New York, May 31, 2019 -- Moody's Investors Service (Moody's) has upgraded the rating of 18
tranches and downgraded the ratings of two tranches from 11 transactions,
backed by Option ARM and Subprime loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Amortizing Residential Collateral Trust 2002-BC8
Cl. A1, Upgraded to Baa1 (sf); previously on May 4,
2012 Confirmed at Ba1 (sf)
Cl. A-SIO*, Downgraded to C (sf); previously
on Oct 27, 2017 Confirmed at Caa1 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR6
Cl. 2-A-1, Downgraded to B1 (sf); previously
on Oct 30, 2015 Upgraded to Ba2 (sf)
Issuer: Lehman XS Trust Series 2007-15N
Cl. 1C-A1, Upgraded to Ba3 (sf); previously on
Nov 10, 2017 Upgraded to B2 (sf)
Issuer: RAMP Series 2006-NC3 Trust
Cl. A-3, Upgraded to Aa2 (sf); previously on
Apr 12, 2017 Upgraded to A3 (sf)
Issuer: RAMP Series 2006-RS4 Trust
Cl. A-4, Upgraded to Aa3 (sf); previously on
Mar 27, 2018 Upgraded to A1 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Mar
27, 2018 Upgraded to Caa1 (sf)
Issuer: RAMP Series 2006-RZ1 Trust
Cl. M-3, Upgraded to Aa2 (sf); previously on
Jun 11, 2018 Upgraded to A1 (sf)
Issuer: RASC Series 2004-KS10 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on
Mar 17, 2017 Upgraded to Aa3 (sf)
Cl. M-2, Upgraded to A2 (sf); previously on Mar
17, 2017 Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on
Mar 17, 2017 Upgraded to Ba3 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on
Mar 17, 2017 Upgraded to Caa3 (sf)
Issuer: RASC Series 2004-KS11 Trust
Cl. M-1, Upgraded to A1 (sf); previously on Dec
29, 2016 Upgraded to Baa1 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Mar 30, 2011 Downgraded to C (sf)
Issuer: RASC Series 2005-KS8 Trust
Cl. M-4, Upgraded to Aaa (sf); previously on
Oct 10, 2017 Upgraded to Aa3 (sf)
Cl. M-5, Upgraded to A2 (sf); previously on Mar
28, 2017 Upgraded to Baa3 (sf)
Issuer: RASC Series 2006-KS1 Trust
Cl. M-1, Upgraded to Aaa (sf); previously on
Apr 12, 2017 Upgraded to Aa2 (sf)
Cl. M-2, Upgraded to A2 (sf); previously on Apr
12, 2017 Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Apr
12, 2017 Upgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH2
Cl. M2, Upgraded to Aaa (sf); previously on Jul 5,
2017 Upgraded to Aa3 (sf)
*Reflects Interest Only Classes
RATINGS RATIONALE
The rating upgrades are primarily due to improvement in pool performances
and credit enhancement available to the bonds. The rating actions
reflect the recent performance and Moody's updated loss expectations on
the underlying pools.
The principal methodology used in rating all classes except interest-only
classes was "US RMBS Surveillance Methodology" published in Februay 2019.
The methodologies used in rating interest-only classes were "US
RMBS Surveillance Methodology" published in Februay 2019 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in Februay 2019. Please see the list of ratings at the
top of this announcement to identify which classes are interest-only
(indicated by the *). Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
The above Credit Ratings were assigned in accordance with Moody's existing
methodology entitled "US RMBS Surveillance Methodology," dated 2/22/2019.
Please note that on 5/8/2019, Moody's released a Request for
Comment, in which it has requested market feedback on the use of
an updated version of third-party cash flow modeling software for
certain structured finance asset classes. If the revised update
is implemented as proposed, these Credit Ratings may be negatively
or positively affected. The final rating outcome will overlay qualitative
judgments and considerations such as performance to date and structural
features. Please refer to Moody's Request for Comment,
titled "Proposal to Use Updated Third-Party Cash Flow Modeling
Software in Moody's Ratings Process for Certain Structured Finance Asset
Classes" for further details regarding the implications of the proposed
Methodology revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
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 3.6% in May 2019 from 3.9%
in May 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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 and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF480999
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