New York, March 11, 2020 -- Moody's Investors Service, ("Moody's") has
upgraded the rating of six tranches from three transactions and downgraded
five tranches from three transactions backed by Option ARM and Subprime
loans.
The complete rating actions are as follows:
Issuer: DSLA Mortgage Loan Trust 2004-AR3
Cl. B-1, Downgraded to Ba3 (sf); previously on
Jun 7, 2016 Upgraded to Ba1 (sf)
Cl. B-2, Downgraded to Ca (sf); previously on
Jun 7, 2016 Upgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-TC1
Cl. M-3, Downgraded to B1 (sf); previously on
Feb 27, 2018 Upgraded to Ba3 (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on
Jun 21, 2019 Upgraded to Ca (sf)
Issuer: Park Place Securities, Inc., Asset-Backed
Pass-Through Certificates, Series 2004-WWF1
Cl. M-4, Downgraded to B2 (sf); previously on
Nov 18, 2014 Upgraded to B1 (sf)
Cl. M-5, Downgraded to B2 (sf); previously on
May 18, 2017 Upgraded to B1 (sf)
Issuer: RAMP Series 2005-RZ3 Trust
Cl. M-3, Upgraded to Aaa (sf); previously on
Jun 21, 2019 Upgraded to Aa2 (sf)
Cl. M-4, Upgraded to A2 (sf); previously on Jun
21, 2019 Upgraded to Baa1 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Jul
17, 2017 Upgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series
2005-AR19
Cl. A-1C3, Upgraded to B1 (sf); previously on
Jun 10, 2019 Upgraded to B3 (sf)
Cl. A-1C4, Upgraded to B1 (sf); previously on
Jun 10, 2019 Upgraded to B3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's updated
loss expectations on the underlying pools. The rating upgrades
are a result of improving performance of the related pools and/or an increase
in credit enhancement available to the bonds. The rating downgrades
for DSLA Mortgage Loan Trust 2004-AR3 are due to weaker performance
of the underlying collateral. The remaining downgrades are due
to outstanding interest shortfalls on the bonds which are not expected
to be recouped as the bonds have weak reimbursement mechanisms for interest
shortfalls.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in February 2019. 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 3.5% in February 2020 from 3.8%
in February 2019. Moody's forecasts an unemployment central range
of 3.8% to 4.2% for the 2020 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 2020. 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.
The full action including CUSIP identifier may be found at: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF487903
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
Joseph DiMiceli
Vice President - Senior 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