New York, June 26, 2012 -- Moody's Investors Service has downgraded the ratings of 8 tranches,
upgraded the ratings of 2 tranches, and confirmed the ratings of
10 tranches from nine RMBS transactions, backed by Scratch and Dent
loans, issued by various financial institutions.
RATINGS RATIONALE
The actions are a result of the recent performance review of Scratch and
Dent pools and reflect Moody's updated loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Today's rating action constitute of two upgrades as well as eight
downgrades. The upgrades are due to an increase in the available
credit enhancement. The downgrades are primarily due to deteriorating
collateral performance.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications and 2) bonds that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until the end of 2013.
The above RMBS approach only applies to structures with at least 40 loans
and a pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however,
a transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction. Please
refer further to Moody's Investors Service's Withdrawal Policy,
which can be found on our website, www.moodys.com.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures reflect
the higher of the credit quality of the guarantor or the RMBS without
the benefit of the guarantee. As a result, the rating on
the securities is the higher of 1) the guarantor's financial strength
rating and 2) the current underlying rating, which is what the rating
of the security would be absent consideration of the guaranty.
The principal methodology Moody's uses in determining the underlying rating
is the same methodology for rating securities that do not have financial
guaranty, described earlier.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, we considered the volatility
of the projected losses and timeline of the expected defaults.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in April
2011 to 8.2% in May 2012. Moody's forecasts a further
drop to 7.8% for 2013. Moody's expects house prices
to drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. 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.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4
Cl. A, Downgraded to Aa2 (sf); previously on May 24,
2011 Confirmed at Aaa (sf)
Underlying Rating: Downgraded to Aa2 (sf); previously on May
24, 2011 Confirmed at Aaa (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-1, Downgraded to A2 (sf); previously on
May 24, 2011 Confirmed at Aa3 (sf)
Cl. M-2, Confirmed at Ba2 (sf); previously on
Apr 19, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at B2 (sf); previously on
Apr 19, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Cl. M-4, Confirmed at Ca (sf); previously on
Apr 19, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2004-HE1
Cl. A, Downgraded to A2 (sf); previously on Apr 19,
2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Countrywide Home Loan Trust 2003-SD3
Cl. M-2, Confirmed at Baa2 (sf); previously on
Apr 19, 2012 Baa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1
Cl. B-1, Confirmed at Caa3 (sf); previously on
Apr 19, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage Pass-Through Certificates, Series
2004-CF2
Cl. I-A-2, Downgraded to Aa1 (sf); previously
on Nov 23, 2004 Assigned Aaa (sf)
Cl. I-M-1, Downgraded to Ba1 (sf); previously
on May 19, 2011 Downgraded to Baa2 (sf)
Cl. II-M-1, Confirmed at Caa1 (sf); previously
on Apr 19, 2012 Caa1 (sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage Pass-Through Certificates, Series
2005-CF1
Cl. B, Downgraded to Caa2 (sf); previously on Apr 19,
2012 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2007-QH1
Cl. A-1, Downgraded to Caa1 (sf); previously
on Apr 19, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Specialized Loan Trust 2004-01
Cl. A-1, Confirmed at Aa1 (sf); previously on
Apr 19, 2012 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Confirmed at Aa3 (sf); previously on
Apr 19, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Mar 5, 2009 Downgraded to Baa3 (sf)
Issuer: MASTR Specialized Loan Trust 2004-02
Cl. M-2, Upgraded to Aa3 (sf); previously on
Jan 17, 2005 Assigned A2 (sf)
Cl. M-3, Upgraded to Baa1 (sf); previously on
Jan 17, 2005 Assigned Baa2 (sf)
Cl. M-4, Confirmed at Baa3 (sf); previously on
Apr 19, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Confirmed at Ba3 (sf); previously on Apr 19,
2012 Ba3 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF290080
A list of updated estimated pool losses and sensitivity analysis 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_SF247004
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's Investors
Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's office
that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
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.
Moody's considers the quality of information available on the rated entities,
obligations or credits satisfactory for the purposes of issuing these
ratings.
Moody's adopts all necessary measures so that the information it uses
in assigning the ratings is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not an auditor
and cannot in every instance independently verify or validate information
received in the rating process.
In addition to the information provided below please find on 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 each of the ratings.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
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.
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
Amita Shrivastava
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 Takes Action on $161 Million of US Scratch and Dent RMBS issued by various financial institutions
