New York, November 15, 2018 -- Moody's Investors Service ("Moody's") has upgraded the ratings of 24 tranches
from nine transactions, backed by Subprime loans, issued by
multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. I-A-2, Upgraded to Baa2 (sf); previously
on Jan 26, 2018 Upgraded to Ba1 (sf)
Cl. I-A-3, Upgraded to Baa3 (sf); previously
on Jan 26, 2018 Upgraded to Ba2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE2
Cl. II-1A-2, Upgraded to Caa2 (sf); previously
on Aug 7, 2013 Confirmed at Caa3 (sf)
Cl. II-1A-3, Upgraded to Ca (sf); previously
on May 21, 2010 Downgraded to C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB8
Cl. B-1, Upgraded to B3 (sf); previously on Jan
30, 2018 Upgraded to Caa1 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on
Jan 30, 2018 Upgraded to B1 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-5
Cl. B-1, Upgraded to Caa1 (sf); previously on
Apr 9, 2012 Confirmed at C (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on
Nov 19, 2014 Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on
Nov 19, 2014 Upgraded to B3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Nov
19, 2014 Upgraded to Caa2 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CW2
Cl. AV-1, Upgraded to Aa1 (sf); previously on
Jan 26, 2018 Upgraded to A1 (sf)
Cl. AV-4, Upgraded to A3 (sf); previously on
Jan 26, 2018 Upgraded to Baa1 (sf)
Cl. AV-5, Upgraded to Baa1 (sf); previously on
Jan 26, 2018 Upgraded to Baa2 (sf)
Issuer: NovaStar Mortgage Funding Trust 2007-2
Cl. A-1A, Upgraded to Baa3 (sf); previously on
Feb 8, 2017 Upgraded to B1 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-3
Cl. A-1, Upgraded to Aaa (sf); previously on
Jan 26, 2018 Upgraded to Aa3 (sf)
Cl. A-2C, Upgraded to Aaa (sf); previously on
Jan 26, 2018 Upgraded to A3 (sf)
Cl. A-2D, Upgraded to Baa3 (sf); previously on
Jan 26, 2018 Upgraded to Ba3 (sf)
Issuer: RAMP Series 2007-RZ1 Trust
Cl. A-2, Upgraded to A1 (sf); previously on Feb
3, 2017 Upgraded to Baa1 (sf)
Cl. A-3, Upgraded to A3 (sf); previously on Feb
3, 2017 Upgraded to Baa3 (sf)
Cl. M-1S, Upgraded to Caa2 (sf); previously on
Jul 15, 2011 Downgraded to C (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-2
Cl. AF-4, Upgraded to Baa1 (sf); previously on
Mar 7, 2016 Upgraded to Ba1 (sf)
Cl. AF-5, Upgraded to Baa2 (sf); previously on
Mar 7, 2016 Upgraded to Ba2 (sf)
Cl. AF-6, Upgraded to Baa1 (sf); previously on
Mar 7, 2016 Upgraded to Ba1 (sf)
Cl. AV-3, Upgraded to Baa1 (sf); previously on
Mar 7, 2016 Upgraded to Ba1 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectation on the pools.
The rating upgrades are a result of improving performance of the related
pools and/or an increase in credit enhancement available to the bonds.
The rating upgrade on CL II-1A-2 from Bear Stearns Asset
Backed Securities I Trust 2007-HE2 also reflects a correction to
the cashflow model previously used to rate this transaction. In
prior rating actions, realized loss was incorrectly not allocated
to CL. II-1A-2. This error has now been corrected,
and today's rating action reflects this change.
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.
The Credit Ratings for above mentioned deals were assigned in accordance
with Moody's existing Methodology entitled "US RMBS Surveillance Methodology,"
dated 1/31/2017. Please note that on 11/14/2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for pre-2009
US RMBS. Prime Jumbo, Alt-A, Option ARM,
Subprime, Scratch and Dent, Second Lien and Manufactured Housing
transactions. If the revised Methodology is implemented as proposed,
the Credit Ratings on above mentioned deals are not expected to be affected.
Please refer to Moody's Request for Comment, titled "Proposed
Update to US RMBS Surveillance Methodology," 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 3.7% in October 2018 from 4.1%
in October 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476096
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
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