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Rating Action:

Moody's takes actions on $548.3 Million of Subprime RMBS Issued from 2005 to 2007

30 Oct 2019

New York, October 30, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of 19 tranches from seven RMBS transactions, backed by Subprime loans.

The complete rating actions are as follows:

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust, Series RFC 2007-HE1

Cl. A1A, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded to Ba1 (sf)

Cl. A1B, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded to Ba1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2005-13

Cl. MV-2, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded to Caa3 (sf)

Cl. AF-4, Upgraded to Caa2 (sf); previously on Oct 26, 2016 Confirmed at Caa3 (sf)

Cl. AF-5, Currently Rated Caa1 (sf); previously on Oct 26, 2016 Confirmed at Caa1 (sf)

Underlying Rating: Upgraded to Caa2 (sf); previously on Oct 26, 2016 Confirmed at Caa3 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 12, 2018.)

Issuer: CWABS Asset-Backed Certificates Trust 2005-16

Cl. MV-3, Upgraded to B3 (sf); previously on Jun 26, 2017 Upgraded to Caa3 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-13

Cl. MV-1, Upgraded to Caa3 (sf); previously on Jun 26, 2017 Upgraded to Ca (sf)

Cl. 2-AV, Upgraded to Aa2 (sf); previously on May 31, 2018 Upgraded to A1 (sf)

Cl. 3-AV-2, Upgraded to Aaa (sf); previously on May 31, 2018 Upgraded to A2 (sf)

Cl. 3-AV-3, Upgraded to A2 (sf); previously on May 31, 2018 Upgraded to Baa1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-5

Cl. 1-A, Upgraded to Aa3 (sf); previously on Jan 15, 2019 Upgraded to A3 (sf)

Cl. 2-A-3, Upgraded to Aa3 (sf); previously on May 31, 2018 Upgraded to A3 (sf)

Cl. M-1, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Upgraded to Ca (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2006-6

Cl. 1-A-1, Upgraded to Aa2 (sf); previously on Nov 20, 2018 Upgraded to A2 (sf)

Cl. 1-A-1M, Upgraded to Aa3 (sf); previously on Nov 20, 2018 Upgraded to A3 (sf)

Cl. 2-A-3, Upgraded to Aaa (sf); previously on Nov 20, 2018 Upgraded to Aa1 (sf)

Issuer: Morgan Stanley Capital I Inc. Trust 2006-NC2

Cl. A-1, Upgraded to Aaa (sf); previously on Mar 19, 2018 Upgraded to Aa3 (sf)

Cl. A-2d, Upgraded to A2 (sf); previously on Mar 19, 2018 Upgraded to Baa1 (sf)

Cl. M-1, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded to C (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to improved underlying collateral performance and increased credit enhancement available to the bond. Bonds that have been upgraded in the transactions have benefited from failed cumulative loss triggers that divert principal payments from subordinate bonds to the senior bonds. The cumulative loss triggers, in addition to higher levels of prepayment in some transactions, have accelerated the buildup of credit enhancement for the upgraded senior and mezzanine bonds. The actions also reflect Moody's updated loss expectations on the underlying pools.

The principal methodology used for these ratings was "US RMBS Surveillance Methodology" published in February 2019. 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. The unemployment rate fell to 3.5% in September 2019 from 3.7% in September 2018. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2019 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 2019. Lower increases than Moody's expects or decreases could lead to negative rating actions.

Finally, the performance of RMBS continues to remain highly dependent on servicer procedures. Any changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performance of these transactions.

A list of the actions including the CUSIP identifiers and the associated pool losses may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF484671

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, 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.

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.

Donald Lee
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

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

No Related Data.
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