New York, September 28, 2015 -- Moody's Investors Service has upgraded the ratings of 31 tranches from
10 RMBS transactions backed by second lien mortgage loans.
Complete rating action is as follows:
Issuer: CSFB Home Equity Mortgage Trust 2005-4
Cl. M-1, Upgraded to Caa1 (sf); previously on
Jun 30, 2010 Confirmed at Ca (sf)
Issuer: CWABS Master Trust, Series 2003-E
Notes, Upgraded to B2 (sf); previously on Jun 10, 2010
Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: CWHEQ Revolving Home Equity Loan Trust, 2007-G
Cl. A, Upgraded to A3 (sf); previously on Jul 31,
2015 Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jul
31, 2015 Upgraded to B2 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Jul
31, 2015 Upgraded to B3 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Jul
31, 2015 Upgraded to Caa2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Jul
31, 2015 Upgraded to Caa3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Jul
31, 2015 Upgraded to Ca (sf)
Cl. M-6, Upgraded to B3 (sf); previously on Jul
31, 2015 Upgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2002-FFA
Cl. M-1, Upgraded to Baa3 (sf); previously on
Oct 20, 2010 Downgraded to Ba3 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Oct
20, 2010 Downgraded to C (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on
Dec 22, 2008 Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFB
Cl. M-4, Upgraded to Baa3 (sf); previously on
Dec 22, 2014 Upgraded to B1 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on
Dec 22, 2014 Upgraded to Caa1 (sf)
Cl. B, Upgraded to Caa3 (sf); previously on Oct 20,
2010 Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FFC
Cl. B-1, Upgraded to A3 (sf); previously on Oct
20, 2010 Confirmed at Baa3 (sf)
Cl. B-3, Upgraded to B2 (sf); previously on Oct
20, 2010 Downgraded to Caa3 (sf)
Issuer: Home Equity Mortgage Trust 2004-2
Cl. M-2, Upgraded to Baa2 (sf); previously on
Jun 30, 2010 Downgraded to Ba2 (sf)
Cl. B-1, Upgraded to Ba1 (sf); previously on
Jun 30, 2010 Downgraded to B2 (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on
Jun 30, 2010 Downgraded to C (sf)
Issuer: Home Equity Mortgage Trust 2004-4
Cl. M-6, Upgraded to Caa3 (sf); previously on
Jun 30, 2010 Downgraded to C (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on
Nov 26, 2014 Upgraded to B1 (sf)
Cl. M-3, Upgraded to Baa3 (sf); previously on
Nov 26, 2014 Upgraded to Ba3 (sf)
Cl. M-5, Upgraded to Ba3 (sf); previously on
Nov 26, 2014 Upgraded to Caa1 (sf)
Issuer: RFMSII Home Loan Trust 2007-HI1
Cl. A-3, Upgraded to Baa3 (sf); previously on
Apr 21, 2010 Downgraded to B2 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Apr
21, 2010 Downgraded to B2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Structured Asset Securities Corp Trust 2004-S3
Cl. M1, Upgraded to A3 (sf); previously on Jul 6,
2010 Downgraded to Ba1 (sf)
Cl. M2, Upgraded to Baa1 (sf); previously on Jul 6,
2010 Downgraded to Ba3 (sf)
Cl. M3, Upgraded to Baa3 (sf); previously on Oct 30,
2014 Upgraded to B1 (sf)
Cl. M4, Upgraded to Ba1 (sf); previously on Oct 30,
2014 Upgraded to Caa1 (sf)
Cl. M5, Upgraded to B2 (sf); previously on Dec 22,
2008 Downgraded to C (sf)
Cl. M6, Upgraded to Caa2 (sf); previously on Dec 22,
2008 Downgraded to C (sf)
RATINGS RATIONALE
The rating action is a result of the recent performance of the pools and
reflect Moody's updated loss expectations on the pools. The ratings
upgraded are primarily due to the build-up in credit enhancement
on the bonds and stable performance of the underlying collateral.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
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 5.1% in August 2015 from 6.1%
in August 2014. Moody's forecasts an unemployment central range
of 5% to 6% for the 2015 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 2015. 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF418293
A list of updated estimated pool losses is being posted on an ongoing
basis for the duration of this review period and may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF256364
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 relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the 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 or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Max Sauray
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Youriy Koudinov
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's upgraded $164.1 million of RMBS backed by second-lien loans