New York, May 10, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of 10 tranches
and downgraded the rating of one tranche from four transactions,
backed by Subprime loans, issued by Merrill Lynch Mortgage Investors,
Inc.
The complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors Trust, Series 2003-HE1
Cl. M-1, Upgraded to Ba1 (sf); previously on
Dec 30, 2015 Upgraded to B1 (sf)
Cl. S*, Downgraded to C (sf); previously on Jun
28, 2018 Downgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC1
Cl. B-1, Upgraded to B3 (sf); previously on Jul
20, 2018 Upgraded to Caa2 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Jul
20, 2018 Upgraded to Baa1 (sf)
Cl. M-3, Upgraded to Baa1 (sf); previously on
Jul 20, 2018 Upgraded to Ba1 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC2
Cl. B-1, Upgraded to B3 (sf); previously on Jul
20, 2018 Upgraded to Ca (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Jul
20, 2018 Upgraded to A3 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on
Jul 20, 2018 Upgraded to B1 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3
Cl. M-2, Upgraded to A1 (sf); previously on Jun
28, 2018 Upgraded to A3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Mar
9, 2017 Upgraded to Caa1 (sf)
Cl. S*, Upgraded to Caa2 (sf); previously on Nov
29, 2017 Confirmed at Caa3 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The rating upgrades are a result of improving performance of the related
pools and an increase in credit enhancement available to the bonds.
The downgrade of the rating to C (sf) reflects the nonpayment of interest
for an extended period of at least 12 months.
The principal methodology used in rating all classes except interest-only
classes was "US RMBS Surveillance Methodology" published in February 2019.
The methodologies used in rating interest-only classes were "US
RMBS Surveillance Methodology" published in February 2019 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in February 2019. Please see the list of ratings at the
top of this announcement to identify which classes are interest-only
(indicated by the *). Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
The above Credit Ratings were assigned in accordance with Moody's existing
methodology entitled "US RMBS Surveillance Methodology," dated 2/22/2019.
Please note that on 5/8/2019, Moody's released a Request for
Comment, in which it has requested market feedback on the use of
an updated version of third-party cash flow modeling software for
certain structured finance asset classes. If the revised update
is implemented as proposed, these Credit Ratings may be negatively
or positively affected. The final rating outcome will overlay qualitative
judgments and considerations such as performance to date and structural
features.
Please refer to Moody's Request for Comment, titled "Moody's
proposes to use an updated version of third-party cash flow modeling
software for certain structured finance asset classes" for further
details regarding the implications of the proposed Methodology revisions
on certain Credit Ratings.
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 3.6% in April 2019 from 3.9%
in April 2018. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2019 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 2019. Lower increases
than Moody's expects or decreases could lead to negative rating actions.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the referenced bonds and/or pools.
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 as well as updated
Loss Projections may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF480487
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.
Wenzhao Wu
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
Karandeep Bains
VP - Sr Credit Officer/Manager
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