New York, August 21, 2019 -- Moody's Investors Service (Moody's) has downgraded the ratings of
six tranches from five transactions backed by Alt-A, Subprime,
and Scratch and Dent Loans issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-EC1
Cl. M-2, Downgraded to B1 (sf); previously on
Oct 14, 2016 Upgraded to Ba1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE6
Cl. M-1, Downgraded to Baa3 (sf); previously
on Mar 5, 2013 Downgraded to A3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD3
Cl. M-1, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Downgraded to Baa2 (sf)
Issuer: C-BASS Mortgage Loan Trust, Series 2005-CB4
Cl. M-5, Downgraded to B2 (sf); previously on
Jul 29, 2016 Upgraded to B1 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-4
Cl. M-2, Downgraded to B1 (sf); previously on
Jun 18, 2013 Upgraded to Baa1 (sf)
Cl. M-3, Downgraded to B1 (sf); previously on
Oct 28, 2015 Upgraded to Baa3 (sf)
RATINGS RATIONALE
Today's rating downgrades are due to the outstanding interest shortfalls
on these bonds which are not expected to be recouped as the bonds have
weak reimbursement mechanism for interest shortfalls. As of July
2019 remittance, Class M-1 from Bear Stearns Asset Backed
Securities Trust 2004-HE6 had $24,192.14 and
Classes M-2 and M-3 from Impac Secured Assets Corp.
Mortgage Pass-Through Certificates, Series 2004-4
had $97,379.06 and $85,354.84
of unpaid interest shortfall respectively. The remaining bonds
in the rating action have outstanding interest shortfall ranging from
$1,866.28 to $99,815.13.
The rating actions also reflect recent performance of the underlying pools
and Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in February 2019. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
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 July 2019 from 3.9%
in July 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.
A list of these actions including CUSIP identifiers and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF481492
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.
Wenzhao Wu
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
Vice President - Sr 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