New York, April 02, 2020 -- Moody's Investors Service (Moody's) has downgraded the ratings of six
tranches, from 2 RMBS transactions, backed by Subprime and
Option ARM loans.
The complete rating actions are as follows:
Issuer: Centex Home Equity Loan Trust 2004-D
Cl. MF-1, Downgraded to B3 (sf); previously on
Jun 17, 2016 Downgraded to B2 (sf)
Cl. MF-2, Downgraded to Caa1 (sf); previously
on May 18, 2017 Upgraded to B3 (sf)
Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates,
Series 2004-2
Cl. A-1, Downgraded to Ba3 (sf); previously on
Apr 19, 2012 Downgraded to Ba1 (sf)
Underlying Rating: Downgraded to Ba3 (sf); previously on Apr
19, 2012 Downgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-2, Downgraded to Ba3 (sf); previously on
Apr 19, 2012 Downgraded to Ba1 (sf)
Cl. A-NA, Downgraded to Ba3 (sf); previously
on Apr 19, 2012 Downgraded to Ba1 (sf)
Underlying Rating: Downgraded to Ba3 (sf); previously on Apr
19, 2012 Downgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 19, 2012 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating downgrades of Chevy Chase Funding LLC, Mortgage-Backed
Certificates, Series 2004-2 are due recent deterioration
in deal performance. The rating downgrades of Centex Home Equity
Loan Trust 2004-D/ Group I Home Equity Loans Cl. MF-1
and Cl. MF-2 reflect outstanding interest shortfalls that
are not expected to be recouped as the bonds have weak structural mechanisms
to reimburse accrued interest. The actions also reflect the recent
performance as well as Moody's updated loss expectations on the underlying
pools.
Our analysis has considered the increased uncertainty relating to the
effect of the coronavirus outbreak on the US economy as well as the effects
that the announced government measures put in place to contain the virus,
will have on the performance of residential real estate. We regard
the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
It is a global health shock, which makes it extremely difficult
to provide an economic assessment. The degree of uncertainty around
our forecasts is unusually high.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1127300.
Alternatively, 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. We
expect unemployment rate to rise to about 9% in the second quarter,
and decline thereafter with a slow pace of rehiring, resulting in
an unemployment rate of around 6.5% by the end of 2020.
However, there is significant uncertainty around this forecast and
risks are firmly to the downside. House prices are another key
driver of US RMBS performance. 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.
The full action including CUSIP identifier and the associated pool losses
may be found at:
Excel: https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL421872
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 in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating outcome
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
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.
Nicholas Rossetti
Asst Vice President - 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
VP-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