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Rating Action:

Moody's takes action on $809 Million of Subprime RMBS issued from 2001 to 2007

05 Jul 2017

New York, July 05, 2017 -- Moody's Investors Service has upgraded the ratings of 30 tranches and downgraded the rating of one tranche from 18 transactions, issued by various issuers, backed by subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE2

Cl. M-1, Downgraded to B1 (sf); previously on Jul 28, 2014 Upgraded to Ba1 (sf)

Cl. M-4, Upgraded to B2 (sf); previously on Dec 23, 2015 Upgraded to Caa2 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2004-IN1

Cl. M-1, Upgraded to Ba3 (sf); previously on Nov 3, 2015 Upgraded to B1 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP2

Cl. A-1, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded to Aa1 (sf)

Cl. A-2D, Upgraded to Aa2 (sf); previously on Aug 30, 2016 Upgraded to A1 (sf)

Issuer: Aegis Asset Backed Securities Trust 2004-4

Cl. A1, Upgraded to Aaa (sf); previously on May 4, 2012 Confirmed at Aa1 (sf)

Cl. A2-B, Upgraded to Aaa (sf); previously on May 4, 2012 Confirmed at Aa1 (sf)

Cl. M1, Upgraded to A3 (sf); previously on Aug 25, 2016 Upgraded to Baa1 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R12

Cl. M-4, Upgraded to B3 (sf); previously on Aug 25, 2016 Upgraded to Caa1 (sf)

Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4

Cl. IA-1, Upgraded to A2 (sf); previously on Aug 30, 2016 Upgraded to Baa2 (sf)

Cl. IM-1, Upgraded to Ba3 (sf); previously on Oct 16, 2015 Upgraded to Caa1 (sf)

Cl. IM-2, Upgraded to Caa3 (sf); previously on Oct 16, 2015 Upgraded to Ca (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8

Cl. A-2B, Upgraded to Aaa (sf); previously on Aug 30, 2016 Upgraded to A3 (sf)

Issuer: First Franklin Mortgage Loan Trust 2005-FFH2

Cl. M2, Upgraded to Aa3 (sf); previously on Aug 30, 2016 Upgraded to A2 (sf)

Issuer: First Franklin Mortgage Loan Trust Series 2005-FF6

Cl. M-2, Upgraded to Aa2 (sf); previously on Aug 30, 2016 Upgraded to Aa3 (sf)

Cl. M-3, Upgraded to Baa2 (sf); previously on Aug 30, 2016 Upgraded to Ba1 (sf)

Issuer: Fremont Home Loan Trust 2005-2

Cl. M-4, Upgraded to B1 (sf); previously on Oct 7, 2015 Upgraded to Caa1 (sf)

Issuer: Fremont Home Loan Trust 2006-A

Cl. 1-A-1, Upgraded to A3 (sf); previously on Aug 26, 2016 Upgraded to Baa3 (sf)

Issuer: GSAMP Trust 2004-FM2

Cl. M-2, Upgraded to Ba3 (sf); previously on Dec 17, 2015 Upgraded to B2 (sf)

Issuer: New Century Home Equity Loan Trust 2006-2

Cl. A-1, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded to Caa1 (sf)

Cl. A-2b, Upgraded to Caa2 (sf); previously on Jun 1, 2010 Downgraded to Caa3 (sf)

Cl. A-2c, Upgraded to Caa3 (sf); previously on Jun 1, 2010 Downgraded to Ca (sf)

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

Cl. M-2, Upgraded to Ba2 (sf); previously on May 15, 2012 Downgraded to B1 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on May 15, 2012 Downgraded to Caa1 (sf)

Issuer: Popular ABS Mortgage Pass-Through Trust 2005-C

Cl. M-3, Upgraded to Caa3 (sf); previously on Jan 28, 2015 Upgraded to Ca (sf)

Issuer: Soundview Home Loan Trust 2006-EQ1

Cl. A-3, Upgraded to Ba1 (sf); previously on Aug 26, 2016 Upgraded to B1 (sf)

Cl. A-4, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded to B3 (sf)

Issuer: Soundview Home Loan Trust 2006-OPT2

Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 26, 2016 Upgraded to Ba1 (sf)

Cl. A-4, Upgraded to Baa3 (sf); previously on Aug 26, 2016 Upgraded to Ba2 (sf)

Issuer: Soundview Home Loan Trust 2007-NS1, Asset-Backed Certificates, Series 2007-NS1

Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 26, 2016 Upgraded to Caa1 (sf)

Cl. A-4, Upgraded to B1 (sf); previously on Aug 26, 2016 Upgraded to Caa2 (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to the total credit enhancement available to the bonds.The rating downgrade on Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE2 Class M-1 is due to an outstanding interest shortfall which is unlikely to be recouped. 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 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 4.3% in May 2017 from 4.7% in May 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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_SF454960

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.

Veronica Huang
Associate 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

Mark Branton
Vice President - Senior Analyst
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.
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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 JPY100,000 to approximately JPY550,000,000.

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