New York, October 24, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of
30 tranches and downgraded the ratings of two tranches from 16 RMBS transactions,
backed by Subprime loans.
The complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed
Notes, Series 2005-2
Cl. M-6, Upgraded to Ba3 (sf); previously on
Jan 25, 2019 Upgraded to B2 (sf)
Cl. M-7, Upgraded to Caa1 (sf); previously on
Jan 25, 2019 Upgraded to Ca (sf)
Issuer: Accredited Mortgage Loan Trust 2005-3, Asset-Backed
Notes, Series 2005-3
Cl. M-5, Upgraded to Caa1 (sf); previously on
Feb 26, 2018 Upgraded to Caa3 (sf)
Issuer: Accredited Mortgage Loan Trust 2006-1
Cl. A-4, Upgraded to A3 (sf); previously on Mar
26, 2018 Upgraded to Baa3 (sf)
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. M-6, Downgraded to B1 (sf); previously on
Oct 16, 2018 Upgraded to Ba1 (sf)
Cl. M-7, Downgraded to B1 (sf); previously on
Oct 16, 2018 Upgraded to Ba1 (sf)
Issuer: Asset Backed Funding Corporation Asset-Backed Certificates,
Series 2006-OPT1
Cl. A-1, Upgraded to Aa2 (sf); previously on
Aug 29, 2018 Upgraded to A1 (sf)
Cl. A-3C1, Upgraded to A1 (sf); previously on
Aug 29, 2018 Upgraded to A3 (sf)
Cl. A-3C2, Upgraded to A1 (sf); previously on
Aug 29, 2018 Upgraded to A3 (sf)
Cl. A-3D, Upgraded to A2 (sf); previously on
Aug 29, 2018 Upgraded to Baa1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-NC1
Cl. A-1, Upgraded to Aa1 (sf); previously on
Aug 29, 2018 Upgraded to A1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-WFHE4
Cl. A-2C, Upgraded to Aa1 (sf); previously on
Dec 28, 2017 Upgraded to Aa2 (sf)
Cl. M-3A, Upgraded to Caa3 (sf); previously on
Mar 19, 2009 Downgraded to C (sf)
Cl. M-3B, Upgraded to Caa3 (sf); previously on
Mar 19, 2009 Downgraded to C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-15
Cl. M-3, Upgraded to Caa1 (sf); previously on
May 31, 2018 Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC5
Cl. M-5, Upgraded to Caa1 (sf); previously on
Jun 26, 2017 Upgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-18
Cl. 1-A, Upgraded to Ba1 (sf); previously on
Jan 15, 2019 Upgraded to Ba3 (sf)
Cl. 2-A-2, Upgraded to B1 (sf); previously
on Jan 15, 2019 Upgraded to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-25
Cl. 1-A, Upgraded to Caa2 (sf); previously on
Oct 17, 2016 Confirmed at Caa3 (sf)
Cl. 2-A-3, Upgraded to Baa1 (sf); previously
on Nov 20, 2018 Upgraded to Ba2 (sf)
Cl. 2-A-4, Upgraded to B1 (sf); previously
on Nov 20, 2018 Upgraded to B2 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-BC2
Cl. 2-A-3, Upgraded to Baa2 (sf); previously
on Jan 11, 2019 Upgraded to Ba3 (sf)
Cl. 2-A-4, Upgraded to Ba3 (sf); previously
on Jan 11, 2019 Upgraded to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-WMC1
Cl. A-1A, Upgraded to Ba3 (sf); previously on
Apr 19, 2018 Upgraded to B3 (sf)
Cl. A-1B, Currently Rated A3 (sf); previously
on Jul 5, 2016 Upgraded to A3 (sf)
Underlying Rating: Upgraded to Ba3 (sf); previously on Apr
19, 2018 Upgraded to B3 (sf)
Financial Guarantor: Assured Guaranty Corp (A3, Stable on
Aug 13, 2019)
Cl. A-2D, Upgraded to Caa1 (sf); previously on
Mar 4, 2011 Downgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE5
Cl. A-1, Upgraded to Ba1 (sf); previously on
Nov 27, 2018 Upgraded to Ba3 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC2
Cl. M-5, Upgraded to A2 (sf); previously on Jul
17, 2017 Upgraded to Baa3 (sf)
Cl. M-6, Upgraded to Caa3 (sf); previously on
Jul 19, 2010 Downgraded to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE7
Cl. A-1, Upgraded to Ba1 (sf); previously on
Jan 15, 2019 Upgraded to Ba3 (sf)
Cl. A-2B, Upgraded to Ba2 (sf); previously on
Jan 15, 2019 Upgraded to B1 (sf)
Cl. A-2C, Upgraded to Ba3 (sf); previously on
Jan 15, 2019 Upgraded to B3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to improved underlying collateral
performance and increased credit enhancement available to the bonds.
Bonds that have been upgraded in the transactions also benefit from failed
cumulative loss triggers that divert principal payments from subordinate
bonds to the most senior bond in the capital structure. 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 ratings downgrades are primarily due to the outstanding interest shortfalls
on the bonds that are not expected to be recouped. In the transaction's
waterfall structure, interest shortfalls are reimbursed from excess
interest only after the overcollateralization has built to a pre-specified
target amount. Due to the transaction's performance and its level
of overcollateralization, the shortfalls are unlikely to be reimbursed
and could be permanent. As of 9/25/19, the Class M-6
and Class M-7 have $8,160 and $11,071
in outstanding interest shortfall, respectively.
The principal methodology used in 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_SF484587
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
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