New York, March 13, 2009 -- Moody's Investors Service has downgraded the ratings of 138 tranches from
16 Alt-A RMBS transactions issued by Bear Stearns. The collateral
backing these transactions consists primarily of first-lien,
adjustable-rate, Alt-A residential mortgage loans.
These actions are a result of updated loss expectations on the underlying
collateral relative to available credit enhancement.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been assigned to each collateral group,
Moody's assesses available credit enhancement from subordination,
overcollateralization, excess spread and any external support (mortgage
insurance, pool policy, etc.). The available
enhancement is weighed against projected future losses to ultimately arrive
at an updated rating.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy and Methodologies directory.
List of actions:
Bear Stearns ALT-A Trust 2003-3
Cl. I-A, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. I-X, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. II-A, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. II-X, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. III-A, Downgraded to Aa1; previously on 10/17/2003
Assigned Aaa
Cl. IV-A, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. V-A, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. VI-A, Downgraded to A1; previously on 10/17/2003
Assigned Aaa
Cl. B-1, Downgraded to Baa2; previously on 10/17/2003
Assigned Aa2
Cl. B-2, Downgraded to B1; previously on 10/17/2003
Assigned A2
Cl. B-3, Downgraded to Caa1; previously on 10/17/2003
Assigned Baa2
Bear Stearns ALT-A Trust 2003-5
Cl. II-A-1, Downgraded to Aa1; previously
on 12/7/2003 Assigned Aaa
Cl. II-A-2, Downgraded to Aa1; previously
on 12/7/2003 Assigned Aaa
Cl. II-X-A-2, Downgraded to Aa1;
previously on 12/7/2003 Assigned Aaa
Cl. III-A, Downgraded to Aa1; previously on 12/7/2003
Assigned Aaa
Cl. IV-A, Downgraded to Aa1; previously on 12/7/2003
Assigned Aaa
Cl. M, Downgraded to A1; previously on 12/7/2003 Assigned
Aaa
Cl. B-1, Downgraded to Baa2; previously on 12/7/2003
Assigned Aa2
Cl. B-2, Downgraded to Ba3; previously on 12/7/2003
Assigned A2
Cl. B-3, Downgraded to Caa2; previously on 12/7/2003
Assigned Baa2
Bear Stearns ALT-A Trust 2003-6
Cl. M, Downgraded to Aa3; previously on 1/3/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa1; previously on 1/3/2004
Assigned Aa2
Cl. B-2, Downgraded to Ba2; previously on 1/3/2004
Assigned A2
Cl. B-3, Downgraded to Caa2; previously on 1/3/2004
Assigned Baa2
Bear Stearns ALT-A Trust 2004-1
Cl. I-A-1, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. I-A-2, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. II-A-2, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. II-A-3, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. III-A-1, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. III-X-A-1, Downgraded to Aa1;
previously on 3/21/2004 Assigned Aaa
Cl. IV-A-1, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. V-A-1, Downgraded to Aa1; previously
on 3/21/2004 Assigned Aaa
Cl. M, Downgraded to A1; previously on 3/21/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa2; previously on 10/14/2008
Downgraded to Aa3
Cl. B-2, Downgraded to B3; previously on 10/14/2008
Downgraded to Baa1
Cl. B-3, Downgraded to Ca; previously on 10/14/2008
Downgraded to B3
Bear Stearns ALT-A Trust 2004-10
Cl. I-A-1, Downgraded to A1; previously
on 9/3/2004 Assigned Aaa
Cl. I-A-3, Downgraded to A1; previously
on 9/3/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa3; previously
on 9/3/2004 Assigned Aaa
Cl. II-A-2, Downgraded to A1; previously
on 9/3/2004 Assigned Aaa
