New York, January 30, 2017 -- Moody's Investors Service has upgraded the ratings of 9 tranches,
from 5 transactions issued by various issuers backed by Subprime mortgage
loans.
Complete rating actions are as follows:
Issuer: Fremont Home Loan Trust 2004-4
Cl. M-2, Upgraded to B1 (sf); previously on Mar
18, 2013 Affirmed Caa2 (sf)
Issuer: GSAMP Trust 2003-HE2
Cl. A-1B, Upgraded to Baa1 (sf); previously on
Sep 17, 2013 Downgraded to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Sep
17, 2013 Confirmed at B3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Apr 9, 2012 Downgraded to C (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
Series SPMD 2000-C
Cl. AF-5, Upgraded to Caa2 (sf); previously on
Aug 14, 2013 Confirmed at Caa3 (sf)
Cl. AF-6, Upgraded to B2 (sf); previously on
Aug 14, 2013 Confirmed at B3 (sf)
Issuer: Long Beach Mortgage Loan Trust 2004-2
Cl. M-2, Upgraded to B3 (sf); previously on Apr
27, 2015 Upgraded to Caa1 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Mar 8, 2011 Downgraded to Ca (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2003-3
Cl. A-3, Upgraded to Baa1 (sf); previously on
Jun 26, 2014 Upgraded to Baa3 (sf)
RATINGS RATIONALE
The upgrades are primarily due to the total credit enhancement available
to the bonds. 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 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 4.7% in December 2016 from 5.0%
in December 2015. 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF447071
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.
Jane Mordecai
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