New York, April 09, 2014 -- Moody's Investors Service has downgraded the ratings of 19 tranches issued
by various issuers. The tranches are backed by Alt-A RMBS
loans issued from 2002 to 2004.
Complete rating actions are as follows:
Issuer: Morgan Stanley Mortgage Loan Trust 2004-1
Cl. 1-A-1, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 1-A-3, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 1-A-5, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 1-A-6, Downgraded to Ba2 (sf); previously
on Jul 22, 2013 Downgraded to Baa3 (sf)
Cl. 1-A-7, Downgraded to B2 (sf); previously
on Jul 22, 2013 Downgraded to Ba3 (sf)
Cl. 1-A-9, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 1-A-10, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 1-A-11, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 2-A-2, Downgraded to B1 (sf); previously
on Jul 22, 2013 Downgraded to Ba2 (sf)
Cl. 1-A-P, Downgraded to Baa3 (sf); previously
on Jul 22, 2013 Downgraded to Baa1 (sf)
Cl. 2-A-P, Downgraded to B2 (sf); previously
on Jul 22, 2013 Downgraded to Ba3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2002-AR5
Cl. A-1, Downgraded to Ba1 (sf); previously on
Jul 5, 2012 Confirmed at Baa2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR1
Cl. A-1, Downgraded to Ba3 (sf); previously on
Jul 5, 2012 Downgraded to Ba2 (sf)
Cl. A-3, Downgraded to B1 (sf); previously on
Jul 5, 2012 Downgraded to Ba3 (sf)
Cl. A-3M, Downgraded to B1 (sf); previously on
Jul 5, 2012 Downgraded to Ba3 (sf)
Cl. A-4, Downgraded to B1 (sf); previously on
Jul 5, 2012 Downgraded to Ba2 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR3
Cl. A-1, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Confirmed at Baa1 (sf)
Cl. A-2, Downgraded to Ba2 (sf); previously on
Jul 5, 2012 Downgraded to Baa3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-CL1
Cl. II-A1, Downgraded to Ba1 (sf); previously
on Jun 18, 2013 Downgraded to Baa3 (sf)
RATINGS RATIONALE
The rating actions are a result of deteriorating performance on the underlying
pools and reflect Moody's updated loss expectations on the pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
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 6.7% in February 2014 from 7.7%
in February 2013 . Moody's forecasts an unemployment central range
of 6.5% to 7.5% for the 2014 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 2014. 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF364292
A list of updated estimated pre-2005 transactions pool losses is
being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF237256
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.
Moody's received and took into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessment had a neutral impact
on the rating.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
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.
In rating this transaction, Moody's used a cash flow model
to model cash flow stress scenarios to determine the extent to which investors
would receive timely payments of interest and principal in the stress
scenarios, given the transaction structure and collateral composition.
As the section on loss and cash flow analysis describes, 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 or category/class of debt,
this announcement provides certain 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 certain 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 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 rating action, and
whose ratings may change as a result of this 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.
Samuel G Ukrainsky
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
Deepika Kothari
VP - Sr Credit Officer/Manager
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 downgrades $91 Million of Alt-A RMBS issued by miscellaneous issuers from 2002 to 2004