New York, September 19, 2019 -- Moody's Investors Service (Moody's) has downgraded the rating of
7 tranches from two transactions backed by Prime Jumbo and Scratch and
Dent loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Global Mortgage Securitization 2004-A Ltd.
Cl. A1, Downgraded to B1 (sf); previously on Nov 18,
2016 Downgraded to Ba2 (sf)
Cl. A2, Downgraded to B1 (sf); previously on Nov 18,
2016 Downgraded to Ba2 (sf)
Cl. A3, Downgraded to B1 (sf); previously on Nov 18,
2016 Downgraded to Ba2 (sf)
Cl. B1, Downgraded to Caa3 (sf); previously on Nov 18,
2016 Downgraded to Caa1 (sf)
Cl. B2, Downgraded to Ca (sf); previously on Nov 18,
2016 Downgraded to Caa2 (sf)
Cl. X-A1*, Downgraded to B1 (sf); previously
on Nov 18, 2016 Downgraded to Ba2 (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
Cl. B-3, Downgraded to C (sf); previously on
Feb 4, 2013 Affirmed Ca (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The rating downgrades are primarily due to deterioration credit enhancement
available to the bonds and also reflect any outstanding cumulative loss
incurred by the bonds. The rating actions reflect the recent performance
and Moody's updated loss expectations on the underlying pools.
The principal methodology used in rating all classes except interest-only
classes was "US RMBS Surveillance Methodology" published in February 2019.
The methodologies used in rating interest-only classes were "US
RMBS Surveillance Methodology" published in February 2019 and "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities"
published in February 2019. Please see the list of ratings at the
top of this announcement to identify which classes are interest-only
(indicated by the *). Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
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 3.7% in August 2019 from 3.8%
in August 2018. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2019 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 2019. 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the referenced bonds and/or pools.
A list of these actions including CUSIP identifiers and the associated
pool losses may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF483708
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, 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 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 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.
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.
Chloe Zhang
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
Soumya Vasudevan
VP - 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