New York, October 16, 2018 -- Moody's Investors Service ("Moody's") has upgraded the ratings of 32 tranches
from 14 transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. M-5, Upgraded to Ba1 (sf); previously on
Feb 3, 2017 Upgraded to Ba3 (sf)
Cl. M-6, Upgraded to Ba1 (sf); previously on
Jan 26, 2018 Upgraded to Ba3 (sf)
Cl. M-7, Upgraded to Ba1 (sf); previously on
Jan 26, 2018 Upgraded to B1 (sf)
Cl. M-8, Upgraded to B1 (sf); previously on Jan
26, 2018 Upgraded to Caa1 (sf)
Cl. M-9, Upgraded to Caa2 (sf); previously on
Jan 26, 2018 Upgraded to Ca (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series
2005-R5
Cl. M-5, Upgraded to B1 (sf); previously on Mar
10, 2016 Upgraded to Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF12
Cl. M-1, Upgraded to Aa2 (sf); previously on
Jan 31, 2018 Upgraded to A3 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on
Aug 18, 2016 Upgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH3
Cl. M-2, Upgraded to Ba1 (sf); previously on
Nov 19, 2014 Upgraded to Ba2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Jan
5, 2018 Upgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH4
Cl. M-1, Upgraded to Ba1 (sf); previously on
Nov 19, 2014 Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Jan 5, 2018 Upgraded to Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF10
Cl. A1, Upgraded to B1 (sf); previously on Feb 24,
2017 Upgraded to Caa1 (sf)
Cl. A4, Upgraded to Aaa (sf); previously on Feb 24,
2017 Upgraded to Aa2 (sf)
Cl. A5, Upgraded to Ba2 (sf); previously on Feb 24,
2017 Upgraded to B3 (sf)
Cl. A7, Upgraded to Aaa (sf); previously on Feb 24,
2017 Upgraded to Aa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF11
Cl. I-A-1, Upgraded to Baa3 (sf); previously
on Jan 5, 2018 Upgraded to Ba3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF14
Cl. A5, Upgraded to Baa2 (sf); previously on Jan 30,
2018 Upgraded to Ba1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF4
Cl. A-2, Upgraded to Aa1 (sf); previously on
Jan 5, 2018 Upgraded to A3 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Jan
5, 2018 Upgraded to Baa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF5
Cl. I-A, Upgraded to Aaa (sf); previously on
Jan 5, 2018 Upgraded to A1 (sf)
Cl. II-A-3, Upgraded to Baa3 (sf); previously
on Jan 5, 2018 Upgraded to Ba1 (sf)
Cl. II-A-4, Upgraded to Ba1 (sf); previously
on Jan 5, 2018 Upgraded to B1 (sf)
Cl. II-A-5, Upgraded to Baa3 (sf); previously
on Jan 5, 2018 Upgraded to Ba1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF6
Cl. A-4, Upgraded to Baa1 (sf); previously on
Jan 5, 2018 Upgraded to B1 (sf)
Issuer: GSAA Home Equity Trust 2006-2
Cl. 1A1, Upgraded to Aaa (sf); previously on Feb 17,
2017 Upgraded to A2 (sf)
Cl. 1A2, Upgraded to Baa1 (sf); previously on Jan 26,
2018 Upgraded to Ba2 (sf)
Cl. 2A4, Upgraded to A1 (sf); previously on Jan 26,
2018 Upgraded to Baa1 (sf)
Cl. 2A5, Upgraded to Baa2 (sf); previously on Jan 26,
2018 Upgraded to Ba3 (sf)
Issuer: MASTR Asset Backed Securities Trust 2007-HE1
Cl. A-4, Upgraded to Caa1 (sf); previously on
Jan 30, 2018 Upgraded to Caa2 (sf)
Issuer: Newcastle Mortgage Securities Trust 2007-1
Cl. 1-A-1, Upgraded to Ba1 (sf); previously
on Jan 30, 2018 Upgraded to B1 (sf)
Cl. 2-A-2, Upgraded to A2 (sf); previously
on Jan 30, 2018 Upgraded to Baa3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
reflect Moody's updated loss expectations on the pools. The rating
upgrades are a result of the improving performance of the related pools
and an increase in credit enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. 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 3.7% in September 2018 from 4.2%
in September 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. 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 and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF475171
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 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 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.
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: 1 212 553 0376
Client Service: 1 212 553 1653
Soumya Vasudevan
VP-Senior Analyst
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