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Rating Action:

Moody's upgrades $1.1 Billion of Subprime RMBS issued by various trusts

17 Jun 2014

New York, June 17, 2014 -- Moody's Investors Service has upgraded the ratings of 36 tranches from 16 transactions backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4

Cl. M-4, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf)

Cl. M-5, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf)

Issuer: Carrington Mortgage Loan Trust Series 2006-FRE1

Cl. A-2, Upgraded to Ba3 (sf); previously on Jul 15, 2011 Downgraded to B2 (sf)

Issuer: Carrington Mortgage Loan Trust, Series 2007-HE1

Cl. A-1, Upgraded to Ba1 (sf); previously on Apr 29, 2010 Downgraded to Ba3 (sf)

Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 29, 2010 Downgraded to Caa2 (sf)

Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf)

Cl. A-4, Upgraded to Caa2 (sf); previously on Apr 29, 2010 Downgraded to Caa3 (sf)

Issuer: Citicorp Residential Mortgage Trust Series 2006-1

Cl. A-4, Upgraded to Ba2 (sf); previously on Jun 1, 2010 Downgraded to B1 (sf)

Cl. A-5, Upgraded to B2 (sf); previously on Jun 1, 2010 Downgraded to Caa1 (sf)

Cl. A-6, Upgraded to Ba3 (sf); previously on Jun 1, 2010 Downgraded to B2 (sf)

Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 1, 2010 Downgraded to C (sf)

Issuer: Citicorp Residential Mortgage Trust Series 2007-2

Cl. A-3, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Downgraded to B2 (sf)

Cl. A-4, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Confirmed at Caa2 (sf)

Cl. A-5, Upgraded to Caa3 (sf); previously on Aug 20, 2012 Confirmed at Ca (sf)

Cl. A-6, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Confirmed at Caa2 (sf)

Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT4

Cl. M-4, Upgraded to B1 (sf); previously on Feb 26, 2013 Affirmed Caa1 (sf)

Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013 Affirmed Ca (sf)

Issuer: EquiFirst Loan Securitization Trust 2007-1

Cl. A-2A, Upgraded to B2 (sf); previously on Dec 13, 2011 Downgraded to Caa1 (sf)

Issuer: Fremont Home Loan Trust 2005-1

Cl. M-5, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf)

Issuer: HSI Asset Securitization Corporation Trust 2006-OPT1

Cl. II-A-3, Upgraded to Baa3 (sf); previously on Jul 18, 2011 Downgraded to Ba2 (sf)

Cl. II-A-4, Upgraded to Ba1 (sf); previously on Sep 14, 2012 Confirmed at Ba3 (sf)

Cl. M-1, Upgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to Caa2 (sf)

Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-A

Cl. M-5, Upgraded to B1 (sf); previously on Dec 19, 2013 Upgraded to Caa1 (sf)

Cl. M-6, Upgraded to Ca (sf); previously on Feb 26, 2013 Affirmed C (sf)

Issuer: IXIS Real Estate Capital Trust 2005-HE2

Cl. M-4, Upgraded to B3 (sf); previously on Feb 28, 2013 Confirmed at Caa1 (sf)

Issuer: Nomura Home Equity Loan Trust 2005-FM1

Cl. M-2, Upgraded to B1 (sf); previously on Aug 13, 2010 Downgraded to B2 (sf)

Cl. M-3, Upgraded to Ca (sf); previously on Aug 13, 2010 Downgraded to C (sf)

Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ3

Cl. M-3, Upgraded to Ba1 (sf); previously on Feb 28, 2013 Upgraded to Ba3 (sf)

Cl. M-4, Upgraded to B2 (sf); previously on Feb 28, 2013 Affirmed Caa2 (sf)

Cl. M-5, Upgraded to Ca (sf); previously on Feb 28, 2013 Affirmed C (sf)

Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WLL1

Cl. M-4, Upgraded to B3 (sf); previously on Oct 29, 2013 Upgraded to Caa2 (sf)

Cl. M-5, Upgraded to Caa3 (sf); previously on Mar 6, 2013 Affirmed C (sf)

Issuer: Popular ABS Mortgage Pass-Through Trust 2005-2

Cl. AV-2, Upgraded to Baa1 (sf); previously on Oct 12, 2012 Confirmed at Baa2 (sf)

Cl. AV-1B, Upgraded to Baa3 (sf); previously on Oct 12, 2012 Confirmed at Ba2 (sf)

Cl. M-1, Upgraded to B1 (sf); previously on Sep 26, 2013 Upgraded to B3 (sf)

Issuer: Popular ABS Mortgage Pass-Through Trust 2005-C

Cl. M-2, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The upgrades are a result of improving performance of the related pools and/or faster pay-down of the bonds due to high prepayments/faster liquidations.

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 6.3% in May 2014 from 7.5% in May 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 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 2014. 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_SF371070

A list of updated estimated pool losses and bond recoveries 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_SF345728

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.

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

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.

As the section on loss and cash flow analysis describes, 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.

Edwin Wang
Associate 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

Deepika Kothari
VP - Sr Credit Officer/Manager
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 upgrades $1.1 Billion of Subprime RMBS issued by various trusts
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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