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Rating Action:

Moody's upgrades $220 Million of Subprime RMBS issued from 2003 to 2004

08 Feb 2016

New York, February 08, 2016 -- Moody's Investors Service has upgraded the ratings of 30 tranches from 11 deals issued by various issuers, backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Accredited Mortgage Loan Trust 2004-1, Asset-Backed Notes, Series 2004-1

Cl. A-1, Upgraded to B1 (sf); previously on Sep 12, 2013 Confirmed at B2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Issuer: Argent Securities Inc., Series 2003-W7

Cl. M-2, Upgraded to B1 (sf); previously on Jul 2, 2014 Upgraded to Caa1 (sf)

Cl. M-3, Upgraded to B3 (sf); previously on Apr 13, 2012 Downgraded to C (sf)

Cl. M-3B, Upgraded to B3 (sf); previously on Apr 13, 2012 Downgraded to C (sf)

Cl. M-4B, Upgraded to Caa1 (sf); previously on Apr 13, 2012 Downgraded to C (sf)

Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2004-HE2

Cl. M2, Upgraded to B2 (sf); previously on Mar 11, 2011 Downgraded to Caa3 (sf)

Cl. M3, Upgraded to Caa3 (sf); previously on Mar 11, 2011 Downgraded to Ca (sf)

Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2004-1

Cl. M-1, Upgraded to Ba1 (sf); previously on Jul 28, 2014 Upgraded to Ba3 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Ca (sf)

Issuer: Long Beach Mortgage Loan Trust 2003-2

Cl. M-1, Upgraded to B3 (sf); previously on Mar 8, 2011 Downgraded to Caa1 (sf)

Issuer: RAMP Series 2003-RS3 Trust

Cl. A-II, Upgraded to B1 (sf); previously on Mar 30, 2011 Downgraded to Caa2 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Issuer: RAMP Series 2003-RZ1 Trust

Cl. A-I-5, Upgraded to Baa1 (sf); previously on Sep 3, 2014 Upgraded to Ba1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-I-6, Upgraded to Baa1 (sf); previously on Sep 3, 2014 Upgraded to Ba1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-I-7, Upgraded to Baa1 (sf); previously on Sep 3, 2014 Upgraded to Ba1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-II, Upgraded to Baa1 (sf); previously on Sep 3, 2014 Upgraded to Ba1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Issuer: RAMP Series 2003-RZ3 Trust

Cl. A-5-A, Upgraded to A1 (sf); previously on Sep 3, 2013 Upgraded to A3 (sf)

Cl. A-5-B, Upgraded to A1 (sf); previously on Sep 3, 2013 Upgraded to A3 (sf)

Underlying Rating: Upgraded to A1 (sf); previously on Sep 3, 2013 Upgraded to A3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-6, Upgraded to A1 (sf); previously on Sep 3, 2013 Upgraded to A3 (sf)

Cl. M-1, Upgraded to Baa3 (sf); previously on Sep 3, 2013 Upgraded to Ba2 (sf)

Cl. M-2, Upgraded to B3 (sf); previously on Jul 21, 2014 Upgraded to Caa1 (sf)

Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 30, 2011 Downgraded to Ca (sf)

Issuer: RAMP Series 2003-RZ4 Trust

Cl. A-6, Upgraded to A1 (sf); previously on Aug 20, 2013 Confirmed at Baa1 (sf)

Underlying Rating: Upgraded to A1 (sf); previously on Aug 20, 2013 Confirmed at Baa1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-7, Upgraded to A1 (sf); previously on Aug 20, 2013 Confirmed at A3 (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 20, 2013 Confirmed at B2 (sf)

Issuer: Saxon Asset Securities Trust 2003-2

Cl. AF-5, Upgraded to A1 (sf); previously on Mar 10, 2011 Downgraded to Baa1 (sf)

Cl. AF-6, Upgraded to A1 (sf); previously on Mar 10, 2011 Downgraded to A3 (sf)

Cl. M-1, Upgraded to Ba2 (sf); previously on Jun 26, 2014 Upgraded to B1 (sf)

Cl. M-2, Upgraded to Caa2 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf)

Issuer: Structured Asset Investment Loan Trust 2003-BC8

Cl. 3-A-2, Upgraded to A1 (sf); previously on Mar 4, 2011 Downgraded to A2 (sf)

Underlying Rating: Upgraded to A1 (sf); previously on Mar 4, 2011 Downgraded to A2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3, Outlook Placed on Review for Possible Downgrade on Jan 19, 2016)

Cl. 3-A-3, Upgraded to A2 (sf); previously on Mar 4, 2011 Downgraded to A3 (sf)

RATINGS RATIONALE

The upgrades are a result of improving performance of the related pools and/or build-up in credit enhancement of the tranches. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Ratings Methodologies 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 4.9% in January 2016 from 5.7% in January 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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_SF426474

A list of updated estimated pool losses and 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

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.

Eric Jackling
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

Mark Branton
Asst Vice President - Analyst
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 $220 Million of Subprime RMBS issued from 2003 to 2004
No Related Data.
© 2022 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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