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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

Moody's takes action on $59 Million of Subprime issued in 2002 to 2004

22 May 2018

New York, May 22, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of 15 tranches and downgraded the ratings of 2 tranches from 8 US residential mortgage backed transactions (RMBS), backed by Subprime mortgage loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Centex Home Equity Company (CHEC) Loan Trust 2004-1

Cl. M-4, Downgraded to B1 (sf); previously on Jun 28, 2017 Upgraded to Ba3 (sf)

Issuer: Centex Home Equity Loan Trust 2002-C

Cl. AF-4, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded to Aa2 (sf)

Cl. AF-5, Upgraded to Aa1 (sf); previously on Jun 28, 2017 Upgraded to A1 (sf)

Cl. AF-6, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded to Aa2 (sf)

Cl. M-1, Upgraded to B1 (sf); previously on Jun 28, 2017 Upgraded to B2 (sf)

Cl. M-2, Downgraded to C (sf); previously on May 3, 2012 Downgraded to Ca (sf)

Issuer: Centex Home Equity Loan Trust 2002-D

Cl. AF-4, Upgraded to Aaa (sf); previously on Aug 16, 2016 Upgraded to Aa3 (sf)

Cl. AF-5, Upgraded to Aaa (sf); previously on Jun 28, 2017 Upgraded to A1 (sf)

Cl. AF-6, Upgraded to Aaa (sf); previously on Aug 16, 2016 Upgraded to Aa2 (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on Jun 28, 2017 Upgraded to Ba3 (sf)

Issuer: Chase Funding Trust, Series 2004-1

Cl. IIM-1, Upgraded to B1 (sf); previously on Mar 7, 2011 Downgraded to B3 (sf)

Cl. IIM-2, Upgraded to Caa3 (sf); previously on Jul 19, 2012 Upgraded to Ca (sf)

Issuer: Long Beach Mortgage Loan Trust 2002-1

Cl. M2, Upgraded to B1 (sf); previously on Oct 28, 2015 Upgraded to Caa2 (sf)

Issuer: Long Beach Mortgage Loan Trust 2003-1

Cl. M-2, Upgraded to B3 (sf); previously on Mar 8, 2011 Downgraded to Caa3 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2003-4

Cl. M-2, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded to B3 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2004-2

Cl. M-2, Upgraded to Baa3 (sf); previously on Feb 28, 2014 Upgraded to Ba2 (sf)

Cl. M-3, Upgraded to Baa3 (sf); previously on Dec 17, 2015 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 improvement in the collateral performance. The increase in credit enhahncment for CL. M2 from Long Beach Mortgage Loan Trust 2002-1 and CL. M-2 from Long Beach Mortgage Loan Trust 2003-1 reflects the funds received by the deals in Feb 2018 pursuant to a settlement of claims concerning trusts created, sponsored, or serviced by Washington Mutual Bank (WaMu).

Today's rating downgrade on CL. M-2 from Centex Home Equity Loan Trust 2002-C is due to the decrease in credit enhancement available to the bond. The rating downgrade on CL. M-4 from Centex Home Equity Company Loan Trust 2004-1 is due to the level of outstanding interest shortfall on this bond, which we do not expect 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 3.9% in April 2018 from 4.4% in April 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_SF471559

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

Ola Hannoun-Costa
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

No Related Data.
© 2019 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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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 rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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