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Rating Action:

Moody's takes action on $432.6 million of Subprime RMBS

12 Apr 2016

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
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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