New York, August 01, 2019 -- Moody's Investors Service ("Moody's") has upgraded
the rating of 20 tranches from 14 RMBS backed by Subprime loans.
The complete rating action is as follows:
Issuer: BNC Mortgage Loan Trust 2006-1
Cl. A3, Upgraded to B1 (sf); previously on Feb 24,
2016 Upgraded to B3 (sf)
Issuer: BNC Mortgage Loan Trust 2006-2
Cl. A4, Upgraded to Ba3 (sf); previously on Apr 16,
2018 Upgraded to B2 (sf)
Issuer: Fremont Home Loan Trust 2004-3
Cl. M2, Upgraded to Ba1 (sf); previously on Mar 29,
2016 Upgraded to Ba3 (sf)
Cl. M3, Upgraded to B1 (sf); previously on Mar 29,
2016 Upgraded to Caa1 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2004-2
Cl. M-4, Upgraded to Ba2 (sf); previously on
Dec 6, 2017 Upgraded to B2 (sf)
Cl. M-5, Upgraded to Caa2 (sf); previously on
Mar 10, 2011 Downgraded to Ca (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-1
Cl. M-5, Upgraded to Aa1 (sf); previously on
Jan 26, 2018 Upgraded to A1 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-8
Cl. M1, Upgraded to Baa3 (sf); previously on Jul 5,
2017 Upgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2006-AM1
Cl. A5, Upgraded to Baa3 (sf); previously on Aug 8,
2017 Upgraded to Ba2 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE
Cl. M-3, Upgraded to Aaa (sf); previously on
Dec 17, 2018 Upgraded to Aa3 (sf)
Cl. M-4, Upgraded to Baa2 (sf); previously on
Dec 17, 2018 Upgraded to Ba1 (sf)
Issuer: CSFB Home Equity Asset Trust 2005-7
Cl. M-2, Upgraded to Ba3 (sf); previously on
Aug 21, 2018 Upgraded to B3 (sf)
Issuer: CSFB Home Equity Asset Trust 2005-9
Cl. M-1, Upgraded to Aa1 (sf); previously on
Mar 22, 2018 Upgraded to A1 (sf)
Issuer: CSFB Home Equity Pass-Through Certificates,
Series 2005-4
Cl. M-5, Upgraded to Aaa (sf); previously on
Feb 26, 2018 Upgraded to Aa3 (sf)
Cl. M-6, Upgraded to Ba2 (sf); previously on
Feb 26, 2018 Upgraded to B2 (sf)
Issuer: FBR Securitization Trust 2005-2
Cl. M-2, Upgraded to Aaa (sf); previously on
Dec 20, 2018 Upgraded to A1 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Apr
20, 2016 Upgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFH1
Cl. M-2, Upgraded to Ba1 (sf); previously on
Jan 5, 2018 Upgraded to B1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1
Cl. M-1, Upgraded to Aaa (sf); previously on
Jun 28, 2018 Upgraded to Aa3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Apr 27, 2017 Upgraded to Ca (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to an increase in credit enhancement
available to the bonds and improved underlying collateral pool performance.
Bonds that have been upgraded in the transactions have benefited from
cumulative loss triggers that divert principal payments from subordinate
bonds to the senior bonds. The cumulative loss triggers,
in addition to higher levels of prepayment in some transactions,
have accelerated the buildup of credit enhancement for the upgraded senior
and mezzanine bonds. For the Class M-2 in FBR Securitization
Trust 2005-2, consistent and high levels of prepayment averaging
$1.6M since January 2019 has rapidly increased credit enhancement
levels for the tranche to 57% from 51% a year ago.
The action also reflects the recent performance as well as Moody's updated
loss expectation on the underlying pool.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in February 2019. 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 3.7% in June 2019 from 4.0%
in June 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases
than Moody's expects or decreases could lead to negative rating actions.
Finally, the performance of RMBS continues to remain highly dependent
on servicer procedures. Any changes resulting from servicing transfers,
or other policy or regulatory shifts can impact the performance of these
transactions.
A list of this action including the CUSIP identifier and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF482620
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Donald Lee
AVP-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