New York, September 04, 2013 -- Moody's Investors Service has downgraded the ratings of 12 tranches and
confirmed the ratings of 8 tranches backed by Subprime RMBS loans,
issued by various trusts.
Complete rating actions are as follows:
Issuer: MASTR Asset Backed Securities Trust 2004-OPT1
Cl. M-1, Downgraded to Ba2 (sf); previously on
Jun 14, 2013 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Jun 14, 2013 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Jun 14, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2007-HE2
Cl. A-2, Confirmed at Ba3 (sf); previously on
Jun 14, 2013 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2002-2
Cl. M-1, Confirmed at Caa1 (sf); previously on
Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at Caa1 (sf); previously on
Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2002-3
Cl. A-1, Confirmed at B1 (sf); previously on
Jun 14, 2013 B1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Confirmed at Ba2 (sf); previously on
Jun 14, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Caa1 (sf); previously on
Jun 14, 2013 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2003-2
Cl. M-1, Confirmed at B1 (sf); previously on
Jun 14, 2013 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2003-3
Cl. A-1, Confirmed at Baa1 (sf); previously on
Jun 14, 2013 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2003-6
Cl. A-1, Downgraded to Baa1 (sf); previously
on Mar 18, 2011 Downgraded to A2 (sf)
Cl. A-2, Downgraded to Baa1 (sf); previously
on Jun 14, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa3 (sf); previously
on Apr 23, 2012 Downgraded to Baa1 (sf)
Cl. M-1, Downgraded to B2 (sf); previously on
Jun 14, 2013 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2006-2
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2006-3
Cl. I-A-1, Downgraded to Ca (sf); previously
on Aug 6, 2010 Downgraded to Caa3 (sf)
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2007-1
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jun 14, 2013 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2007-5
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jun 14, 2013 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Option One Mortgage Loan Trust 2007-FXD2
Cl. II-A-1, Current Rating A2 (sf); previously
on Jan 18, 2013 Downgraded to A2 (sf)
Underlying Rating: Downgraded to Caa2 (sf); previously on Jun
14, 2013 B1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
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
downgrades are a result of deteriorating performance or structural features
resulting in higher expected losses for the bonds than previously anticipated.
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
8.2% in July 2012 to 7.4% in July 2013.
Moody's forecasts an unemployment central range of 7.0%
to 8.0% for 2013. Moody's expects housing prices
to continue to rise in 2013. 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_SF341230
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:
http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689
and http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
In conducting surveillance of these credits, Moody's considered
performance data contained in servicer and remittance reports.
Moody's obtains servicer reports on these transactions on a periodic basis,
at least annually.
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
Eric Fellows
VP - Senior Credit Officer
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 $834 Million of Subprime RMBS issued from 2002 -- 2007