New York, October 23, 2013 -- Moody's Investors Service has downgraded the ratings of two tranches and
upgraded the ratings of 19 tranches backed by Subprime RMBS loans,
issued by various trusts.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series
2004-R4
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 16, 2013 Upgraded to Baa1 (sf)
Issuer: Argent Securities Inc., Series 2003-W1
Cl. M-3, Downgraded to Ba1 (sf); previously on
Mar 5, 2013 Downgraded to A3 (sf)
Issuer: BNC Mortgage Loan Trust 2007-3
Cl. A3, Upgraded to Ba1 (sf); previously on Aug 21,
2012 Upgraded to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-1
Cl. AF-4, Upgraded to Ba2 (sf); previously on
Mar 12, 2013 Affirmed B1 (sf)
Cl. AF-5A, Upgraded to B1 (sf); previously on
Mar 12, 2013 Upgraded to B3 (sf)
Cl. AF-5B, Upgraded to B1 (sf); previously on
Mar 12, 2013 Upgraded to B3 (sf)
Underlying Rating: Upgraded to B1 (sf); previously on Mar 12,
2013 Upgraded to B3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. AF-6, Upgraded to Ba3 (sf); previously on
Mar 12, 2013 Affirmed B2 (sf)
Cl. MV-3, Upgraded to Baa3 (sf); previously on
Mar 12, 2013 Upgraded to Ba2 (sf)
Cl. MV-4, Upgraded to B1 (sf); previously on
Mar 12, 2013 Upgraded to Caa1 (sf)
Cl. MV-5, Upgraded to Ca (sf); previously on
Mar 12, 2013 Affirmed C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-2
Cl. M-2, Upgraded to Baa2 (sf); previously on
Mar 14, 2013 Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on
Mar 14, 2013 Upgraded to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-5
Cl. M-2, Upgraded to Baa2 (sf); previously on
Mar 14, 2013 Upgraded to Ba1 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on
Mar 14, 2013 Upgraded to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC4
Cl. M-3, Upgraded to Baa2 (sf); previously on
Mar 14, 2013 Affirmed Baa3 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on
Mar 14, 2013 Upgraded to B1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-25
Cl. 2-A-2, Upgraded to Ba3 (sf); previously
on Apr 14, 2010 Confirmed at B3 (sf)
Issuer: Encore Credit Receivables Trust 2005-2
Cl. M-2, Upgraded to Baa3 (sf); previously on
Mar 12, 2013 Upgraded to Ba3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Mar
12, 2013 Upgraded to Caa2 (sf)
Issuer: Encore Credit Receivables Trust 2005-3
Cl. M-3, Upgraded to Ba3 (sf); previously on
Mar 14, 2013 Affirmed B3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Mar
14, 2013 Affirmed Caa2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
upgrades are a result of improved performance of the related pools and/or
faster pay-down of the bonds due to high prepayments/faster liquidations.
The downgrades are the result of recent interest shortfalls on the bonds
- Class M-1 from Ameriquest 2004-R4 and Class M-3
from Argent 2003-W1 recently missed their interest payments.
Structural limitations in the transactions prevent recoupment of the missed
interests even if funds are available in subsequent periods - missed
interest payments on these tranches can only be made up from excess interest
after the overcollateralization builds to the target amounts. In
these transactions since overcollateralization is currently below target,
the missed interest payments to these tranches are unlikely to be paid.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in June 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
The primary sources of assumption uncertainty are our central macroeconomic
forecast and performance volatility as a result of servicer-related
activity such as modifications. The unemployment rate fell from
8.1% in August 2012 to 7.3% in August 2013.
Moody's forecasts an unemployment central range of 6.5%
to 7.5% for the 2014 year. Moody's expects house
prices to continue to rise in 2014. Performance of RMBS continues
to remain highly dependent on servicer activity such as modification-related
principal forgiveness and interest rate reductions. Any change
resulting from servicing transfers or other policy or regulatory change
can also 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_SF345309
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel:
Pre-2005 http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
Post-2005 http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198689
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Minxi Qiu
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
Deepika Kothari
VP - Sr Credit Officer/Manager
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 $570 Million of Subprime RMBS issued from 2003 -- 2007