New York, January 30, 2019 -- Moody's Investors Service (Moody's) has upgraded the ratings of
seven tranches from four Morgan Stanley subprime RMBS transactions.
Complete rating actions are as follows:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-HE1
Cl. M-2, Upgraded to B3 (sf); previously on Mar
15, 2011 Downgraded to Caa3 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr
10, 2012 Downgraded to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Cl. M-2, Upgraded to Ba3 (sf); previously on
Apr 11, 2018 Upgraded to B3 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-OP1
Cl. M-2, Upgraded to Ba1 (sf); previously on
Sep 17, 2013 Downgraded to Ba2 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on
Apr 29, 2015 Upgraded to B2 (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on
Apr 10, 2012 Downgraded to Ca (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-HE1
Cl. M-1, Upgraded to Baa3 (sf); previously on
Jul 11, 2016 Upgraded to Ba1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to a reduction in Moody's loss expectation
on the pools; and increase in total credit enhancement available
to the bonds. The underlying pools' performance has improved with
higher than expected prepayments and lower observed severities in certain
pools. The rating actions reflect recent performance and Moody's
updated loss expectations on the underlying pools.
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.
The above Credit Ratings were assigned in accordance with Moody's existing
Methodology entitled "US RMBS Surveillance Methodology," dated 1/31/2017.
Please note that on 11/14/2018, Moody's released a Request
for Comment, in which it has requested market feedback on potential
revisions to its Methodology for pre-2009 US RMBS Prime Jumbo,
Alt-A, Option ARM, Subprime, Scratch and Dent,
Second Lien and Manufactured Housing transactions. If the revised
Methodology is implemented as proposed, these Credit Ratings are
not expected to be affected. Please refer to Moody's Request
for Comment, titled "Proposed Update to US RMBS Surveillance Methodology,"
for further details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings." 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 3.9% in December 2018 from 4.1%
in December 2017. 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, 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_SF477780
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.
Mark Branton
Vice President - Senior 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