New York, December 12, 2017 -- Moody's Investors Service has upgraded the ratings of 20 tranches issued
in 10 CWABS and CWHEQ transactions. The underlying securities'
collateral consists primarily of second lien home equity lines of credit
(HELOCs).
Complete rating actions are as follows:
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-E
Cl. 1-A, Upgraded to B2 (sf); previously on Jun
10, 2010 Downgraded to Caa2 (sf)
Cl. 2-A, Upgraded to Ba3 (sf); previously on
Jan 11, 2017 Upgraded to B3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-F
Cl. 1-A, Upgraded to B3 (sf); previously on Jun
10, 2010 Downgraded to Caa2 (sf)
Cl. 2-A, Upgraded to B1 (sf); previously on Jan
11, 2017 Upgraded to Caa1 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-K
Cl. 1-A, Upgraded to Caa1 (sf); previously on
Jun 10, 2010 Downgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Ba3 (sf); previously on
Jan 11, 2017 Upgraded to B3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-L
Cl. 1-A, Upgraded to Ba3 (sf); previously on
Jan 11, 2017 Upgraded to B3 (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Jun 10, 2010 Downgraded to Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-M
Cl. 1-A, Upgraded to Ba3 (sf); previously on
Jul 29, 2016 Upgraded to B3 (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Jun 10, 2010 Confirmed at Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-N
Cl. 1-A, Upgraded to Caa1 (sf); previously on
Jun 10, 2010 Downgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Caa1 (sf); previously on
Jun 10, 2010 Downgraded to Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R
Cl. 1-A, Upgraded to Caa1 (sf); previously on
Nov 8, 2012 Confirmed at Ca (sf)
Cl. 2-A, Upgraded to Caa3 (sf); previously on
Nov 8, 2012 Confirmed at Ca (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-D
Cl. 1-A, Upgraded to Ba2 (sf); previously on
Jul 29, 2016 Upgraded to B3 (sf)
Cl. 2-A, Upgraded to Ba2 (sf); previously on
Jan 11, 2017 Upgraded to B3 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-G
Cl. 1-A, Upgraded to Caa1 (sf); previously on
Aug 13, 2010 Downgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Caa1 (sf); previously on
Jul 29, 2016 Upgraded to Caa3 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H
Cl. 1-A, Upgraded to Caa1 (sf); previously on
Aug 13, 2010 Downgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Caa2 (sf); previously on
Aug 13, 2010 Downgraded to Ca (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
Moody's updated loss expectations on the pools. The upgrades are
primarily due to the build-up in credit enhancement available to
the bonds and the faster paydown of the bonds due to excess cash flow
available in these transactions.
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 4.1% in November 2017 from 4.6%
in November 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.
A list of these actions including CUSIP identifiers and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF464521
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.
Max Sauray
Asst Vice President - 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