NOTE: On April 13, 2018, the List of Affected Credit Ratings accessible via hyperlink from this press release was corrected to remove the prior underlying rating, prior underlying review status and current underlying rating for tranche IDs 500145714, 500200416 and 500197126.
New York, February 27, 2018 -- Moody's Investors Service (Moody's) has upgraded ratings of 51 tranches
and downgraded one tranches from 19 US residential mortgage backed transactions
(RMBS), backed by Subprime loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE3
Cl. M-4, Upgraded to B3 (sf); previously on Mar
6, 2017 Upgraded to Caa1 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE2
Cl. M3, Upgraded to B2 (sf); previously on Apr 13,
2016 Upgraded to Caa2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC1
Cl. M-3, Upgraded to Ba3 (sf); previously on
Jun 23, 2016 Upgraded to B2 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Jun
23, 2016 Upgraded to Caa2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on
May 21, 2010 Downgraded to C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2004-NC2
Cl. M-2, Upgraded to Caa3 (sf); previously on
Mar 13, 2011 Downgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB2
Cl. B-1, Upgraded to Caa1 (sf); previously on
Mar 10, 2011 Downgraded to C (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Apr
21, 2016 Upgraded to B3 (sf)
Issuer: Equifirst Mortgage Loan Trust 2004-2
Cl. M-5, Upgraded to Ba1 (sf); previously on
Apr 12, 2016 Upgraded to Ba3 (sf)
Cl. M-6, Upgraded to Ba2 (sf); previously on
Mar 17, 2017 Upgraded to B1 (sf)
Cl. M-7, Upgraded to B3 (sf); previously on Mar
17, 2017 Upgraded to Caa2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-WMC2
Cl. M-4, Upgraded to B1 (sf); previously on Mar
17, 2017 Upgraded to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Mar
17, 2017 Upgraded to Caa2 (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-WMC3
Cl. M-2, Upgraded to Baa3 (sf); previously on
Apr 1, 2013 Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on
Mar 17, 2017 Upgraded to Ba2 (sf)
Cl. M-4, Upgraded to Ba2 (sf); previously on
Mar 17, 2017 Upgraded to Ba3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Mar
17, 2017 Upgraded to B3 (sf)
Cl. M-6, Upgraded to Caa3 (sf); previously on
Apr 1, 2013 Affirmed C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-4, Upgraded to B2 (sf); previously on Aug
6, 2015 Upgraded to Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4
Cl. M-5, Downgraded to B1 (sf); previously on
Sep 17, 2014 Upgraded to Ba2 (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Jun
25, 2015 Upgraded to Caa2 (sf)
Issuer: RAMP Series 2005-RS1 Trust
Cl. A-I-5, Upgraded to A1 (sf); previously
on May 18, 2016 Upgraded to Baa1 (sf)
Cl. A-I-6, Upgraded to Aa3 (sf); previously
on May 18, 2016 Upgraded to A3 (sf)
Cl. M-I-1, Upgraded to Caa1 (sf); previously
on Jun 29, 2015 Upgraded to Caa3 (sf)
Cl. M-II-1, Upgraded to Aaa (sf); previously
on Mar 28, 2017 Upgraded to Aa2 (sf)
Issuer: RAMP Series 2005-RS5 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on
Mar 28, 2017 Upgraded to Aa1 (sf)
Cl. M-3, Upgraded to Aa2 (sf); previously on
Mar 28, 2017 Upgraded to Baa1 (sf)
Cl. M-4, Upgraded to A3 (sf); previously on Mar
28, 2017 Upgraded to Ba1 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on
Mar 28, 2017 Upgraded to B3 (sf)
Issuer: RAMP Series 2005-RZ1 Trust
Cl. M-3, Upgraded to Aaa (sf); previously on
May 18, 2016 Upgraded to Aa2 (sf)
Cl. M-4, Upgraded to Aaa (sf); previously on
May 18, 2016 Upgraded to A1 (sf)
Cl. M-5, Upgraded to Aa2 (sf); previously on
May 18, 2016 Upgraded to A2 (sf)
Cl. M-6, Upgraded to Aa3 (sf); previously on
May 18, 2016 Upgraded to A3 (sf)
Cl. M-7, Upgraded to Baa1 (sf); previously on
Jun 29, 2015 Upgraded to Ba1 (sf)
Cl. M-8, Upgraded to Ba1 (sf); previously on
Jun 29, 2015 Upgraded to B1 (sf)
Cl. M-9, Upgraded to B3 (sf); previously on Jun
29, 2015 Upgraded to Ca (sf)
Issuer: RASC Series 2005-EMX1 Trust
Cl. M-1, Upgraded to Baa1 (sf); previously on
Aug 7, 2012 Downgraded to Ba2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Apr
6, 2010 Downgraded to Ca (sf)
Issuer: RASC Series 2005-KS4 Trust
Cl. M-2, Upgraded to Aaa (sf); previously on
Mar 28, 2017 Upgraded to Aa1 (sf)
Cl. M-3, Upgraded to Aa3 (sf); previously on
Mar 28, 2017 Upgraded to A3 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on
Mar 28, 2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2004-9
Cl. A5, Upgraded to Aaa (sf); previously on Mar 9,
2017 Upgraded to Aa2 (sf)
Cl. A7, Upgraded to Aaa (sf); previously on Mar 9,
2017 Upgraded to Aa2 (sf)
Cl. M1, Upgraded to A3 (sf); previously on Mar 9,
2017 Upgraded to Ba1 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Mar 9,
2017 Upgraded to B1 (sf)
Cl. M3, Upgraded to B2 (sf); previously on Mar 9,
2017 Upgraded to B3 (sf)
Cl. M4, Upgraded to Caa3 (sf); previously on Mar 4,
2011 Downgraded to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-1
Cl. M2, Upgraded to Aa1 (sf); previously on Mar 31,
2017 Upgraded to A1 (sf)
Cl. M3, Upgraded to Ba1 (sf); previously on Mar 31,
2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-2
Cl. M2, Upgraded to Aa2 (sf); previously on Mar 31,
2017 Upgraded to A2 (sf)
Cl. M3, Upgraded to B3 (sf); previously on Jan 27,
2016 Upgraded to Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-4HE
Cl. M-3, Upgraded to Baa1 (sf); previously on
Mar 31, 2017 Upgraded to Ba2 (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 credit enhancement
available to the bonds and pay down of senior bonds. The rating
downgrade is due to the outstanding interest shortfall that is unlikely
to be recouped.
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 January 2018 from 4.8%
in January 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_SF468664
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.
Chloe Zhang
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
Asst Vice President - 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