New York, September 22, 2015 -- Moody's Investors Service has upgraded the ratings of 24 tranches from
12 RMBS transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC2
Cl. M-5, Upgraded to B1 (sf); previously on May
30, 2014 Upgraded to B2 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Apr
29, 2010 Downgraded to C (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2005-NC3
Cl. M-3, Upgraded to B1 (sf); previously on Dec
12, 2014 Upgraded to B2 (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on
Dec 12, 2014 Upgraded to Ca (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC1
Cl. A-3, Upgraded to Baa2 (sf); previously on
Dec 22, 2014 Upgraded to Ba1 (sf)
Cl. A-4, Upgraded to Ba1 (sf); previously on
Dec 22, 2014 Upgraded to B1 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on
Mar 31, 2014 Upgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB3
Cl. B-1, Upgraded to B3 (sf); previously on Dec
12, 2014 Upgraded to Ca (sf)
Cl. B-2, Upgraded to Ca (sf); previously on Mar
10, 2011 Downgraded to C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB2
Cl. AV, Upgraded to B1 (sf); previously on Dec 12,
2014 Upgraded to B3 (sf)
Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4
Cl. AF-3, Upgraded to Aa2 (sf); previously on
Mar 4, 2013 Affirmed A2 (sf)
Cl. AF-4, Upgraded to Aa2 (sf); previously on
Mar 4, 2013 Affirmed A1 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on
May 30, 2014 Upgraded to Ca (sf)
Issuer: HSI Asset Securitization Corporation Trust 2006-OPT2
Cl. II-A-3, Upgraded to Aa2 (sf); previously
on Jul 18, 2011 Downgraded to A1 (sf)
Cl. II-A-4, Upgraded to Aa3 (sf); previously
on Jul 18, 2011 Downgraded to A2 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on
Dec 12, 2014 Upgraded to B2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Jul 18, 2011 Downgraded to C (sf)
Issuer: IXIS Real Estate Capital Trust 2005-HE4
Cl. A-3, Upgraded to Aa3 (sf); previously on
Aug 2, 2010 Confirmed at A2 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Aug
9, 2012 Downgraded to Caa2 (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-WL1
Cl. III-M2, Upgraded to B1 (sf); previously on
Jan 20, 2015 Upgraded to B3 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-4
Cl. A-1, Upgraded to B1 (sf); previously on Jan
28, 2015 Upgraded to Caa1 (sf)
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-2, Upgraded to B1 (sf); previously on Feb
21, 2014 Upgraded to B2 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on
Feb 21, 2014 Upgraded to Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2006-1
Cl. M-1, Upgraded to B2 (sf); previously on Jul
16, 2010 Downgraded to Caa2 (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.
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 August 2015 from 6.1%
in August 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_SF417909.
A list of updated estimated pool losses 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.
Minxi Qiu
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
Asst Vice President - 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
Moody's upgrades $687 Million of Subprime RMBS issued from 2005 to 2006