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Rating Action:

Moody's upgrades $328.5 Million of Subprime RMBS issued from 2003 to 2005

24 Feb 2016

New York, February 24, 2016 -- Moody's Investors Service has upgraded the ratings of 28 tranches from 14 transactions backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Ameriquest Mortgage Securities Inc., Series 2003-13

Cl. M-1, Upgraded to Ba1 (sf); previously on May 23, 2014 Upgraded to Ba2 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 31, 2013 Confirmed at Caa3 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2003-HE1

Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed Caa2 (sf)

Issuer: C-BASS 2002-CB5 Trust

Cl. AF-3, Upgraded to Baa1 (sf); previously on Mar 10, 2015 Upgraded to Ba1 (sf)

Cl. M-1, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded to Caa2 (sf)

Issuer: C-BASS 2003-CB3 Trust

Cl. M-1, Upgraded to Ba2 (sf); previously on Dec 4, 2012 Downgraded to B1 (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4

Cl. A-5, Upgraded to Baa2 (sf); previously on May 4, 2012 Confirmed at Baa3 (sf)

Cl. A-6, Upgraded to Baa1 (sf); previously on May 4, 2012 Confirmed at Baa2 (sf)

Cl. M-1, Upgraded to B1 (sf); previously on Oct 9, 2013 Upgraded to B2 (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5

Cl. M-3, Upgraded to Caa1 (sf); previously on Oct 9, 2013 Upgraded to Caa2 (sf)

Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf)

Issuer: C-BASS Mortgage Loan Trust, Series 2003-CB1

Cl. AF, Upgraded to Baa1 (sf); previously on Mar 26, 2015 Upgraded to Baa3 (sf)

Cl. M-1, Upgraded to B1 (sf); previously on Mar 10, 2011 Downgraded to Caa3 (sf)

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

Issuer: C-BASS Series 2003-CB5, C-Bass Mortgage Loan Asset-Backed Certificates

Cl. M-1, Upgraded to B1 (sf); previously on May 4, 2012 Downgraded to B2 (sf)

Issuer: Chase Funding Trust, Series 2002-3

Cl. IIM-1, Upgraded to Ba3 (sf); previously on Mar 3, 2015 Upgraded to B3 (sf)

Issuer: Chase Funding Trust, Series 2004-2

Cl. IA-5, Upgraded to Ba2 (sf); previously on Apr 10, 2012 Downgraded to Ba3 (sf)

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-3

Cl. 2-A-2, Upgraded to Ba3 (sf); previously on May 14, 2014 Downgraded to B1 (sf)

Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-5

Cl. AF-5, Upgraded to Baa3 (sf); previously on May 14, 2014 Downgraded to Ba1 (sf)

Cl. AF-6, Upgraded to Baa1 (sf); previously on May 14, 2014 Downgraded to Baa3 (sf)

Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2003-BC1

Cl. A-1, Upgraded to Ba3 (sf); previously on Mar 17, 2011 Downgraded to B1 (sf)

Cl. M-1, Upgraded to B3 (sf); previously on Mar 3, 2015 Upgraded to Caa3 (sf)

Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf)

Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf)

Issuer: Nomura Home Equity Loan Trust 2005-HE1

Cl. M-2, Upgraded to Aa2 (sf); previously on Aug 13, 2010 Confirmed at A1 (sf)

Cl. M-3, Upgraded to Aa3 (sf); previously on Mar 25, 2015 Upgraded to A2 (sf)

Cl. M-4, Upgraded to Baa1 (sf); previously on Mar 25, 2015 Upgraded to Baa3 (sf)

Cl. M-5, Upgraded to B3 (sf); previously on Mar 25, 2015 Upgraded to Caa3 (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.

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF427176

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 relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the 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.v

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.

Claire Masters
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 $328.5 Million of Subprime RMBS issued from 2003 to 2005
No Related Data.
© 2019 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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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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.

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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 rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

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

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