Cl. M-1, Downgraded to Baa2; previously on 10/14/2008
Downgraded to Aa3
Cl. M-2, Downgraded to B1; previously on 10/14/2008
Downgraded to Baa1
Cl. B-1, Downgraded to Caa3; previously on 10/14/2008
Downgraded to Baa3
Cl. B-2, Downgraded to Ca; previously on 10/14/2008
Downgraded to Ba3
Bear Stearns ALT-A Trust 2004-11
Cl. I-A-1, Downgraded to Aa2; previously
on 10/8/2004 Assigned Aaa
Cl. I-A-2, Downgraded to Aa3; previously
on 10/8/2004 Assigned Aaa
Cl. II-A-1, Downgraded to A3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to A3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to A1; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to A3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to Aa1; previously
on 10/8/2004 Assigned Aaa
Cl. II-A-6a, Downgraded to Aa1; previously
on 10/8/2004 Assigned Aaa
Cl. II-A-6b, Downgraded to Aa3; previously
on 10/14/2008 Aa1 Placed Under Review for Possible Downgrade
Cl. II-X-A-5, Downgraded to Aa1;
previously on 10/8/2004 Assigned Aaa
Cl. I-M-1, Downgraded to Ba1; previously
on 10/14/2008 Downgraded to A3
Cl. I-M-2, Downgraded to B3; previously
on 10/14/2008 Downgraded to Baa3
Cl. I-B-1, Downgraded to Ca; previously
on 10/14/2008 Downgraded to B3
Cl. II-B-1, Downgraded to Ba2; previously
on 10/14/2008 Downgraded to Baa1
Cl. II-B-2, Downgraded to Caa3; previously
on 10/14/2008 Downgraded to B3
Cl. II-B-3, Downgraded to C; previously
on 10/14/2008 Downgraded to Ca
Bear Stearns ALT-A Trust 2004-12
Cl. I-A-1, Downgraded to Aa2; previously
on 12/3/2004 Assigned Aaa
Cl. I-A-2, Downgraded to Aa3; previously
on 12/3/2004 Assigned Aaa
Cl. I-A-3, Downgraded to Aa1; previously
on 12/3/2004 Assigned Aaa
Cl. I-A-4, Downgraded to Aa3; previously
on 12/3/2004 Assigned Aaa
Cl. II-A-1, Downgraded to A3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to A3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Aa1; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Aa2; previously
on 10/14/2008 Aa1 Placed Under Review for Possible Downgrade
Cl. II-A-5, Downgraded to A1; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to A3; previously
on 10/14/2008 Aa1 Placed Under Review for Possible Downgrade
Cl. II-X-1, Downgraded to Aa1; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-X-2, Downgraded to A1; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to A3; previously
on 10/14/2008 Downgraded to Aa3
Cl. I-M-2, Downgraded to Baa2; previously
on 10/14/2008 Downgraded to Baa1
Cl. II-M-1, Downgraded to Baa2; previously
on 10/14/2008 Downgraded to A2
Cl. I-B-1, Downgraded to Ba1; previously
on 10/14/2008 Downgraded to Baa2
Cl. I-B-2, Downgraded to Ba2; previously
on 10/14/2008 Downgraded to Ba1
Cl. II-B-1, Downgraded to Baa3; previously
on 10/14/2008 Downgraded to Baa1
Cl. II-B-2, Downgraded to Caa2; previously
on 10/14/2008 Downgraded to B3
Cl. II-B-3, Downgraded to C; previously
on 10/14/2008 Downgraded to Ca
Bear Stearns ALT-A Trust 2004-13
Cl. A-2, Downgraded to Aa1; previously on 1/9/2005
Assigned Aaa
Cl. M-1, Downgraded to Baa2; previously on 10/14/2008
Downgraded to A1
Cl. M-2, Downgraded to Caa2; previously on 10/14/2008
Downgraded to B2
Cl. B-1, Downgraded to C; previously on 10/14/2008
Downgraded to Ca
Cl. B-2, Downgraded to C; previously on 10/14/2008
Downgraded to Ca
Bear Stearns ALT-A Trust 2004-2
Cl. M, Downgraded to Aa3; previously on 5/3/2004 Assigned
Aaa
Cl. B-1, Downgraded to A3; previously on 5/3/2004
Assigned Aa2
Cl. B-2, Downgraded to Ba2; previously on 5/3/2004
Assigned A2
Cl. B-3, Downgraded to Caa2; previously on 10/14/2008
Downgraded to Ba1
Bear Stearns ALT-A Trust 2004-3
Cl. A-1, Downgraded to Aa3; previously on 4/29/2004
