NOTE: On June 5, 2018, the List of Affected Credit Ratings accessible via hyperlink from this press release was corrected to remove the information on Debt ID 807913889.
New York, May 09, 2018 -- Moody's Investors Service has upgraded the ratings of 44 tranches and
downgraded the rating of two tranches from 19 transactions issued by various
issuers.
Complete rating actions are as follows:
Issuer: Nomura Home Equity Loan Trust 2006-HE1
Cl. M-1, Upgraded to Aa1 (sf); previously on
Aug 30, 2016 Upgraded to A1 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Aug 30, 2016 Upgraded to Ca (sf)
Issuer: Option One Mortgage Loan Trust 2002-3
Cl. A-1, Upgraded to A2 (sf); previously on Feb
18, 2016 Upgraded to Baa2 (sf)
Cl. A-2, Upgraded to A2 (sf); previously on Feb
18, 2016 Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on
Feb 18, 2016 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Feb
18, 2016 Upgraded to Caa2 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on
Mar 18, 2011 Downgraded to C (sf)
Issuer: RAMP Series 2002-RS2 Trust
Cl. A-I-5, Downgraded to B3 (sf); previously
on Jun 12, 2015 Upgraded to B1 (sf)
Issuer: Saxon Asset Securities Trust 2001-1
Cl. BV-1, Upgraded to A3 (sf); previously on
Jul 11, 2017 Upgraded to Ba1 (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1
Cl. A-1, Downgraded to B3 (sf); previously on
Dec 29, 2016 Upgraded to Ba3 (sf)
Issuer: Speciality Underwriting and Residential Finance 2005-AB3
Cl. A-1A, Upgraded to Aaa (sf); previously on
Aug 30, 2016 Upgraded to Aa3 (sf)
Cl. A-2C, Upgraded to Aaa (sf); previously on
Aug 30, 2016 Upgraded to Aa2 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC3
Cl. M-1, Upgraded to Baa1 (sf); previously on
Feb 10, 2016 Upgraded to Ba1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Feb
10, 2016 Upgraded to Caa1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Apr 9, 2012 Downgraded to C (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on
Mar 4, 2011 Downgraded to C (sf)
Cl. B-2, Upgraded to Ca (sf); previously on Mar
4, 2011 Downgraded to C (sf)
Issuer: Structured Asset Securities Corp 2003-BC2
Cl. M-3, Upgraded to A3 (sf); previously on Feb
10, 2016 Upgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp 2006-W1
Cl. A1, Upgraded to B2 (sf); previously on Dec 29,
2016 Upgraded to Caa1 (sf)
Cl. A4, Upgraded to A2 (sf); previously on Aug 8,
2017 Upgraded to Baa2 (sf)
Cl. A5, Upgraded to Caa3 (sf); previously on Aug 8,
2017 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC1
Cl. A1, Upgraded to A1 (sf); previously on Dec 29,
2016 Upgraded to Baa3 (sf)
Cl. A5, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to A3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-NC1
Cl. A1, Upgraded to Caa1 (sf); previously on Dec 29,
2016 Upgraded to Caa2 (sf)
Cl. A4, Upgraded to A1 (sf); previously on Dec 29,
2016 Upgraded to Baa1 (sf)
Cl. A5, Upgraded to Ca (sf); previously on Apr 12,
2010 Downgraded to C (sf)
Cl. A7, Upgraded to Caa1 (sf); previously on Dec 29,
2016 Upgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF1
Cl. M1, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to Aa1 (sf)
Cl. M2, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to A1 (sf)
Cl. M3, Upgraded to Aa2 (sf); previously on Dec 29,
2016 Upgraded to A3 (sf)
Cl. M4, Upgraded to Baa1 (sf); previously on Dec 29,
2016 Upgraded to Baa3 (sf)
Cl. M5, Upgraded to Ba3 (sf); previously on Aug 8,
2017 Upgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF3
Cl. A1, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to Aa2 (sf)
Cl. A4, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to Aa3 (sf)
Cl. A5, Upgraded to Aaa (sf); previously on Dec 29,
2016 Upgraded to Aa2 (sf)
Cl. M1, Upgraded to A1 (sf); previously on Dec 29,
2016 Upgraded to Baa2 (sf)
Cl. M2, Upgraded to Caa3 (sf); previously on Apr 12,
2010 Downgraded to C (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC1
Cl. A4, Upgraded to A2 (sf); previously on Dec 29,
2016 Upgraded to Baa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC3
Cl. 1-A2, Upgraded to Aaa (sf); previously on
Dec 29, 2016 Upgraded to Aa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A4, Upgraded to Baa2 (sf); previously on Aug 8,
2017 Upgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp., Mortgage
Pass-Through Certificates, Series 2007-WF2
Cl. A-1, Upgraded to A1 (sf); previously on Dec
29, 2016 Upgraded to Baa1 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Dec
29, 2016 Upgraded to Baa3 (sf)
Cl. A-4, Upgraded to Ba1 (sf); previously on
Aug 8, 2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A4, Upgraded to Baa1 (sf); previously on Aug 8,
2017 Upgraded to Ba1 (sf)
Cl. A5, Upgraded to Caa2 (sf); previously on Dec 29,
2016 Upgraded to Caa3 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2004-1HE
Cl. M-1, Upgraded to A1 (sf); previously on Aug
8, 2017 Upgraded to A3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement available
to the bonds. The downgrades are due to the weaker performance
of the underlying collateral and/or the erosion of enhancement available
to the bonds. The actions further reflect the recent performance
of the underlying pools and Moody's updated 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 3.9% in April 2018 from 4.4% in April
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_SF471232
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.
Surbhi Khandelwal
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