New York, January 10, 2020 -- Moody's Investors Service (Moody's) has upgraded the ratings of
21 tranches from 10 RMBS transactions, backed by Subprime and Prime
loans.
The complete rating actions are as follows:
Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1
Cl. A-2, Upgraded to A2 (sf); previously on Apr
11, 2018 Upgraded to Baa2 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on
Apr 11, 2018 Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Baa2 (sf); previously on
Apr 11, 2018 Upgraded to Ba1 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2007-RFC1
Cl. A-2, Upgraded to B1 (sf); previously on Mar
27, 2018 Upgraded to Caa1 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on
Mar 27, 2018 Upgraded to Caa3 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on
Mar 27, 2018 Upgraded to Caa3 (sf)
Issuer: CSFB Home Equity Asset Trust 2006-1
Cl. M-2, Upgraded to Aaa (sf); previously on
May 31, 2018 Upgraded to Aa1 (sf)
Cl. M-3, Upgraded to Ba1 (sf); previously on
May 31, 2018 Upgraded to B2 (sf)
Issuer: CSFB Home Equity Asset Trust 2006-3
Cl. M-1, Upgraded to A1 (sf); previously on Nov
17, 2017 Upgraded to Baa1 (sf)
Issuer: CSFB Home Equity Asset Trust 2006-4
Cl. 1-A-1, Upgraded to Aa1 (sf); previously
on May 23, 2018 Upgraded to A1 (sf)
Cl. 2-A-4, Upgraded to A3 (sf); previously
on Jun 20, 2017 Upgraded to Baa2 (sf)
Issuer: CSFB Home Equity Pass-Through Certificates,
Series 2005-5
Cl. M-3, Upgraded to Aa2 (sf); previously on
Apr 9, 2018 Upgraded to A1 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on
Apr 9, 2018 Upgraded to B2 (sf)
Issuer: Sequoia Mortgage Trust 2004-4
Cl. B-1, Upgraded to B2 (sf); previously on Apr
27, 2017 Upgraded to Caa1 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC1
Cl. B-1, Upgraded to Caa2 (sf); previously on
Mar 4, 2011 Downgraded to C (sf)
Cl. M-3, Upgraded to B1 (sf); previously on May
5, 2017 Upgraded to B3 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust
Cl. M-2, Upgraded to Baa1 (sf); previously on
Dec 17, 2018 Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Dec
17, 2018 Upgraded to Caa1 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-3
Trust
Cl. A-2, Upgraded to Aaa (sf); previously on
Mar 5, 2019 Upgraded to Aa1 (sf)
Cl. A-3, Upgraded to Aaa (sf); previously on
Mar 5, 2019 Upgraded to Aa2 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on
Mar 5, 2019 Upgraded to Caa3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improved underlying collateral
performance and increased credit enhancement available to the bond.
Most of the bonds that have been upgraded in transactions have benefited
from the failure of performance triggers that divert principal payments
from subordinate bonds to the senior bonds. In addition,
higher levels of prepayment have deleveraged the upgraded tranches.
Both of these factors have accelerated the buildup of credit enhancement
for the upgraded bonds. The actions also reflect the recent performance
as well as Moody's updated loss expectations on the underlying pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in Februay 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 November 2019 from 3.7%
in November 2018. Moody's forecasts an unemployment central range
of 3.8% to 4.2% for the 2020 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 2020. Lower
increases than Moody's expects or decreases could lead to negative rating
actions.
A list of these actions including CUSIP identifiers and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF486379
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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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
AVP-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
Karandeep Bains
VP-Sr Credit Officer/Manager
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