New York, September 02, 2015 -- Moody's Investors Service has upgraded the ratings of eleven tranches
from three transactions backed by conforming balance RMBS loans,
issued by Freddie Mac and Fannie Mae.
The complete rating action is as follows:
Issuer: Connecticut Avenue Securities, Series 2014-C01
Class M-1, Upgraded to A3 (sf); previously on Jan 27,
2014 Definitive Rating Assigned Baa2 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes,
Series 2013-DN2
Cl. M-1, Upgraded to A2 (sf); previously on Nov
12, 2013 Definitive Rating Assigned Baa1 (sf)
Cl. M-1F, Upgraded to A2 (sf); previously on
Nov 12, 2013 Definitive Rating Assigned Baa1 (sf)
Cl. M-1I, Upgraded to A2 (sf); previously on
Nov 12, 2013 Definitive Rating Assigned Baa1 (sf)
Issuer: Structured Agency Credit Risk (STACR) Debt Notes,
Series 2014-DN1
Cl. M-1, Upgraded to Aa3 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned A1 (sf)
Cl. M-1F, Upgraded to Aa3 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned A1 (sf)
Cl. M-1I, Upgraded to Aa3 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned A1 (sf)
Cl. M-2, Upgraded to A3 (sf); previously on Feb
12, 2014 Definitive Rating Assigned Baa1 (sf)
Cl. M-2F, Upgraded to A3 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned Baa1 (sf)
Cl. M-2I, Upgraded to A3 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned Baa1 (sf)
Cl. M-12, Upgraded to A2 (sf); previously on
Feb 12, 2014 Definitive Rating Assigned A3 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated default projections on the pools and
credit enhancement build-up.
STACR 2013-DN2 and STACR 2014-DN1 are designed to provide
credit protection to the Federal Home Loan Mortgage Corporation (Freddie
Mac) against the performance of reference pools of prime first-lien
conforming mortgages while CAS 2014-C01 is designed to provide
credit protection to the Federal National Mortgage Association (Fannie
Mae) against the performance of a reference pool of prime first-lien
conforming mortgages.
Unlike a typical RMBS transaction, note holders are not entitled
to receive any cash from the mortgage loans in the reference pools.
Instead, the timing and amount of principal and interest that Freddie
Mac or Fannie Mae are obligated to pay on the Notes is linked to the performance
of the mortgage loans in the reference pool.
Today's rating upgrades on the bonds reflect low serious delinquencies
and credit events in the reference pools since issuance. Credit
events (defined as when a mortgage loan in the reference pool is either
180 days or more delinquent or upon the involuntary disposition of a mortgage
loan in the reference pool) currently remain below 1bp of the original
pool balances for all three transactions. The rating actions also
reflect an increase in credit enhancement to the subordinate bonds due
to sustained and rising prepayment rates on the underlying pools.
The senior subordinate classes in all three transactions also benefit
a sequential allocation of payments among the subordinate bonds.
As of July 2015, the credit enhancement to Class M-1 in STACR
2013-DN2 has risen to 2.22% from 1.95%
as of issuance. For STACR 2014-DN1 the credit enhancement
to Class M-1 has risen to 3.94% from 3.50%
as of issuance while the credit enhancement to Class M-2 and Class
M-12 has risen to 2.25% from 2.00%
as of issuance. The credit enhancement to Class M-1 in CAS
2014-C01 has risen to 1.86% from 1.65%
as of issuance.
The principal methodology used in these ratings was "Moody's Approach
to Rating US Prime RMBS" published in February 2015. 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 5.3% in July 2015 from 6.2%
in July 2014. Moody's forecasts an unemployment central range of
5% to 6% for the 2015 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 2015. 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_SF416895
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 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.
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.
Gregory Bessermann
Asst Vice President - 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
Linda Stesney
MD - Structured Finance
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 $1 Billion of Government Sponsored RMBS issued from 2013 to 2014