New York, August 23, 2018 -- Moody's Investors Service has upgraded the ratings of 18 tranches from
eight transactions issued by various issuers in between 2000 and 2006.
Complete rating actions are as follows:
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-F
Cl. 6-A-1, Upgraded to Ba2 (sf); previously
on Apr 13, 2017 Upgraded to B2 (sf)
Cl. 6-A-2, Upgraded to B3 (sf); previously
on Apr 13, 2017 Upgraded to Caa3 (sf)
Issuer: Conseco Finance Home Equity Loan Trust 2001-C
Cl. B-1, Upgraded to Baa3 (sf); previously on
Jun 9, 2014 Upgraded to Ba1 (sf)
Cl. B-2, Upgraded to Ba1 (sf); previously on
Jan 23, 2017 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Aug
14, 2013 Upgraded to Baa2 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-6
Cl. M-1, Upgraded to Aa1 (sf); previously on
Dec 6, 2017 Upgraded to A1 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Dec
6, 2017 Upgraded to A3 (sf)
Cl. M-3, Upgraded to A3 (sf); previously on Dec
29, 2016 Upgraded to Baa3 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates,
Series 2003-2
Cl. 3-A, Upgraded to A3 (sf); previously on Dec
28, 2017 Upgraded to Baa3 (sf)
Issuer: DLJ ABS Trust Series 2000-7
Cl. A-1, Upgraded to A2 (sf); previously on Dec
6, 2017 Upgraded to Baa1 (sf)
Underlying Rating: Upgraded to A2 (sf); previously on Dec 6,
2017 Upgraded to Baa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Developing on Jan 17, 2018)
Cl. A-3, Upgraded to Baa2 (sf); previously on
Dec 6, 2017 Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Dec
6, 2017 Upgraded to Ba1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1
and Outlook Developing on Jan 17, 2018)
Cl. A-4, Upgraded to Baa2 (sf); previously on
Dec 6, 2017 Upgraded to Ba1 (sf)
Class M-1, Upgraded to Ba1 (sf); previously on Dec 6,
2017 Upgraded to B2 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on
Dec 6, 2017 Upgraded to B3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2004-S1
Cl. 2-A-X, Upgraded to B2 (sf); previously
on Dec 20, 2017 Downgraded to B3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE2
Cl. M-2, Upgraded to B1 (sf); previously on Dec
28, 2010 Upgraded to B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Jul 15, 2010 Downgraded to Ca (sf)
Issuer: Terwin Mortgage Trust 2006-7
Cl. I-A-1, Upgraded to Aa2 (sf); previously
on Jan 26, 2017 Upgraded to A3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools. The rating upgrades
are primarily due to total credit enhancement available to the bonds and
improvement in pool performance.
The principal methodology used in rating Conseco Finance Home Equity Loan
Trust 2001-C Cl. M-2, Cl. B-1,
and Cl. B-2; Credit Suisse First Boston Mortgage Securities
Corp. Series 2004-6 Cl. M-1, Cl.
M-2, and Cl. M-3; CWABS, Inc.
Asset-Backed Certificates, Series 2003-2 Cl.
3-A; DLJ ABS Trust Series 2000-7 Cl. A-1,
Cl. A-3, Cl. A-4, Class M-1,
and Cl. M-2; Banc of America Funding Corporation,
Mortgage Pass-Through Certificates, Series 2005-F
Cl. 6-A-1 and Cl. 6-A-2;
Morgan Stanley ABS Capital I Inc. Trust 2005-HE2 Cl.
M-2 and Cl. M-3; and Terwin Mortgage Trust 2006-7
Cl. I-A-1 was "US RMBS Surveillance Methodology"
published in January 2017. The methodologies used in rating J.P.
Morgan Mortgage Trust 2004-S1 Cl. 2-A-X were
"US RMBS Surveillance Methodology" published in January 2017 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in June 2017. Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
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 July 2018 from 4.3% in July
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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the reference bonds and/or pools.
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_SF474018
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
Soumya Vasudevan
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