Research: Rating Action: Moody’s upgrades $377.7 Million of US RMBS issued from 2005 to 2007
New York, March 24, 2023 — Moody’s Investors Service (“Moody’s”) has upgraded the ratings of 12 bonds from seven US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers.
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL475129 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer. This link also contains the associated underlying collateral losses.
Issuer: Ellington Loan Acquisition Trust 2007-1
Cl. A-1, Upgraded to Baa2 (sf); previously on Jun 28, 2022 Upgraded to Ba1 (sf)
Issuer: FBR Securitization Trust 2005-2
Cl. M-3, Upgraded to Baa3 (sf); previously on Jun 27, 2022 Upgraded to Ba2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF11
Cl. I-A-1, Upgraded to A2 (sf); previously on Jun 27, 2022 Upgraded to Baa1 (sf)
Cl. I-A-2, Upgraded to B3 (sf); previously on Jun 27, 2022 Upgraded to Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF12
Cl. A1, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf)
Cl. A5, Upgraded to B2 (sf); previously on Apr 9, 2018 Upgraded to Caa1 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF7
Cl. I-A, Upgraded to Aa2 (sf); previously on Apr 9, 2018 Upgraded to A1 (sf)
Issuer: Home Equity Loan Asset-Backed Certificates, Series 2007-FRE1
Cl. 1-AV-1, Upgraded to Ba2 (sf); previously on Jun 27, 2022 Upgraded to B1 (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-C
Cl. 1A, Upgraded to A3 (sf); previously on Jun 27, 2022 Upgraded to Baa2 (sf)
Cl. 2A, Upgraded to Ba2 (sf); previously on Dec 28, 2017 Upgraded to B1 (sf)
Cl. 3A-3, Upgraded to B2 (sf); previously on Dec 28, 2017 Upgraded to Caa1 (sf)
Cl. 3A-4, Upgraded to B3 (sf); previously on Dec 28, 2017 Upgraded to Caa2 (sf)
RATINGS RATIONALE
Today’s rating actions reflect the recent performance as well as Moody’s updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds.
Principal Methodologies
The principal methodology used in these ratings was “US RMBS Surveillance Methodology” published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390485. Alternatively, please see the Rating Methodologies page on https://ratings.moodys.com for a copy of this methodology.
In addition, Moody’s publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of our website, www.moodys.com/SFQuickCheck.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody’s original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor’s promise of payment. Transaction performance also depends greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody’s expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor’s promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.
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. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications.
REGULATORY DISCLOSURES
The List of Affected Credit Ratings announced here are all solicited credit ratings. For additional information, please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website https://ratings.moodys.com. Additionally, the List of Affected Credit Ratings includes additional disclosures that vary with regard to some of the ratings. Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL475129 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and provides, for each of the credit ratings covered, Moody’s disclosures on the following items:
Rating Solicitation
Issuer Participation
Participation: Access to Management
Participation: Access to Internal Documents
Endorsement
Lead Analyst
Releasing Office
For further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found on https://ratings.moodys.com/rating-definitions.
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 issuer/deal page for the respective issuer on https://ratings.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.
Moody’s attempted but was not able to disclose the draft rating action press release to IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-C or its designated agent(s). The rating action press release for this rated entity was issued with no amendment. The ratings for the remaining rated entities have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.
Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.
Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://ratings.moodys.com/documents/PBC_1288235.
Please see https://ratings.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 issuer/deal page on https://ratings.moodys.com for additional regulatory disclosures for each credit rating.
Abhinav Barik
Associate Lead 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
Joseph DiMiceli
Vice President – Senior Analyst
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
