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Rating Action:

Moody's upgrades $226 Million of Subprime RMBS issued between 2003 and 2004

18 Nov 2016

New York, November 18, 2016 -- Moody's Investors Service has upgraded the ratings of 24 tranches from 8 transactions backed by Subprime RMBS loans.

Complete rating actions are as follows:

Issuer: ABSC Home Equity Loan Trust, Series 2003-HE3

Cl. M2, Upgraded to Caa1 (sf); previously on Jan 13, 2016 Upgraded to Caa3 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R7

Cl. A-1, Upgraded to Aaa (sf); previously on Jan 13, 2016 Upgraded to Aa2 (sf)

Underlying Rating: Upgraded to Aaa (sf); previously on Jan 13, 2016 Upgraded to Aa2 (sf)

Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at A2, Outlook Stable on August 8, 2016)

Cl. M-4, Upgraded to Ba3 (sf); previously on Jan 13, 2016 Upgraded to B3 (sf)

Cl. M-5, Upgraded to Ba3 (sf); previously on Jan 13, 2016 Upgraded to Caa1 (sf)

Cl. M-6, Upgraded to B3 (sf); previously on Mar 29, 2011 Downgraded to Ca (sf)

Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 29, 2011 Downgraded to Ca (sf)

Issuer: Citigroup Mortgage Loan Trust, Series 2004-CB3, C-Bass Mortgage Loan Asset-Backed Certificates

Cl. B-1, Upgraded to Ba3 (sf); previously on Mar 7, 2011 Downgraded to Ca (sf)

Cl. B-2, Upgraded to B2 (sf); previously on Mar 7, 2011 Downgraded to Ca (sf)

Cl. B-3, Upgraded to Caa1 (sf); previously on Mar 7, 2011 Downgraded to C (sf)

Cl. B-4, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded to C (sf)

Cl. M-2, Upgraded to Ba2 (sf); previously on Jan 21, 2016 Upgraded to Ba3 (sf)

Cl. M-3, Upgraded to Ba2 (sf); previously on Jan 21, 2016 Upgraded to Caa1 (sf)

Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-BC2

Cl. M-1, Upgraded to Ba1 (sf); previously on Feb 1, 2016 Upgraded to B3 (sf)

Issuer: First Franklin Mortgage Loan Trust 2004-FF7

Cl. M1, Upgraded to Baa1 (sf); previously on Jan 26, 2016 Upgraded to Baa3 (sf)

Issuer: GSAMP Trust 2004-HE2

Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 17, 2011 Downgraded to B3 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf)

Cl. M-4, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2004-OP2

Cl. B-1, Upgraded to Ca (sf); previously on Mar 3, 2014 Downgraded to C (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 20, 2016 Upgraded to B1 (sf)

Cl. M-2, Upgraded to Ba2 (sf); previously on Jan 20, 2016 Upgraded to Ca (sf)

Cl. M-3, Upgraded to B3 (sf); previously on Mar 3, 2014 Downgraded to C (sf)

Issuer: Structured Asset Investment Loan Trust 2004-8

Cl. M1, Upgraded to Baa1 (sf); previously on Apr 25, 2014 Upgraded to Ba1 (sf)

Cl. M2, Upgraded to Ba2 (sf); previously on Apr 25, 2014 Upgraded to B2 (sf)

Cl. M3, Upgraded to B2 (sf); previously on Apr 25, 2014 Upgraded to Caa2 (sf)

RATINGS RATIONALE

The ratings upgraded are primarily due to the total credit enhancement available to the bonds. The rating 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 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 4.9% in October 2016 from 5.0% in October 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_SF442859

A list of updated estimated transaction pool losses are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198689

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: 212-553-0376
SUBSCRIBERS: 212-553-1653

Mark Branton
Vice President - Senior 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

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.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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