New York, June 26, 2017 -- Moody's Investors Service has upgraded the ratings of 29 tranches from
17 transactions backed by second-lien RMBS loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Second Lien Trust 2007-SV1
Cl. A-2, Upgraded to Baa1 (sf); previously on
Aug 18, 2016 Upgraded to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug
18, 2016 Upgraded to Baa3 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. A-3, Upgraded to Baa1 (sf); previously on
Aug 18, 2016 Upgraded to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug
18, 2016 Upgraded to Baa3 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. M-1, Upgraded to Caa2 (sf); previously on
Aug 18, 2016 Upgraded to Ca (sf)
Issuer: CSFB Home Equity Pass-Through Certificates,
Series 2004-6
Cl. M-2, Upgraded to Ba2 (sf); previously on
Dec 16, 2010 Downgraded to B1 (sf)
Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed
Notes, Series 2004-A
Notes, Upgraded to Ba2 (sf); previously on Oct 23, 2015
Upgraded to B2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: First Franklin Mortgage Loan Trust 2004-FFA
Cl. M3-A, Upgraded to Baa2 (sf); previously on
Aug 18, 2016 Upgraded to Ba1 (sf)
Cl. M3-F, Upgraded to Baa2 (sf); previously on
Aug 18, 2016 Upgraded to Ba1 (sf)
Issuer: GMACM Home Equity Loan Trust 2002-HE4
Cl. A-2, Upgraded to A3 (sf); previously on Aug
16, 2016 Upgraded to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16,
2016 Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: GMACM Home Equity Loan Trust 2003-HE2
Cl. A-4, Upgraded to A3 (sf); previously on Aug
16, 2016 Upgraded to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16,
2016 Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-5, Upgraded to A3 (sf); previously on Aug
16, 2016 Upgraded to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Aug 16,
2016 Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: GMACM Home Equity Loan Trust 2007-HE3
Cl. I-A-1, Upgraded to Ba1 (sf); previously
on Aug 25, 2016 Upgraded to Ba3 (sf)
Cl. I-A-2, Upgraded to Ba2 (sf); previously
on Aug 25, 2016 Upgraded to B2 (sf)
Issuer: GMACM Home Equity Loan-Backed Term Notes, Series
2001-HE2
Cl. I-A-2, Upgraded to B2 (sf); previously
on May 21, 2010 Downgraded to Caa2 (sf)
Underlying Rating: Upgraded to B2 (sf); previously on May 21,
2010 Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Irwin Home Equity Loan Trust 2002-1
Cl. IIB-1, Upgraded to Baa1 (sf); previously
on Aug 16, 2016 Upgraded to Baa2 (sf)
Cl. IIM-1, Upgraded to A1 (sf); previously on
Aug 16, 2016 Upgraded to A3 (sf)
Cl. IIM-2, Upgraded to A3 (sf); previously on
Aug 16, 2016 Upgraded to Baa1 (sf)
Issuer: Irwin Home Equity Loan Trust 2006-2
Cl. IIA-2, Upgraded to Baa3 (sf); previously
on Aug 8, 2016 Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Irwin Whole Loan Home Equity Trust 2005-C
Cl. 1B-1, Upgraded to Ba1 (sf); previously on
Oct 6, 2015 Upgraded to Ba3 (sf)
Cl. 1B-2, Upgraded to Ba3 (sf); previously on
Oct 6, 2015 Upgraded to B2 (sf)
Cl. 1M-3, Upgraded to A3 (sf); previously on
Feb 24, 2015 Upgraded to Baa2 (sf)
Cl. 1M-4, Upgraded to Baa2 (sf); previously on
Feb 24, 2015 Upgraded to Ba1 (sf)
Issuer: Lehman ABS Corporation Home Equity Loan Asset-Backed
Notes, Series 2005-1
Cl. A, Upgraded to Baa1 (sf); previously on Aug 8,
2016 Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Aug
8, 2016 Upgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Insured Rating
Withdrawn Apr 07, 2011)
Issuer: Terwin Mortgage Trust 2004-10SL
Cl. B-1, Upgraded to Baa3 (sf); previously on
Oct 19, 2015 Upgraded to Ba2 (sf)
Cl. B-2, Upgraded to B2 (sf); previously on Oct
19, 2015 Upgraded to Caa1 (sf)
Issuer: Terwin Mortgage Trust 2004-6SL
Cl. B-1, Upgraded to Baa3 (sf); previously on
Oct 20, 2015 Upgraded to Ba2 (sf)
Cl. B-2, Upgraded to Ba3 (sf); previously on
Oct 20, 2015 Upgraded to B2 (sf)
Issuer: Terwin Mortgage Trust 2005-1SL
Cl. M-2, Upgraded to Baa1 (sf); previously on
Oct 20, 2015 Upgraded to Baa3 (sf)
Issuer: Terwin Mortgage Trust 2005-3SL
Cl. M-1, Upgraded to Baa1 (sf); previously on
Oct 19, 2015 Upgraded to Baa3 (sf)
Issuer: Terwin Mortgage Trust 2005-7SL
Cl. M-1, Upgraded to Ba2 (sf); previously on
Oct 20, 2015 Upgraded to B2 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on these pools. The tranches
upgraded are primarily due to the build-up 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 4.3% in May 2017 from 4.7%
in May 2016. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2017 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 2017. 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_SF454697
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.
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.
Xinyang Tian
Associate 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
Eric Fellows
Senior Vice President/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