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Rating Action:

Moody's takes action on $161.4 Million of Alt-A RMBS issued from 2001 to 2005

20 Apr 2018

New York, April 20, 2018 -- Moody's Investors Service has upgraded the ratings of 28 tranches and downgraded the ratings of one tranche from six transactions, backed by Alt-A RMBS loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Bear Stearns ALT-A Trust 2004-12

Cl. I-A-1, Upgraded to Aaa (sf); previously on May 26, 2017 Upgraded to Aa2 (sf)

Cl. I-A-2, Upgraded to Aaa (sf); previously on May 26, 2017 Upgraded to A1 (sf)

Cl. I-A-3, Upgraded to Aaa (sf); previously on May 26, 2017 Upgraded to Aa2 (sf)

Cl. I-A-4, Upgraded to Aaa (sf); previously on May 26, 2017 Upgraded to Aa3 (sf)

Cl. II-A-3, Upgraded to Baa3 (sf); previously on Jul 18, 2016 Upgraded to Ba2 (sf)

Cl. II-A-4, Upgraded to B1 (sf); previously on Jul 18, 2016 Upgraded to B3 (sf)

Cl. I-M-2, Upgraded to Ca (sf); previously on Mar 14, 2011 Downgraded to C (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR1

Cl. II-A-1, Upgraded to A3 (sf); previously on Jul 16, 2012 Confirmed at Baa2 (sf)

Cl. III-A-1, Upgraded to A3 (sf); previously on Jul 16, 2012 Confirmed at Baa2 (sf)

Cl. IV-A-1, Upgraded to A3 (sf); previously on Jul 16, 2012 Confirmed at Baa2 (sf)

Cl. V-A-1, Upgraded to A3 (sf); previously on Jul 16, 2012 Confirmed at Baa2 (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-11

Cl. 3-A-6, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Issuer: GSAA Home Equity Trust 2005-4

Cl. A-4, Upgraded to Aaa (sf); previously on May 31, 2017 Upgraded to Aa3 (sf)

Cl. A-6, Upgraded to Aaa (sf); previously on May 31, 2017 Upgraded to Aa3 (sf)

Cl. M-2, Upgraded to B1 (sf); previously on May 31, 2017 Upgraded to Caa1 (sf)

Issuer: Merrill Lynch Bank USA Mortgage Pass-Through Certificates, 2001-A

Cl. B-1, Upgraded to B2 (sf); previously on May 23, 2013 Downgraded to Caa3 (sf)

Cl. B-2, Upgraded to Caa1 (sf); previously on May 23, 2013 Downgraded to C (sf)

Cl. M-1, Upgraded to Ba1 (sf); previously on May 23, 2013 Downgraded to Ba3 (sf)

Cl. M-2, Upgraded to B1 (sf); previously on May 23, 2013 Downgraded to Caa1 (sf)

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-4

Cl. 1-A1, Upgraded to Ba1 (sf); previously on Jul 6, 2012 Downgraded to Ba3 (sf)

Cl. 1-A2, Upgraded to Ba1 (sf); previously on Jul 6, 2012 Downgraded to Ba3 (sf)

Cl. 2A, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 3-A1, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 3-A2, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 3-A3, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 3-A4, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 3-A5, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 4-A, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

Cl. 5-A, Upgraded to Baa2 (sf); previously on Jul 18, 2016 Upgraded to Ba1 (sf)

RATINGS RATIONALE

The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. The rating downgraded is due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bonds.

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 4.1% in March 2018 from 4.5% in March 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 and tranche recoveries may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF470677

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.

Wenzhao Wu
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
Vice President - 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

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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