 17,
2009 Downgraded to C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar
17, 2009 Downgraded to C (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Baa3 (sf); previously on
Sep 14, 2012 Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on
Sep 14, 2012 Upgraded to Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 30,
2010 Downgraded to C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 30,
2010 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 30,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 20,
2009 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 20,
2009 Downgraded to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2005-HE1
Cl. M-3, Upgraded to Ba1 (sf); previously on
May 30, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to B2 (sf); previously on May
30, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Cl. M-5, Upgraded to Ca (sf); previously on May
30, 2012 C (sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at A3 (sf); previously on
May 30, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. M-6, Affirmed C (sf); previously on May 5,
2010 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 20,
2009 Downgraded to C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 20,
2009 Downgraded to C (sf)
RATINGS RATIONALE
The actions are a result of recent performance reviews of these transactions
and reflect Moody's updated loss expectations on these pools.
Today's rating actions constitute of a number of downgrades,
upgrades, affirmations and a confirmation. The downgrades
are primarily due to the tranches' weak interest shortfall reimbursement
mechanisms.
The tranches downgraded to A3 do not have interest shortfalls but in the
event of an interest shortfall, structural limitations in the transactions
will prevent recoupment of interest shortfalls even if funds are available
in subsequent periods. Missed interest payments on these tranches
can typically only be made up from excess interest after the overcollateralization
is built to a target amount. In these transactions since overcollateralization
is already below target due to poor performance, any future missed
interest payments to these tranches are unlikely to be paid. Moody's
caps the ratings of such tranches with weak interest shortfall reimbursement
at A3 as long as they have not experienced any shortfall.
Ratings on tranches that currently have very small unrecoverable interest
shortfalls are capped at Baa3. For tranches with larger outstanding
interest shortfalls, Moody's applies "Moody's Approach
to Rating Structured Finance Securities in Default" published in November
2009. These rating action take into account only credit-related
interest shortfall risks.
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.
Other factors used in these ratings are described in "Moody's Approach
to Rating Structured Finance Securities in Default" published in November
2009.
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
8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to
8.0% for the 2013 year. Moody's expects housing prices
to continue to rise in 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:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF317828
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689
REGULATORY DISCLOSURES
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.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
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.
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.
Mark Branton
Asst Vice President - 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 $2 Billion of Subprime RMBS Issued by Various Trusts