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Rating Action:

Moody's takes action on $347 Million of Subprime RMBS issued by various trusts

05 May 2014

New York, May 05, 2014 -- Moody's Investors Service has upgraded the ratings of seven tranches from three transactions and downgraded the ratings of 19 tranches from nine transactions backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Chase Funding Trust, Series 2002-3

Cl. IA-5, Downgraded to Baa3 (sf); previously on Apr 23, 2012 Downgraded to Baa1 (sf)

Issuer: Chase Funding Trust, Series 2002-4

Cl. IA-5, Downgraded to Ba1 (sf); previously on Apr 23, 2012 Upgraded to Baa3 (sf)

Cl. IM-1, Downgraded to B3 (sf); previously on Apr 23, 2012 Upgraded to B1 (sf)

Cl. IIM-1, Downgraded to Ba1 (sf); previously on Apr 23, 2012 Confirmed at Baa3 (sf)

Issuer: Chase Funding Trust, Series 2003-2

Ser. 2003-2 Cl. IA-5, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf)

Issuer: Chase Funding Trust, Series 2003-3

Cl. IA-5, Downgraded to Ba1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf)

Issuer: Chase Funding Trust, Series 2003-6

Cl. IA-5, Downgraded to Ba1 (sf); previously on Apr 23, 2012 Confirmed at Baa2 (sf)

Cl. IA-7, Downgraded to Ba1 (sf); previously on Apr 23, 2012 Confirmed at Baa2 (sf)

Cl. IIA-2, Downgraded to A3 (sf); previously on Apr 23, 2012 Downgraded to A1 (sf)

Cl. IM-1, Downgraded to Caa2 (sf); previously on Oct 21, 2013 Downgraded to B3 (sf)

Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-4

Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 15, 2011 Downgraded to Ba3 (sf)

Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Caa3 (sf)

Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf)

Issuer: CS First Boston Mortgage Securities Corp 2001-HE25

Cl. M-1, Downgraded to B1 (sf); previously on Apr 9, 2012 Confirmed at Ba3 (sf)

Issuer: Equifirst Mortgage Loan Trust 2003-1

Cl. M-1, Downgraded to Baa1 (sf); previously on Mar 15, 2013 Affirmed A3 (sf)

Cl. M-2, Downgraded to Ba3 (sf); previously on Mar 15, 2013 Affirmed Ba1 (sf)

Issuer: Equifirst Mortgage Loan Trust 2004-1

Cl. M-4, Upgraded to Ba3 (sf); previously on Apr 19, 2012 Confirmed at B1 (sf)

Cl. M-5, Upgraded to B1 (sf); previously on Apr 19, 2012 Confirmed at B3 (sf)

Cl. M-6, Upgraded to B3 (sf); previously on Apr 19, 2012 Upgraded to Caa1 (sf)

Issuer: Fremont Home Loan Trust 2004-C

Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 18, 2012 Downgraded to Ca (sf)

Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust

Cl. M-3, Downgraded to Ba3 (sf); previously on May 4, 2012 Downgraded to Ba1 (sf)

Cl. M-4, Downgraded to B1 (sf); previously on Jul 18, 2013 Confirmed at Ba2 (sf)

Cl. M-5, Downgraded to B3 (sf); previously on Jul 18, 2013 Confirmed at B1 (sf)

Cl. M-6, Downgraded to Caa2 (sf); previously on Jul 18, 2013 Confirmed at B3 (sf)

Issuer: Wells Fargo Home Equity Trust 2004-1

Cl. M1, Downgraded to Ba3 (sf); previously on Mar 13, 2011 Downgraded to Ba2 (sf)

Cl. M2, Downgraded to B3 (sf); previously on Mar 13, 2011 Downgraded to B2 (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 deteriorating performance and/or 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:

The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 7.5% in March 2013 to 6.7% in March 2014. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Moody's expects house prices to continue to rise in 2014. 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_SF366773

A list of updated estimated pool losses 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

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 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.

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.

Edwin Wang
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 $347 Million of Subprime RMBS issued by various trusts
No Related Data.
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