Assigned Aaa
Cl. M-1, Downgraded to A1; previously on 4/29/2004
Assigned Aa2
Cl. M-2, Downgraded to Baa1; previously on 4/29/2004
Assigned A2
Cl. B, Downgraded to B1; previously on 4/29/2004 Assigned
Baa2
Bear Stearns ALT-A Trust 2004-4
Cl. A-1, Downgraded to A3; previously on 6/8/2004
Assigned Aaa
Cl. M-1, Downgraded to Baa3; previously on 6/8/2004
Assigned Aa2
Cl. M-2, Downgraded to B3; previously on 6/8/2004
Assigned A2
Cl. B, Downgraded to Ca; previously on 6/8/2004 Assigned
Baa2
Bear Stearns ALT-A Trust 2004-5
Cl. I-A-1, Downgraded to Aa2; previously
on 6/7/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa2; previously
on 6/7/2004 Assigned Aaa
Cl. II-A-2, Downgraded to Aa2; previously
on 6/7/2004 Assigned Aaa
Cl. II-X-A-2, Downgraded to Aa2;
previously on 6/7/2004 Assigned Aaa
Cl. IV-A-1, Downgraded to Aa1; previously
on 6/7/2004 Assigned Aaa
Cl. V-A-1, Downgraded to Aa2; previously
on 6/7/2004 Assigned Aaa
Cl. VI-A-1, Downgraded to Aa2; previously
on 6/7/2004 Assigned Aaa
Cl. M, Downgraded to A1; previously on 6/7/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa2; previously on 6/7/2004
Assigned Aa2
Cl. B-2, Downgraded to B3; previously on 10/14/2008
Downgraded to A3
Cl. B-3, Downgraded to Ca; previously on 10/14/2008
Downgraded to B3
Bear Stearns ALT-A Trust 2004-6
Cl. I-A, Downgraded to Aa3; previously on 10/14/2008
Aaa Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Aa3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Aa3; previously
on 10/14/2008 Aaa Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Aa3; previously on 10/14/2008
Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A2; previously on 10/14/2008
Downgraded to A1
Bear Stearns ALT-A Trust 2004-7
Cl. I-A-1, Downgraded to Aa1; previously
on 7/27/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa1; previously
on 7/27/2004 Assigned Aaa
Cl. M, Downgraded to A1; previously on 7/27/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa1; previously on 7/27/2004
Assigned Aa2
Cl. B-2, Downgraded to B1; previously on 10/14/2008
Downgraded to A3
Cl. B-3, Downgraded to Caa3; previously on 10/14/2008
Downgraded to Ba3
Bear Stearns ALT-A Trust 2004-8
Cl. I-A, Downgraded to A2; previously on 8/16/2004
Assigned Aaa
Cl. II-A, Downgraded to A2; previously on 8/16/2004
Assigned Aaa
Cl. M-1, Downgraded to Baa2; previously on 8/16/2004
Assigned Aa2
Cl. M-2, Downgraded to Ba2; previously on 10/14/2008
Downgraded to Baa1
Cl. B-1, Downgraded to B3; previously on 10/14/2008
Downgraded to Ba1
Cl. B-2, Downgraded to Caa3; previously on 10/14/2008
Downgraded to B2
Bear Stearns ALT-A Trust 2004-9
Cl. I-A-1, Downgraded to A2; previously
on 8/16/2004 Assigned Aaa
Cl. I-A-2, Downgraded to A2; previously
on 8/16/2004 Assigned Aa1
Cl. II-A-1, Downgraded to A1; previously
on 8/16/2004 Assigned Aaa
Cl. II-A-2, Downgraded to A2; previously
on 8/16/2004 Assigned Aa1
Cl. III-A-1, Downgraded to A2; previously
on 8/16/2004 Assigned Aaa
Cl. IV-A-1, Downgraded to A2; previously
on 8/16/2004 Assigned Aaa
Cl. V-A-1, Downgraded to Aa2; previously
on 8/16/2004 Assigned Aaa
Cl. VI-A-1, Downgraded to A2; previously
on 8/16/2004 Assigned Aaa
Cl. VII-A-1, Downgraded to Aa3; previously
on 8/16/2004 Assigned Aaa
Cl. B-1, Downgraded to Baa2; previously on 10/14/2008
Downgraded to A1
Cl. B-2, Downgraded to B3; previously on 10/14/2008
Downgraded to Baa2
Cl. B-3, Downgraded to Ca; previously on 10/14/2008
Downgraded to Caa3
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF157950
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gerard Mazi
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain Bear Stearns Seasoned Alt-A Deals