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