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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

Moody's upgrades $534.7 Million of Subprime RMBS issued by Morgan Stanley

04 Nov 2015

New York, November 04, 2015 -- Moody's Investors Service has upgraded the ratings of 19 tranches from 11 deals issued by Morgan Stanley, backed by Subprime mortgage loans.

Complete rating actions are as follows:

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC1

Cl. M-2, Upgraded to Ba3 (sf); previously on Apr 10, 2012 Confirmed at B3 (sf)

Cl. M-3, Upgraded to B1 (sf); previously on Mar 15, 2011 Downgraded to Caa2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC6

Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 15, 2011 Downgraded to Caa3 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC1

Cl. M-2, Upgraded to B1 (sf); previously on Apr 10, 2012 Upgraded to B3 (sf)

Cl. M-3, Upgraded to Caa2 (sf); previously on Apr 10, 2012 Upgraded to Ca (sf)

Cl. B-1, Upgraded to Caa2 (sf); previously on Apr 10, 2012 Confirmed at C (sf)

Cl. B-2, Upgraded to Caa2 (sf); previously on Mar 15, 2011 Downgraded to C (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE4

Cl. M-3, Upgraded to Caa1 (sf); previously on Dec 28, 2010 Upgraded to Caa2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7

Cl. A-1, Upgraded to Aa2 (sf); previously on Dec 28, 2010 Upgraded to A1 (sf)

Cl. A-2c, Upgraded to A1 (sf); previously on Apr 30, 2013 Upgraded to Baa2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE2

Cl. A-1, Upgraded to Ba2 (sf); previously on Feb 19, 2015 Upgraded to B1 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC3

Cl. A-1, Upgraded to Ba1 (sf); previously on Feb 23, 2015 Upgraded to Ba3 (sf)

Cl. A-2c, Upgraded to Baa3 (sf); previously on Feb 23, 2015 Upgraded to B1 (sf)

Cl. A-2d, Upgraded to B2 (sf); previously on May 1, 2014 Upgraded to Caa2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC1

Cl. A-1, Upgraded to A1 (sf); previously on Mar 25, 2015 Upgraded to Baa1 (sf)

Cl. A-2c, Upgraded to Ba1 (sf); previously on Mar 25, 2015 Upgraded to B2 (sf)

Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1

Cl. A-4, Upgraded to B2 (sf); previously on May 1, 2014 Upgraded to Caa2 (sf)

Issuer: Morgan Stanley Dean Witter Capital I Inc. Mortgage Pass-Through Certificates, Series 2001-NC2

Cl. M-2, Upgraded to Caa2 (sf); previously on Feb 11, 2009 Downgraded to C (sf)

Issuer: Morgan Stanley Home Equity Loan Trust 2005-3

Cl. M-3, Upgraded to B1 (sf); previously on Mar 25, 2015 Upgraded to Caa1 (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 Credit Policy 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 5.1% in September 2015 from 5.9% in September 2014. Moody's forecasts an unemployment central range of 5% to 6% for the 2015 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 2015. 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_SF420639

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Eric Jackling
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

Deepika Kothari
Senior Vice President
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 $534.7 Million of Subprime RMBS issued by Morgan Stanley
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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