New York, March 08, 2016 -- Moody's Investors Service has taken actions on the ratings of 15 tranches
from five deals backed by "scratch and dent" RMBS loans.
Complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B
Cl. 2-A3, Upgraded to Aa3 (sf); previously on
May 31, 2011 Upgraded to A1 (sf)
Cl. 2-A4, Upgraded to Aa3 (sf); previously on
Jun 18, 2009 Downgraded to A1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on
Jul 11, 2012 Downgraded to B3 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on
May 31, 2011 Downgraded to Ca (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-D
Cl. 1-A4, Upgraded to B3 (sf); previously on
Jul 11, 2012 Confirmed at Caa1 (sf)
Cl. 1-A5, Upgraded to B2 (sf); previously on
Jul 11, 2012 Confirmed at B3 (sf)
Cl. 2-A3, Upgraded to B2 (sf); previously on
May 31, 2011 Downgraded to B3 (sf)
Cl. 2-A4, Upgraded to B2 (sf); previously on
May 31, 2011 Downgraded to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-1
Cl. M-1, Downgraded to B1 (sf); previously on
May 2, 2014 Upgraded to Ba2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-SC1
Cl. A, Upgraded to Aa3 (sf); previously on Jul 18,
2011 Downgraded to A3 (sf)
Cl. M-5, Upgraded to B1 (sf); previously on Jun
6, 2014 Upgraded to B3 (sf)
Cl. B-1, Upgraded to Caa2 (sf); previously on
Jul 18, 2011 Downgraded to C (sf)
Cl. B-2, Upgraded to Ca (sf); previously on Jul
18, 2011 Downgraded to C (sf)
Issuer: SACO I Inc. Series 2000-3
Cl. 1-B-1, Downgraded to Caa2 (sf); previously
on May 23, 2013 Downgraded to B2 (sf)
Cl. 1-B-2, Downgraded to Caa3 (sf); previously
on Jan 25, 2013 Upgraded to Caa2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
ratings upgraded are a result of improving performance of the related
pools and/or an increase in credit enhancement available to the bonds.
The ratings downgraded are due to the weaker performance of the underlying
collateral and/or the erosion of enhancement available to the bonds,
or the occurrence of recent interest shortfalls that are unlikely to be
reimbursed.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
Methodologies 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 4.9% in February 2016 from 5.5%
in February 2015. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2016 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 2016. 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_SF428127
A list of updated estimated 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/viewresearchdoc.aspx?docid=PBS_SF247004
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 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.
Claire Masters
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
Eric Fellows
Senior Vice President
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 $126.7 million of Scratch and Dent RMBS issued in 2000 and 2006