New York, May 01, 2014 -- Moody's Investors Service has upgraded the ratings of eight tranches from
six subprime transactions backed by Subprime mortgage loans.
Complete rating action is as follows:
Issuer: Aames Mortgage Trust 2002-1
Cl. A-3, Upgraded to Ba3 (sf); previously on
Sep 3, 2013 Upgraded to B2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series
2003-12
Cl. M-1, Upgraded to Ba3 (sf); previously on
May 4, 2012 Downgraded to B1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series
2004-R2
Cl. A-1A, Upgraded to Baa1 (sf); previously on
Mar 29, 2011 Downgraded to Baa2 (sf)
Cl. A-1B, Upgraded to Baa2 (sf); previously on
Mar 29, 2011 Downgraded to Baa3 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates,
Series 2004-BC3
Cl. M-2, Upgraded to Ba2 (sf); previously on
Dec 4, 2012 Downgraded to B1 (sf)
Issuer: Option One Mortgage Loan Trust 2002-3
Cl. A-1, Upgraded to Ba3 (sf); previously on
Sep 4, 2013 Confirmed at B1 (sf)
Cl. A-2, Upgraded to Baa3 (sf); previously on
Sep 4, 2013 Confirmed at Ba2 (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2004-BC2
Cl. M-1, Upgraded to Ba2 (sf); previously on
Apr 9, 2012 Downgraded to B1 (sf)
RATINGS RATIONALE
The upgrade actions are a result of improving performance of the related
pools and/or faster pay-down of the bonds due to high prepayments/faster
liquidations.
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 6.7% in March 2014 from 7.5%
in March 2013 . Moody's forecasts an unemployment central range
of 6.5% to 7.5% for the 2014 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 2014. 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_SF366615
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.
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
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.
As the section on loss and cash flow analysis describes, 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
Eric Fellows
VP - Senior Credit Officer
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 $97 Million of Subprime RMBS issued from 2002 to 2004