New York, April 12, 2016 -- Moody's Investors Service has upgraded the ratings of 22 tranches and
downgraded the rating of one tranche issued from 12 transactions backed
by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Carrington Home Equity Loan Trust, Series 2005-NC4
Cl. M-1 Certificate, Downgraded to B1 (sf); previously
on Jul 22, 2013 Upgraded to Baa3 (sf)
Cl. M-3 Certificate, Upgraded to B2 (sf); previously
on May 29, 2015 Upgraded to Caa1 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-FRE1
Cl. A-6 Certificate, Upgraded to A2 (sf); previously
on Feb 20, 2014 Upgraded to Baa2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC1
Cl. M-3 Certificate, Upgraded to B1 (sf); previously
on May 29, 2015 Upgraded to B2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-OPT2
Cl. M-5 Certificate, Upgraded to B3 (sf); previously
on May 29, 2015 Upgraded to Caa2 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC2
Cl. A-2 Certificate, Upgraded to Baa1 (sf); previously
on May 29, 2015 Upgraded to Ba1 (sf)
Cl. A-3 Certificate, Upgraded to B2 (sf); previously
on May 29, 2015 Upgraded to Caa2 (sf)
Cl. A-4 Certificate, Upgraded to Caa1 (sf); previously
on May 29, 2015 Upgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-AHL1
Cl. A-2B Certificate, Upgraded to Caa3 (sf);
previously on Apr 6, 2010 Downgraded to Ca (sf)
Issuer: Encore Credit Corp. Series 2003-1
Cl. M1 Certificate, Upgraded to A3 (sf); previously
on Oct 10, 2013 Upgraded to Baa3 (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-2
Cl. M-3 Certificate, Upgraded to Baa3 (sf); previously
on Jul 28, 2014 Upgraded to Ba3 (sf)
Cl. M-4 Certificate, Upgraded to Ba1 (sf); previously
on Jul 28, 2014 Upgraded to B1 (sf)
Cl. M-5 Certificate, Upgraded to Ba3 (sf); previously
on Jul 28, 2014 Upgraded to Caa2 (sf)
Cl. M-6 Certificate, Upgraded to B3 (sf); previously
on Apr 19, 2012 Downgraded to C (sf)
Cl. M-7 Certificate, Upgraded to Ca (sf); previously
on Apr 19, 2012 Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFH3
Cl. M-2 Certificate, Upgraded to Ba1 (sf); previously
on Nov 13, 2013 Upgraded to B1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-NC6
Cl. B-3 Certificate, Upgraded to Caa3 (sf); previously
on Feb 11, 2009 Downgraded to C (sf)
Cl. M-2 Certificate, Upgraded to Ba3 (sf); previously
on May 22, 2015 Upgraded to B2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE5
Cl. M-1 Certificate, Upgraded to Ba1 (sf); previously
on Oct 9, 2013 Upgraded to Ba3 (sf)
Cl. M-2 Certificate, Upgraded to B3 (sf); previously
on May 22, 2015 Upgraded to Caa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2004-5
Cl. AV-1A Certificate, Upgraded to A3 (sf); previously
on Mar 18, 2011 Downgraded to Baa1 (sf)
Cl. AV-1B Certificate, Upgraded to Baa1 (sf);
previously on Mar 18, 2011 Downgraded to Baa2 (sf)
Cl. AV-2 Certificate, Upgraded to A2 (sf); previously
on Mar 18, 2011 Downgraded to Baa1 (sf)
RATINGS RATIONALE
The upgrades are a result of improving performance of the related pools
and/or build-up in credit enhancement of the tranches. The
downgrade is a result of recent interest shortfalls incurred on the bond,
which are unlikely to be reimbursed. The actions reflect the recent
performance of the underlying pools and Moody's updated loss expectations
on the pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
Methodologies 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 5.0% in March 2016 from 5.5%
in March 2015. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2016 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 2016. 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF429978
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.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the 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.
Claire Masters
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
Eric Fellows
Senior Vice President
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 $432.6 million of Subprime RMBS