New York, February 01, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of
22 tranches from 14 transactions backed by Subprime and Scratch and Dent
loans issued by multiple issuers.
Complete rating actions are as follows:
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2004-RM2
Cl. M-4, Upgraded to Caa1 (sf); previously on
Mar 15, 2011 Downgraded to C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust,
Series 2006-CW1
Cl. A-1, Upgraded to B1 (sf); previously on May
25, 2017 Upgraded to Caa1 (sf)
Issuer: Home Equity Loan Asset-Backed Certificates,
Series 2007-FRE1
Cl. 1-AV-1, Upgraded to B3 (sf); previously
on Apr 11, 2018 Upgraded to Caa2 (sf)
Cl. 2-AV-2, Upgraded to B1 (sf); previously
on Apr 11, 2018 Upgraded to Caa2 (sf)
Cl. 2-AV-3, Upgraded to Caa3 (sf); previously
on Jul 14, 2010 Downgraded to Ca (sf)
Cl. 2-AV-4, Upgraded to Caa3 (sf); previously
on Jul 14, 2010 Downgraded to Ca (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp.
2005-OPT2
Cl. M-5, Upgraded to B1 (sf); previously on Feb
1, 2017 Upgraded to B2 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Jul
14, 2010 Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-CH1
Cl. M-6, Upgraded to B1 (sf); previously on Apr
20, 2018 Upgraded to B2 (sf)
Cl. M-7, Upgraded to Caa1 (sf); previously on
Apr 20, 2018 Upgraded to Caa3 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-CH3,
Asset-Backed Pass-Through Certificates, Series 2007-CH3
Cl. A-1B, Upgraded to A1 (sf); previously on
Apr 20, 2018 Upgraded to A2 (sf)
Cl. A-4, Upgraded to Aa2 (sf); previously on
Apr 20, 2018 Upgraded to A2 (sf)
Cl. A-5, Upgraded to A2 (sf); previously on Apr
20, 2018 Upgraded to A3 (sf)
Issuer: RAAC Series 2006-RP3 Trust
Cl. A, Upgraded to Baa1 (sf); previously on Apr 25,
2018 Upgraded to Baa3 (sf)
Issuer: RFSC Series 2002-RP2 Trust
A-1, Upgraded to Caa3 (sf); previously on Apr 16,
2010 Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2004-GEL2
Cl. M2, Upgraded to A1 (sf); previously on Apr 25,
2018 Upgraded to Baa1 (sf)
Cl. M3, Upgraded to B3 (sf); previously on Jun 19,
2017 Downgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-GEL3
Cl. A, Upgraded to Aaa (sf); previously on Jun 18,
2012 Downgraded to Aa1 (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL1
Cl. M2, Upgraded to Aa2 (sf); previously on Apr 25,
2018 Upgraded to A3 (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL3
Cl. M4, Upgraded to Aa2 (sf); previously on Apr 25,
2018 Upgraded to A1 (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL1
Cl. M2, Upgraded to A2 (sf); previously on Apr 25,
2018 Upgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corporation 2007-GEL2
Cl. A3, Upgraded to B1 (sf); previously on Apr 25,
2018 Upgraded to B3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
reflect Moody's updated loss expectations on the pools. The ratings
upgraded are a result of improving performance of the related pools and/or
an increase in credit enhancement available to the bonds.
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 above Credit Ratings were assigned in accordance with Moody's existing
Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017.
Please note that on November 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, these Credit
Ratings 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 3.9% in December 2018 from 4.1%
in December 2017. 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. 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_SF477875
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
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