New York, April 30, 2010 -- Moody's Investors Service has downgraded the ratings of 79 tranches and
has upgraded the ratings of 2 tranches from 8 RMBS transactions,
backed by Alt-A loans, issued by Bear Stearns Asset Backed
Securities I Trust in 2005.
The collateral backing these transactions consists primarily of first-lien,
fixed-rate, Alt-A residential mortgage loans.
The downgrade actions are a result of the rapidly deteriorating performance
of Alt-A pools in conjunction with macroeconomic conditions that
remain under duress. The actions reflect Moody's updated
loss expectations on Alt-A pools issued from 2005 to 2007.
For details regarding Moody's approach to estimating losses on Alt-A
pools originated in 2005, 2006, and 2007, please refer
to the methodology publication "Alt-A RMBS Loss Projection Update:
February 2010" available on Moodys.com.
In addition, Moody's has adjusted the ratings of two tranches
of Bear Stearns Asset Backed Securities I Trust 2005-AC5,
to address a credit guaranty that was not accurately accounted for in
the previous rating action on Feb 11, 2009. The corrected
ratings announced today give credit to the guaranty provided to the Class
II-A-1 and II-A-2 tranches by Assured Guaranty
Corp, resulting in the upgrade of these tranches.
To assess the rating implications of the updated loss levels on Alt-A
RMBS, each individual pool was run through a variety of scenarios
in the Structured Finance Workstation® (SFW), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the different
pools and the structural features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
Class 1-A-3 issued by Bear Stearns Asset Backed Securities
I Trust 2005-AC5 and Class A-5 issued by Bear Stearns Asset
Backed Securities I Trust 2005-AC9 are wrapped by Financial Guaranty
Insurance Company (insurance financial strength rating withdrawn).
Classes II-A-1 and II-A-2 from Bear Stearns
Asset Backed Securities I Trust 2005-AC5 are wrapped by Assured
Guaranty Corp. (rated Aa3). For securities insured by a
financial guarantor, the rating on the securities is the higher
of (i) the guarantor's financial strength rating and (ii) the current
underlying rating (i.e., absent consideration of the
guaranty) on the security. The principal methodology used in determining
the underlying rating is the same methodology for rating securities that
do not have a financial guaranty and is as described earlier. Moody's
withdrew the insurance financial strength rating of Financial Guaranty
Insurance Company's (FGIC) in March 2009. As a result securities
wrapped by FGIC are rated at their underlying rating without consideration
for FGIC's guaranty.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. In addition, Moody's publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website, at www.moodys.com/SFQuickCheck
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC1
Cl. A, Downgraded to B3; previously on Jan 14,
2010 Aa1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 14,
2010 Baa3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 14,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C; previously on Jan 14,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C; previously on Jan 14,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC2
Cl. I-A, Downgraded to Caa1; previously on Jan
14, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa1; previously
on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Caa1; previously
on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to Ca; previously
on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. I-B-1, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to C; previously
on Jan 14, 2010 Ba2 Placed Under Review for Possible Downgrade
Cl. I-B-3, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Cl. II-M-1, Downgraded to Ca; previously
on Jan 14, 2010 Aa3 Placed Under Review for Possible Downgrade
Cl. II-M-2, Downgraded to C; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. II-M-3, Downgraded to C; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. II-B-1, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-B-2, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. II-B-3, Downgraded to C; previously
on Jan 14, 2010 Ca Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC3
Cl. I-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 Aa1 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on Jan 14, 2010 Aa2 Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on Jan 14, 2010 A2 Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. I-B-1, Downgraded to C; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-B-3, Downgraded to C; previously
on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to C; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to Caa2; previously on Jan
14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. II-PO, Downgraded to Caa2; previously on
Jan 14, 2010 Baa3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC4
Cl. A, Downgraded to Caa2; previously on Jan 14,
2010 Baa1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C; previously on Jan 14,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 14,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 14,
2010 Caa2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC5
Cl. I-A-1, Downgraded to Caa2; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. I-M-1, Downgraded to C; previously
on Jan 14, 2010 Ba1 Placed Under Review for Possible Downgrade
Cl. I-M-2, Downgraded to C; previously
on Jan 14, 2010 B1 Placed Under Review for Possible Downgrade
Cl. I-M-3, Downgraded to C; previously
on Jan 14, 2010 Caa3 Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Caa2; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2; previously on Jan 21,
2010 Baa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/24/2009)
Cl. I-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to Caa2; previously
on Jan 14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. II-A-1, Upgraded to Aa3; previously
on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2; previously on Jan 21,
2010 B2 Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp. (Confirmed at
Aa3; Outlook Negative on 12/18/2009)
Cl. II-A-2, Upgraded to Aa3; previously
on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2; previously on Jan 21,
2010 B2 Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Corp. (Confirmed at
Aa3; Outlook Negative on 12/18/2009)
Cl. II-A-3, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-X-1, Downgraded to Caa2; previously
on Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Cl. II-X-2, Downgraded to Caa2; previously
on Jan 14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. II-PO, Downgraded to Caa2; previously on
Jan 14, 2010 B2 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC8
Cl. A-1, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa1; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Ca; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Ca; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to Ca; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. A-10, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Caa3; previously on Jan 14,
2010 B3 Placed Under Review for Possible Downgrade
Cl. X-1, Downgraded to Caa3; previously on Jan
14, 2010 B3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC9
Cl. A-1, Downgraded to Caa2; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa2; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa2; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa2; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Caa2; previously on Jan
14, 2010 Baa1 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2; previously on Jan 21,
2010 Baa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/24/2009)
Cl. M-1, Downgraded to C; previously on Jan 14,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 14,
2010 Caa3 Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust I Series 2005-AC7
Cl. A-1, Downgraded to Caa1; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa1; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa1; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa1; previously on Jan
14, 2010 A1 Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca; previously on Jan
14, 2010 Baa2 Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C; previously on Jan 14,
2010 Ba1 Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C; previously on Jan 14,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C; previously on Jan 14,
2010 B2 Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF202549
A list of updated estimated pool losses and tranche recovery details is
being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
For more information please see www.moodys.com.
New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Ilana Fried
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $1.3 billion of Alt-A RMBS issued by Bear Stearns in 2005