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Rating Action:

Moody's upgrades $542.2 Million of RMBS issued from 2004 to 2006

01 Aug 2019

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

No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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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 credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service 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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit 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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