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Rating Action:

Moody's takes action on $80 Million of Subprime and Scratch & Dent RMBS issued in 2002-2005

26 Feb 2018

NOTE: On March 2, 2018, the press release was corrected as follows: In the Ratings Rationale section, revised the first paragraph and added the second and third paragraphs. Revised release follows.

New York, February 26, 2018 -- Moody's Investors Service has upgraded the ratings of two tranches, and downgraded the ratings of 16 tranches, from 12 transactions issued by various issuers.

Complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation, Series 2002-HE1

Cl. B, Downgraded to B2 (sf); previously on Jan 23, 2017 Upgraded to Ba1 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2003-HE1

Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 5, 2013 Downgraded to A3 (sf)

Issuer: C-BASS 2003-CB6 Trust

Cl. M-1, Downgraded to B1 (sf); previously on Jul 21, 2014 Upgraded to Ba2 (sf)

Issuer: CDC Mortgage Capital Trust 2003-HE1

Cl. B-1, Downgraded to Caa1 (sf); previously on Jan 13, 2017 Upgraded to B1 (sf)

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-5

Cl. AF-6, Downgraded to B1 (sf); previously on Apr 16, 2012 Confirmed at Baa2 (sf)

Cl. MV-2, Downgraded to B1 (sf); previously on Apr 16, 2012 Confirmed at Ba3 (sf)

Cl. MV-1, Downgraded to Baa3 (sf); previously on Apr 16, 2012 Confirmed at Baa2 (sf)

Issuer: Equity One Mortgage Pass-Through Trust 2002-3

Cl. B-1, Downgraded to C (sf); previously on May 3, 2012 Downgraded to Ca (sf)

Cl. M-1, Downgraded to B2 (sf); previously on Mar 3, 2014 Downgraded to Ba3 (sf)

Cl. M-2, Downgraded to Caa3 (sf); previously on May 3, 2012 Downgraded to Caa1 (sf)

Issuer: Equity One Mortgage Pass-Through Trust 2002-4

Cl. M-1, Downgraded to B1 (sf); previously on Dec 28, 2017 Upgraded to Ba1 (sf)

Issuer: New Century Home Equity Loan Trust, Series 2003-6

Cl. M-1, Downgraded to B1 (sf); previously on Aug 7, 2014 Upgraded to Ba1 (sf)

Cl. M-3, Upgraded to Caa1 (sf); previously on Jun 21, 2017 Upgraded to Ca (sf)

Issuer: RAMP Series 2004-RS4 Trust

Cl. M-II-2, Downgraded to Caa3 (sf); previously on Dec 6, 2017 Upgraded to B1 (sf)

Issuer: Soundview Home Loan Trust 2003-1

Cl. M-3, Downgraded to B1 (sf); previously on Feb 4, 2013 Downgraded to Ba1 (sf)

Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 4, 2013 Affirmed Caa3 (sf)

Issuer: Soundview Home Loan Trust 2005-2

Cl. M-4, Downgraded to B1 (sf); previously on Mar 6, 2013 Upgraded to Ba2 (sf)

Issuer: Truman Capital Mortgage Loan Trust 2004-1

Cl. M-2, Downgraded to B1 (sf); previously on Oct 20, 2014 Upgraded to Ba3 (sf)

RATINGS RATIONALE

The upgrades are primarily due to the total credit enhancement available to the bonds. The downgrades are primarily due to the outstanding interest shortfalls on the bonds. Certain rating actions also reflect the correction of prior errors. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools.

In the prior committee review, the cumulative loss for Class B issued by Asset Backed Securities Corporation Series 2002-HE1 and Class B-1 issued by CDC Mortgage Capital Trust 2003-HE1 was not taken into account. This error has now been corrected, and today’s rating actions reflect the accumulated total losses on the bonds.

In the prior review, the cumulative interest shortfall on Class M-1 from Equity One Mortgage Pass-Through Trust 2002-4 was not taken into account. This error has now been corrected, and today’s rating action reflects the cumulative outstanding interest shortfall on the bond. The downgrade on RAMP Series 2004-RS4 Trust Class M-II-2 is due to the correction of the total credit enhancement available to the bond. In the October 2017 remittance report, the trustee reported a Group I ending pool balance, even though the pool was paid down, resulting in too high of an available credit enhancement for the M-II-2 bond in the previous rating review. This error has now been corrected, and today's rating action reflects the correct total enhancement available to the bond.

Classes M-1, M-2, and B-1 from Equity One Mortgage Pass-Through Trust 2002-3 were downgraded due to the total credit enhancement available to the bonds and the loss expectations on the pools.

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 macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in January 2018 from 4.8% in January 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.

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_SF468031

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.

Jane Mordecai
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

Deepika Kothari
Senior Vice President
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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