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Rating Action:

Moody's takes action on $257 Million of Subprime RMBS issued by various issuers

13 Jan 2015

New York, January 13, 2015 -- Moody's Investors Service has upgraded the ratings of 23 tranches from 13 transactions issued by various issuers, backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2002-HE3

Cl. M-3, Upgraded to B2 (sf); previously on Apr 12, 2012 Downgraded to Caa1 (sf)

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2003-HE2

Cl. M5, Upgraded to Caa3 (sf); previously on Apr 1, 2013 Affirmed C (sf)

Issuer: GSAMP Trust 2004-FM1

Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 29, 2013 Upgraded to Ba1 (sf)

Cl. M-3, Upgraded to B3 (sf); previously on Feb 7, 2014 Upgraded to Caa2 (sf)

Issuer: GSAMP Trust 2004-FM2

Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 29, 2013 Upgraded to Caa3 (sf)

Cl. B-4, Upgraded to Caa3 (sf); previously on Mar 29, 2013 Affirmed C (sf)

Issuer: Merrill Lynch Mortgage Investors Trust Series 2003-OPT1

Cl. M-2, Upgraded to Ca (sf); previously on Mar 21, 2011 Downgraded to C (sf)

Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1

Cl. A-1, Upgraded to A3 (sf); previously on May 4, 2012 Downgraded to Baa1 (sf)

Cl. A-2B, Upgraded to A3 (sf); previously on May 4, 2012 Downgraded to Baa1 (sf)

Cl. M-1, Upgraded to B2 (sf); previously on Feb 28, 2014 Upgraded to Caa1 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust, Series 2004-FM1

2004-FM1-M3, Upgraded to Baa1 (sf); previously on Jun 1, 2012 Upgraded to Ba1 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2004-2

Cl. M-5, Upgraded to Caa1 (sf); previously on May 4, 2012 Confirmed at Caa2 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2004-3

Cl. M-2, Upgraded to Ba2 (sf); previously on Feb 28, 2014 Upgraded to B1 (sf)

Cl. M-3, Upgraded to B3 (sf); previously on Feb 28, 2014 Upgraded to Caa1 (sf)

Issuer: NovaStar Mortgage Funding Trust, Series 2004-3

Cl. M-4, Upgraded to A2 (sf); previously on Mar 5, 2013 Affirmed Baa1 (sf)

Cl. M-5, Upgraded to Ba1 (sf); previously on Feb 7, 2014 Upgraded to B1 (sf)

Cl. M-6, Upgraded to B3 (sf); previously on Feb 7, 2014 Upgraded to Caa1 (sf)

Issuer: Saxon Asset Securities Trust 2001-3

M-1, Upgraded to B2 (sf); previously on May 4, 2012 Downgraded to Caa1 (sf)

Issuer: Structured Asset Investment Loan Trust 2004-11

Cl. A4, Upgraded to A1 (sf); previously on Mar 4, 2011 Downgraded to A3 (sf)

Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3

Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 7, 2014 Upgraded to Ba2 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Feb 7, 2014 Upgraded to Caa3 (sf)

Cl. B-1, Upgraded to Caa3 (sf); previously on Apr 10, 2012 Confirmed at C (sf)

Cl. B-2, Upgraded to Ca (sf); previously on Apr 10, 2012 Confirmed at C (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The 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 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:

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 5.6% in December 2014 from 6.7% in December 2013. Moody's forecasts an unemployment central range of 5% to 6% for the 2015 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 2015. 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 may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF393352

A list of updated estimated pool losses and recoveries 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

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.

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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 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.

Siddharth Jain
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

Deepika Kothari
VP - Sr Credit Officer/Manager
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 $257 Million of Subprime RMBS issued by various issuers
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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