New York, November 13, 2013 -- Moody's Investors Service has upgraded the ratings of 38 tranches and
downgraded the ratings of 4 tranches from 18 transactions issued by various
trusts, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Asset-Backed Certificates, Series 2005-HE2
Cl. M-3, Upgraded to B3 (sf); previously on Mar
6, 2013 Upgraded to Caa3 (sf)
Issuer: ABFC Asset-Backed Certificates, Series 2005-WMC1
Cl. M-2, Upgraded to Ba1 (sf); previously on
Feb 26, 2013 Upgraded to B1 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on
Feb 26, 2013 Affirmed C (sf)
Issuer: Asset Backed Funding Corporation Asset-Backed Certificates,
Series 2006-OPT3
Cl. A-1, Downgraded to Caa3 (sf); previously
on Jun 3, 2010 Downgraded to Caa2 (sf)
Cl. A-2, Downgraded to Caa3 (sf); previously
on Jun 3, 2010 Downgraded to Caa2 (sf)
Cl. A-3B, Downgraded to Ca (sf); previously on
Jun 3, 2010 Downgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AQ1
Cl. M-2, Upgraded to B3 (sf); previously on Mar
12, 2013 Affirmed Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB2
Cl. A2-B, Downgraded to Ca (sf); previously on
Apr 12, 2010 Downgraded to Caa3 (sf)
Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4
Cl. M-3, Upgraded to B2 (sf); previously on Mar
4, 2013 Upgraded to Caa2 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on
Mar 4, 2013 Upgraded to Ca (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-1
Cl. M-2, Upgraded to Ba1 (sf); previously on
Mar 8, 2011 Downgraded to Ba2 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on May
2, 2012 Downgraded to B3 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on May
2, 2012 Confirmed at Caa2 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on
Mar 8, 2011 Downgraded to Ca (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-1
Cl. M-3, Upgraded to B2 (sf); previously on Feb
26, 2013 Upgraded to Caa2 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on
Feb 26, 2013 Upgraded to Baa3 (sf)
Issuer: RASC Series 2005-EMX4 Trust
Cl. M-1, Upgraded to Baa3 (sf); previously on
Mar 5, 2013 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Mar 5, 2013 Upgraded to Caa3 (sf)
Issuer: RASC Series 2007-KS1 Trust
Cl. A-2, Upgraded to B3 (sf); previously on Jul
15, 2011 Downgraded to Caa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB4
Cl. A-2B, Upgraded to B2 (sf); previously on
Mar 4, 2013 Upgraded to Caa2 (sf)
Issuer: RAMP Series 2004-RS2 Trust
Cl. A-I-4, Upgraded to Baa3 (sf); previously
on Apr 30, 2012 Reinstated to Ba2 (sf)
Cl. A-I-5, Upgraded to Baa2 (sf); previously
on Apr 30, 2012 Upgraded to Ba1 (sf)
Cl. M-I-1, Upgraded to B2 (sf); previously
on Apr 30, 2012 Upgraded to Caa2 (sf)
Cl. M-II-1, Upgraded to Ba1 (sf); previously
on Apr 30, 2012 Upgraded to Ba3 (sf)
Issuer: RAMP Series 2004-RS8 Trust
Cl. A-I-5, Upgraded to Baa2 (sf); previously
on Apr 17, 2012 Upgraded to Ba1 (sf)
Cl. A-I-6, Upgraded to Baa1 (sf); previously
on Apr 17, 2012 Upgraded to Baa3 (sf)
Cl. M-II-1, Upgraded to Ba3 (sf); previously
on Mar 30, 2011 Downgraded to B1 (sf)
Issuer: RAMP Series 2004-RZ3 Trust
Cl. A-I-4, Upgraded to Baa1 (sf); previously
on Apr 4, 2012 Confirmed at Ba1 (sf)
Cl. A-I-5, Upgraded to Baa3 (sf); previously
on Apr 4, 2012 Confirmed at Ba2 (sf)
Cl. A-I-6, Upgraded to Baa2 (sf); previously
on Apr 4, 2012 Confirmed at Ba1 (sf)
Cl. M-I-1, Upgraded to Ba3 (sf); previously
on Apr 4, 2012 Upgraded to B3 (sf)
Cl. M-I-2, Upgraded to Caa3 (sf); previously
on Apr 5, 2011 Downgraded to C (sf)
Issuer: RASC Series 2003-KS11 Trust
Cl. M-II-1, Upgraded to B2 (sf); previously
on Apr 9, 2012 Confirmed at Caa2 (sf)
Issuer: RASC Series 2005-KS3 Trust
Cl. M-4, Upgraded to Baa1 (sf); previously on
Mar 5, 2013 Upgraded to Ba1 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Mar
5, 2013 Upgraded to Caa1 (sf)
Cl. M-6, Upgraded to Caa2 (sf); previously on
Mar 5, 2013 Upgraded to Ca (sf)
Issuer: RASC Series 2005-KS4 Trust
Cl. M-2, Upgraded to Ba3 (sf); previously on
Mar 5, 2013 Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Mar 5, 2013 Upgraded to Caa3 (sf)
Issuer: RASC Series 2005-KS5 Trust
Cl. M-3, Upgraded to A2 (sf); previously on Mar
5, 2013 Upgraded to Baa1 (sf)
Cl. M-4, Upgraded to Baa2 (sf); previously on
Mar 5, 2013 Upgraded to Ba2 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Mar
5, 2013 Upgraded to Caa1 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on
Mar 5, 2013 Upgraded to Ca (sf)
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
upgrades are a result of improving performance of the related pools and/or
faster pay-down of the bonds due to high prepayments/faster liquidations.
The downgrades are a result of deteriorating performance and/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 November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 7.9% in October
2012 to 7.3% in October 2013. Moody's forecasts an
unemployment central range of 6.5% to 7.5%
for the 2014 year. Moody's expects house prices to continue to
rise in 2014. 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF347531
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:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF345728
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
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.
Siddharth Jain
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
Deepika Kothari
VP - Sr Credit Officer/Manager
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 $891 Million of Subprime RMBS issued by various issuers