New York, April 09, 2018 -- Moody's Investors Service (Moody's) has upgraded ratings of 14 tranches
and downgraded 5 tranches from 8 US residential mortgage backed transactions
(RMBS), backed by subprime loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: AFC Mtg Loan AB Notes 2000-1
Cl. 2A, Upgraded to Caa3 (sf); previously on Apr 4,
2013 Affirmed Ca (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Apr
4, 2013 Affirmed Ca (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: AFC Mtg Loan AB Notes 2000-4
Cl. 1A, Currently Rated Caa1 (sf); previously on May
20, 2016 Downgraded to Caa1 (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Mar
10, 2011 Downgraded to Ca (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018)
Cl. 2A, Currently Rated Caa1 (sf); previously on May
20, 2016 Downgraded to Caa1 (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Mar
10, 2011 Downgraded to Ca (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Jan 17, 2018)
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC6
Cl. A1, Upgraded to Aa3 (sf); previously on Aug 16,
2016 Upgraded to A3 (sf)
Cl. A2, Upgraded to A3 (sf); previously on Aug 16,
2016 Upgraded to Ba1 (sf)
Cl. A4, Upgraded to A3 (sf); previously on Aug 16,
2016 Upgraded to Ba1 (sf)
Cl. M1, Upgraded to Ba3 (sf); previously on Oct 1,
2015 Upgraded to B3 (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on Oct 1,
2015 Upgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB3
Cl. A-1, Downgraded to Ca (sf); previously on
Apr 12, 2010 Downgraded to Caa3 (sf)
Cl. A-2, Downgraded to Ca (sf); previously on
Apr 12, 2010 Confirmed at Caa3 (sf)
Cl. A-3, Downgraded to Ca (sf); previously on
Apr 12, 2010 Confirmed at Caa3 (sf)
Cl. A-4, Downgraded to Ca (sf); previously on
Apr 12, 2010 Confirmed at Caa3 (sf)
Cl. A-5, Downgraded to Ca (sf); previously on
Apr 12, 2010 Confirmed at Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-18
Cl. 1-A, Upgraded to B2 (sf); previously on Oct
19, 2016 Upgraded to Caa1 (sf)
Cl. 2-A-2, Upgraded to Caa1 (sf); previously
on Oct 19, 2016 Confirmed at Caa2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-11
Cl. 1-A-1, Upgraded to B1 (sf); previously
on Nov 22, 2016 Upgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2003-FF4
Cl. M-1, Upgraded to B2 (sf); previously on Mar
15, 2011 Downgraded to Caa1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC3
Cl. M-3, Upgraded to B3 (sf); previously on Mar
5, 2013 Affirmed Ca (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on
Mar 5, 2013 Affirmed C (sf)
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. Today's
rating upgrades are primarily due to improvement of the total credit enhancement
available to the bonds. The rating downgrades are due to the increase
in expected losses on those bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
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 4.1% in March 2018 from 4.5%
in March 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. 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 and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF470299
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.
Yang Yang
Associate Lead 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
Soumya Vasudevan
VP - Senior Analyst
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