New York, December 06, 2017 -- Moody's Investors Service has upgraded ratings of 36 tranches from 12
transactions backed by Subprime mortgage loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series
2002-AR1
Cl. M-2, Upgraded to Ba2 (sf); previously on
Feb 10, 2016 Upgraded to B1 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE7
Cl. M2, Upgraded to B1 (sf); previously on Feb 10,
2016 Upgraded to B2 (sf)
Issuer: Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-6
Cl. M-1, Upgraded to A1 (sf); previously on Mar
15, 2011 Downgraded to Baa2 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Dec
29, 2016 Upgraded to Baa3 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on
Dec 29, 2016 Upgraded to Ba2 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates,
Series 2004-6
Cl. M-3, Upgraded to Ba1 (sf); previously on
Dec 21, 2016 Upgraded to Ba3 (sf)
Cl. M-4, Upgraded to Ba3 (sf); previously on
Dec 21, 2016 Upgraded to B2 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Dec
21, 2016 Upgraded to Caa1 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on
Dec 21, 2016 Confirmed at Ca (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on
Dec 21, 2016 Confirmed at Ca (sf)
Cl. 1-A-1, Upgraded to Aa2 (sf); previously
on Dec 21, 2016 Confirmed at A1 (sf)
Cl. 1-A-2, Upgraded to A2 (sf); previously
on Dec 21, 2016 Confirmed at Baa1 (sf)
Cl. 2-A-3, Upgraded to Aa1 (sf); previously
on Dec 21, 2016 Confirmed at Aa3 (sf)
Cl. 2-A-4, Upgraded to Aa1 (sf); previously
on Dec 21, 2016 Confirmed at Aa3 (sf)
Cl. 2-A-5, Upgraded to Aa1 (sf); previously
on Dec 21, 2016 Confirmed at Aa3 (sf)
Issuer: DLJ ABS Trust Series 2000-7
Cl. A-1, Upgraded to Baa1 (sf); previously on
Dec 21, 2016 Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Dec
21, 2016 Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 02, 2016)
Cl. A-3, Upgraded to Ba1 (sf); previously on
Jan 19, 2016 Downgraded to B3 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Mar
7, 2011 Downgraded to B3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Developing on Dec 02, 2016)
Cl. A-4, Upgraded to Ba1 (sf); previously on
Mar 7, 2011 Downgraded to B3 (sf)
Class M-1, Upgraded to B2 (sf); previously on Mar 7,
2011 Downgraded to Ca (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Mar
7, 2011 Downgraded to C (sf)
Issuer: Fieldstone Mortgage Investment Trust, 2005-3
Cl. M1, Upgraded to Caa2 (sf); previously on Dec 28,
2016 Upgraded to Ca (sf)
Issuer: First Franklin Mortgage Loan Trust 2002-FF1
Cl. I-A-2, Upgraded to A3 (sf); previously
on Dec 29, 2016 Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on
Dec 29, 2016 Upgraded to Caa1 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp.
2005-FRE1
Cl. AI, Upgraded to Aa1 (sf); previously on Dec 28,
2016 Upgraded to Aa2 (sf)
Cl. AII-F-3, Upgraded to Aa3 (sf); previously
on Feb 10, 2015 Upgraded to Ba1 (sf)
Cl. AII-F-4, Upgraded to Aa1 (sf); previously
on Feb 10, 2015 Upgraded to Baa3 (sf)
Cl. AII-V-2, Upgraded to Aa1 (sf); previously
on Dec 28, 2016 Upgraded to Aa3 (sf)
Cl. AII-V-3, Upgraded to Aa3 (sf); previously
on Dec 28, 2016 Upgraded to A2 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2004-2
Cl. M-2, Upgraded to Aaa (sf); previously on
Dec 21, 2016 Upgraded to Aa1 (sf)
Cl. M-3, Upgraded to A2 (sf); previously on Mar
10, 2011 Downgraded to Baa1 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Mar
10, 2011 Downgraded to B3 (sf)
Issuer: RAMP Series 2003-RS2 Trust
Cl. A-II, Upgraded to Baa2 (sf); previously on
Feb 10, 2016 Upgraded to Ba1 (sf)
Issuer: RAMP Series 2004-RS4 Trust
Cl. M-II-1, Upgraded to Aaa (sf); previously
on Dec 29, 2016 Upgraded to Baa1 (sf)
Cl. M-II-2, Upgraded to B1 (sf); previously
on Mar 30, 2011 Downgraded to Ca (sf)
Issuer: RAMP Series 2006-NC2 Trust
Cl. A-2, Upgraded to Aa1 (sf); previously on
Dec 29, 2016 Upgraded to Aa3 (sf)
Cl. A-3, Upgraded to Aa3 (sf); previously on
Dec 29, 2016 Upgraded to A2 (sf)
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. Today's
rating upgrades are primarily due to improvement of credit enhancement
available to the bonds.
The upgrades on classes M-II-1 and M-II-2
of RAMP Series 2004-RS4 are also due to the projected amount received
for ResCap Settlement in October 2017 and the strong shared overcollateralization
for both structures in the deal. The upgrades on classes M1 and
M2 of Credit Suisse First Boston Mortgage Securities Corp. Series
2004-6 also reflect a correction to our prior analysis.
In prior rating actions, the interest recoupment mechanism for the
mezzanine bonds was incorrectly deemed to be weak, which resulted
in their ratings being capped. This error has now been corrected,
and today's action reflects the strong interest recoupment mechanism
available to these bonds.
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 macroeconomic uncertainty,
and in particular the unemployment rate. The unemployment rate
fell to 4.2% in September 2017 from 4.9% in
September 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. 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 and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF464277
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.
Chloe Zhang
Associate Lead 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
Deepika Kothari
Senior Vice President
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