New York, October 25, 2018 -- Moody's Investors Service ("Moody's") has upgraded the ratings of 13 tranches
from seven transactions, backed by Alt-A loans, issued
by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2004-3
Cl. B, Upgraded to Ba3 (sf); previously on Jan 11,
2018 Upgraded to B2 (sf)
Cl. A-1, Upgraded to A1 (sf); previously on Feb
2, 2017 Upgraded to A3 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-4
Cl. M-2, Upgraded to B2 (sf); previously on Jan
11, 2018 Upgraded to Caa1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-8
Cl. M-2, Upgraded to B2 (sf); previously on Jan
11, 2018 Upgraded to Caa1 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Loan Trust, Series 2004-3
Cl. I-M-1, Upgraded to Caa2 (sf); previously
on Mar 3, 2011 Downgraded to Ca (sf)
Cl. I-A-5, Upgraded to A1 (sf); previously
on Jan 22, 2018 Upgraded to A3 (sf)
Underlying Rating: Upgraded to A1 (sf); previously on Jan 22,
2018 Upgraded to A3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. I-A-6, Upgraded to Aa3 (sf); previously
on Jan 22, 2018 Upgraded to A1 (sf)
Underlying Rating: Upgraded to Aa3 (sf); previously on Jan
22, 2018 Upgraded to A1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: GSAA Home Equity Trust 2004-7
Cl. AF-5, Upgraded to Aa2 (sf); previously on
Jan 22, 2018 Upgraded to A2 (sf)
Issuer: Impac CMB Trust Series 2003-4
Cl. 3-M-2, Upgraded to Baa1 (sf); previously
on Jan 11, 2018 Upgraded to Ba1 (sf)
3-B-1, Upgraded to Baa3 (sf); previously on Jan
11, 2018 Upgraded to Ba3 (sf)
Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed
Bonds, Series 2004-11
Cl. 2-A-1, Upgraded to B2 (sf); previously
on Jan 25, 2017 Upgraded to Caa1 (sf)
Cl. 1-A-1, Upgraded to Caa2 (sf); previously
on Aug 12, 2013 Confirmed at Caa3 (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Aug
12, 2013 Confirmed at Caa3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 1-A-2, Upgraded to Caa2 (sf); previously
on Aug 12, 2013 Confirmed at Caa3 (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Aug
12, 2013 Confirmed at Caa3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's updated
loss expectations on the underlying pools. The rating upgrades
are primarily due to an increase in the credit enhancement available to
the bonds. The rating upgrades for Cl. 1-A-1,
Cl. 1-A-2, and Cl. 2-A-1
from Impac CMB Trust Series 2004-11 Collateralized Asset-Backed
Bonds, Series 2004-11 are due to the updated loss expectations
on the underlying pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. 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 September 2018 from 4.2%
in September 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. 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_SF475420
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 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 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.
Ilana Fried
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