New York, December 17, 2018 -- Moody's Investors Service ("Moody's") has upgraded the ratings of 41 tranches
from 18 transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Soundview Home Loan Trust 2006-EQ1
Cl. A-4, Upgraded to Ba1 (sf); previously on
Jul 5, 2017 Upgraded to Ba3 (sf)
Issuer: Soundview Home Loan Trust 2006-OPT3
Cl. I-A-1, Upgraded to Aa2 (sf); previously
on May 18, 2017 Upgraded to A2 (sf)
Cl. II-A-3, Upgraded to Aa2 (sf); previously
on May 18, 2017 Upgraded to A2 (sf)
Cl. II-A-4, Upgraded to A1 (sf); previously
on May 18, 2017 Upgraded to Baa1 (sf)
Issuer: Soundview Home Loan Trust 2006-WF2
Cl. M-2, Upgraded to B3 (sf); previously on Jan
17, 2017 Upgraded to Caa3 (sf)
Issuer: Soundview Home Loan Trust 2007-1
Cl. I-A-1, Upgraded to Ba2 (sf); previously
on Mar 24, 2017 Upgraded to B3 (sf)
Cl. II-A-3, Upgraded to Baa2 (sf); previously
on Mar 24, 2017 Upgraded to Ba3 (sf)
Cl. II-A-4, Upgraded to Baa2 (sf); previously
on Mar 24, 2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-10
Cl. A1, Upgraded to Aaa (sf); previously on Nov 22,
2016 Upgraded to A1 (sf)
Cl. A2, Upgraded to Aaa (sf); previously on Nov 22,
2016 Upgraded to A2 (sf)
Cl. A6, Upgraded to Aaa (sf); previously on Nov 22,
2016 Upgraded to A1 (sf)
Cl. M1, Upgraded to B3 (sf); previously on Nov 22,
2016 Upgraded to Caa2 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-7
Cl. M1, Upgraded to Aaa (sf); previously on May 5,
2017 Upgraded to Aa1 (sf)
Cl. M2, Upgraded to Ba2 (sf); previously on May 5,
2017 Upgraded to B2 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-9
Cl. M1, Upgraded to Baa2 (sf); previously on Oct 2,
2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-BC6
Cl. A1, Upgraded to Baa2 (sf); previously on Dec 29,
2016 Upgraded to Ba2 (sf)
Cl. A4, Upgraded to A1 (sf); previously on Dec 29,
2016 Upgraded to Baa1 (sf)
Cl. A5, Upgraded to Ba1 (sf); previously on Dec 29,
2016 Upgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-EQ1
Cl. A1, Upgraded to A1 (sf); previously on Dec 29,
2016 Upgraded to Baa1 (sf)
Cl. A4, Upgraded to Aaa (sf); previously on Mar 10,
2016 Upgraded to Aa3 (sf)
Cl. A5, Upgraded to Baa1 (sf); previously on Dec 29,
2016 Upgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-OPT1
Cl. A1, Upgraded to Aa1 (sf); previously on May 18,
2017 Upgraded to A2 (sf)
Cl. A5, Upgraded to Aaa (sf); previously on May 18,
2017 Upgraded to A1 (sf)
Cl. A6, Upgraded to Aa1 (sf); previously on May 18,
2017 Upgraded to A2 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-WF2
Cl. A4, Upgraded to Aaa (sf); previously on May 5,
2017 Upgraded to Aa1 (sf)
Cl. M1, Upgraded to Aa3 (sf); previously on May 5,
2017 Upgraded to Baa3 (sf)
Cl. M2, Upgraded to Caa2 (sf); previously on May 5,
2017 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC4
Cl. A1, Upgraded to Ba1 (sf); previously on Dec 29,
2016 Upgraded to B2 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE
Cl. M-3, Upgraded to Aa3 (sf); previously on
Mar 6, 2018 Upgraded to A3 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on
Mar 6, 2018 Upgraded to Ba3 (sf)
Issuer: Washington Mutual Asset-Backed Certificates,
WMABS Series 2006-HE3 Trust
Cl. I-A, Upgraded to Caa1 (sf); previously on
Feb 27, 2018 Upgraded to Caa3 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-1
Trust
Cl. M-6, Upgraded to B1 (sf); previously on Feb
27, 2018 Upgraded to B2 (sf)
Cl. M-7, Upgraded to B1 (sf); previously on Feb
27, 2018 Upgraded to Caa2 (sf)
Cl. M-8, Upgraded to Caa1 (sf); previously on
Mar 14, 2013 Affirmed C (sf)
Cl. M-9, Upgraded to Ca (sf); previously on Mar
14, 2013 Affirmed C (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-3
Trust
Cl. M-7, Upgraded to B1 (sf); previously on Jun
20, 2017 Upgraded to B2 (sf)
Cl. M-8, Upgraded to Caa3 (sf); previously on
Mar 14, 2013 Affirmed C (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-2
Trust
Cl. M-1, Upgraded to Aaa (sf); previously on
Feb 27, 2018 Upgraded to A3 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on
Feb 27, 2018 Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Feb 27, 2018 Upgraded to Ca (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2007-2
Trust
Cl. A-3, Upgraded to B1 (sf); previously on Jun
20, 2017 Upgraded to B3 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
reflect Moody's updated loss expectations. The rating upgrades
are a result of the improving performance of the related pools and an
increase in the credit enhancement available to the tranches. Most
of the affected tranches currently benefit from a sequntial pay structure
as the transactions have failed their performance triggers. The
rating upgrades on Structured Asset Securities Corp Trust 2007-BC4
reflect the payments distributed to the transactions in September 2018
pursuant to a settlement between Lehman and certain RMBS investors.
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 Credit Ratings for above mentioned deals 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, the Credit
Ratings on above mentioned deals 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.
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 November 2018 from 4.1%
in November 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_SF476775
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.
Surbhi Khandelwal
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
Ola Hannoun-Costa
VP - Sr Credit Officer/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