New York, September 17, 2013 -- Moody's Investors Service has downgraded the ratings of nine tranches
and confirmed the ratings of five tranches backed by Subprime RMBS loans,
issued by various trusts.
Complete rating action is as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE3
Cl. M1, Downgraded to Ba3 (sf); previously on Jun 14,
2013 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Caa3 (sf); previously on Jun 14,
2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: GSAMP Trust 2003-HE2
Cl. A-1A, Confirmed at A3 (sf); previously on
Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. A-1B, Downgraded to Baa3 (sf); previously
on Jun 14, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Confirmed at A3 (sf); previously on
Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. A-3A, Confirmed at A3 (sf); previously on
Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. A-3C, Confirmed at A3 (sf); previously on
Jun 14, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at B3 (sf); previously on
Jun 14, 2013 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-OP1
Cl. M-2, Downgraded to Ba2 (sf); previously on
Apr 17, 2013 Downgraded to Baa2 (sf)
Cl. M-3, Downgraded to Caa1 (sf); previously
on Jun 14, 2013 B2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa3 (sf); previously
on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Soundview Home Loan Trust 2007-OPT1
Cl. II-A-1, Downgraded to Ca (sf); previously
on Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jul 18, 2011 Downgraded to Caa3 (sf)
Issuer: Soundview Home Loan Trust 2007-OPT2
Cl. II-A-2, Downgraded to Caa3 (sf); previously
on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
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
downgrades are a result of deteriorating performance or structural features
resulting in higher expected losses for the bonds than previously anticipated.
The rating actions also reflect the late recognition of losses related
to principal forbearance modifications that Homeward undertook before
July 2012 in these transactions. Homeward Residential Inc.
had serviced these transactions until Ocwen Loan Servicing acquired Homeward
in December 2012. Previously, on June 14, 2013,
following Ocwen's announcement of the loss recognition, we
had placed twelve of these tranches on review for downgrade. Today's
rating actions on the bonds concludes this review.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in June 2013. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology.
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
8.1% in August 2012 to 7.3% in August 2013.
Moody's forecasts an unemployment central range of 7.0%
to 8.0% for 2013. 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_SF342292
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:
http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689
and http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
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.
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.
Edward Derson Hou
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 $399 Million of Subprime RMBS issued from 2003 -- 2007