New York, November 18, 2014 -- Moody's Investors Service has upgraded the ratings of thirteen tranches
and downgraded the ratings of three tranches from nine transactions issued
by various issuers, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Mortgage Loan Asset-Backed Certificates,
Series 2001-AQ1
Cl. M-1, Upgraded to B3 (sf); previously on May
31, 2012 Confirmed at Caa2 (sf)
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC6
Cl. A1, Upgraded to Baa1 (sf); previously on May 31,
2012 Upgraded to Baa2 (sf)
Issuer: C-BASS 2002-CB4 Trust
Cl. M-2, Upgraded to B3 (sf); previously on Jun
13, 2012 Downgraded to Caa1 (sf)
Issuer: Centex Home Equity Loan Trust 2003-A
Cl. M-1, Downgraded to Ba3 (sf); previously on
Jul 23, 2013 Downgraded to Ba2 (sf)
Cl. M-2, Downgraded to Caa3 (sf); previously
on Jan 21, 2014 Downgraded to Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-1
Cl. M-3, Upgraded to Ba2 (sf); previously on
Nov 13, 2013 Upgraded to B1 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Nov
13, 2013 Upgraded to B3 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on
Nov 13, 2013 Upgraded to Caa2 (sf)
Cl. M-6, Upgraded to Caa3 (sf); previously on
Mar 8, 2011 Downgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2004-WHQ1
Cl. M-2, Upgraded to Ba2 (sf); previously on
Jan 24, 2014 Upgraded to B1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Jan
24, 2014 Upgraded to Caa1 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on
Apr 1, 2013 Affirmed Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2004-WWF1
Cl. M-4, Upgraded to B1 (sf); previously on Mar
5, 2013 Affirmed B3 (sf)
Issuer: RAMP Series 2004-RS5 Trust
Cl. M-II-1, Downgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to Ba2 (sf)
Issuer: RASC Series 2005-KS1 Trust
Cl. M-1, Upgraded to Ba3 (sf); previously on
Jan 30, 2014 Upgraded to B2 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Apr 6, 2010 Downgraded to 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 downgrades are a result of structural features resulting in higher
expected losses for the bonds than previously anticipated.
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 5.8% in October 2014 from 7.2%
in October 2013 . Moody's forecasts an unemployment central range
of 6% to 7% for the 2014 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 2014. 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_SF386732
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.
As the section on loss and cash flow analysis describes, 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 $309 Million of Subprime RMBS issued by various issuers