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Rating Action:

Moody's takes action on $537 Million of Subprime RMBS issued from 2005 to 2006

22 Nov 2016

New York, November 22, 2016 -- Moody's Investors Service has upgraded the ratings of 22 tranches and assigned the rating of one tranche from 10 transactions issued by various issuers, backed by subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust NC 2005-HE8

Cl. M2, Upgraded to Ba1 (sf); previously on Feb 5, 2015 Upgraded to Ba3 (sf)

Cl. M3, Upgraded to Ba2 (sf); previously on Feb 2, 2016 Upgraded to B2 (sf)

Cl. M4, Upgraded to Caa1 (sf); previously on Feb 2, 2016 Upgraded to Ca (sf)

Cl. M6, Assigned C (sf); previously on Jul 11, 2013, WR (sf)

Issuer: Citicorp Residential Mortgage Trust Series 2006-1

Cl. M-1, Upgraded to B1 (sf); previously on Jan 27, 2016 Upgraded to Caa2 (sf)

Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1

Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 5, 2015 Upgraded to Ba3 (sf)

Cl. M-4, Upgraded to Ba2 (sf); previously on Jan 27, 2016 Upgraded to Ba3 (sf)

Cl. M-5, Upgraded to B2 (sf); previously on Jan 27, 2016 Upgraded to Ca (sf)

Issuer: Home Loan Mortgage Loan Trust 2006-1

Cl. A-2, Upgraded to Aaa (sf); previously on Jan 26, 2016 Upgraded to Baa1 (sf)

Cl. A-3, Upgraded to Ca (sf); previously on Oct 1, 2010 Downgraded to C (sf)

Issuer: Meritage Mortgage Loan Trust 2005-2

Cl. M-3, Upgraded to Caa1 (sf); previously on Jan 26, 2016 Upgraded to Ca (sf)

Issuer: Nomura Home Equity Loan Trust 2005-FM1

Cl. M-3, Upgraded to B3 (sf); previously on Jan 20, 2016 Upgraded to Caa3 (sf)

Issuer: Nomura Home Equity Loan Trust 2006-FM1

Cl. I-A, Upgraded to Baa2 (sf); previously on Jan 20, 2016 Upgraded to Ba1 (sf)

Cl. II-A-3, Upgraded to Ba3 (sf); previously on Jan 20, 2016 Upgraded to B1 (sf)

Cl. II-A-4, Upgraded to B2 (sf); previously on Nov 8, 2013 Upgraded to Caa3 (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC2

Cl. A-3, Upgraded to Ba1 (sf); previously on Jan 27, 2016 Upgraded to B1 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-10

Cl. A1, Upgraded to A1 (sf); previously on Jan 27, 2016 Upgraded to Baa1 (sf)

Cl. A2, Upgraded to A2 (sf); previously on Jan 27, 2016 Upgraded to Baa3 (sf)

Cl. A6, Upgraded to A1 (sf); previously on Jan 27, 2016 Upgraded to Baa1 (sf)

Cl. M1, Upgraded to Caa2 (sf); previously on Jan 27, 2016 Upgraded to Ca (sf)

Issuer: Structured Asset Securities Corp Trust 2005-NC1

Cl. M1, Upgraded to Aaa (sf); previously on Jan 27, 2016 Upgraded to Aa2 (sf)

Cl. M2, Upgraded to Aa1 (sf); previously on Jan 27, 2016 Upgraded to A1 (sf)

Cl. M3, Upgraded to A1 (sf); previously on Jan 27, 2016 Upgraded to Baa3 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to the total credit enhancement available to the bonds. The rating upgrade on Home Loan Mortgage Loan Trust 2006-1 Class A-2 is also due to the reduction in under-collateralization of the Class A-3 which supports Class A-2 and the Class A-2's short time to payoff. These improvements greatly reduce the risk of interest shortfalls on the Class A-2. Additionally, the ratings on Class A-2 and Class A-3 both benefit from an improvement in pool expected losses.

The assignment of a rating to Class M6 of Asset Backed Securities Corporation Home Equity Loan Trust 2005-8 reflects the fact that the prior rating had been withdrawn as the tranche was previously written down due to losses, but the tranche has since been partially written back up. The assigned ratings reflect their reinstated balances.

The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. 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 4.9% in October 2016 from 5.0% in October 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. 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 may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF442993

A list of updated estimated transaction pool losses are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689

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.

Justin Mazzamaro
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

Mark Branton
Vice President - Senior Analyst
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

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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Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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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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