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Rating Action:

Moody's takes action on $200.9 Million of Alt-A RMBS issued in 2003 and 2004

14 Feb 2017

New York, February 14, 2017 -- Moody's Investors Service has upgraded the rating of 22 tranches and downgraded the rating of five tranches from seven transactions, backed by Alt-A mortgage loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Bear Stearns ALT-A Trust 2004-11

Cl. I-A-1, Upgraded to Aa1 (sf); previously on May 5, 2016 Upgraded to Aa3 (sf)

Cl. I-A-2, Upgraded to Aa2 (sf); previously on May 5, 2016 Upgraded to A1 (sf)

Cl. II-A-1, Upgraded to B3 (sf); previously on Jun 6, 2012 Downgraded to Caa2 (sf)

Cl. II-A-2, Upgraded to B3 (sf); previously on Jun 6, 2012 Downgraded to Caa2 (sf)

Cl. II-A-3, Upgraded to B1 (sf); previously on Jun 6, 2012 Downgraded to B3 (sf)

Cl. II-A-4, Upgraded to Ba2 (sf); previously on May 14, 2015 Downgraded to Ba3 (sf)

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

Cl. II-A-6a, Upgraded to B1 (sf); previously on May 5, 2016 Upgraded to B3 (sf)

Cl. II-A-6b, Upgraded to Caa2 (sf); previously on Jun 6, 2012 Downgraded to Ca (sf)

Cl. I-M-1, Upgraded to B1 (sf); previously on May 5, 2016 Upgraded to B3 (sf)

Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC7

Cl. A-1, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf)

Cl. A-2, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf)

Cl. A-3, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf)

Cl. A-4, Downgraded to B1 (sf); previously on Oct 4, 2012 Downgraded to Ba2 (sf)

Cl. M-1, Downgraded to Caa3 (sf); previously on Oct 4, 2012 Downgraded to Caa2 (sf)

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3

Cl. I-A-5, Upgraded to Baa2 (sf); previously on Mar 15, 2016 Upgraded to Ba1 (sf)

Underlying Rating: Upgraded to Baa2 (sf); previously on Mar 15, 2016 Upgraded to Ba1 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. I-A-6, Upgraded to A3 (sf); previously on Mar 3, 2011 Downgraded to Baa3 (sf)

Underlying Rating: Upgraded to A3 (sf); previously on Mar 3, 2011 Downgraded to Baa3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. II-AR-1, Upgraded to A1 (sf); previously on Mar 15, 2016 Upgraded to Baa1 (sf)

Cl. II-AR-2, Upgraded to Aa3 (sf); previously on Aug 29, 2013 Upgraded to A3 (sf)

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-4

Cl. II-AR-1, Upgraded to Aa2 (sf); previously on Apr 4, 2016 Upgraded to A1 (sf)

Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP3

Cl. A-5A, Upgraded to Baa2 (sf); previously on Apr 4, 2016 Upgraded to Ba1 (sf)

Cl. A-5B, Upgraded to Baa2 (sf); previously on Apr 4, 2016 Upgraded to Ba1 (sf)

Cl. A-6, Upgraded to Baa1 (sf); previously on Apr 4, 2016 Upgraded to Baa3 (sf)

Underlying Rating: Upgraded to Baa1 (sf); previously on Apr 4, 2016 Upgraded to Baa3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Issuer: Structured Asset Securities Corp Trust 2004-11XS

Cl. 1-A5A, Upgraded to B1 (sf); previously on May 14, 2012 Downgraded to B3 (sf)

Cl. 1-A5B, Upgraded to B1 (sf); previously on Jan 19, 2016 Downgraded to B3 (sf)

Underlying Rating: Upgraded to B1 (sf); previously on May 14, 2012 Downgraded to B3 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 2, 2016)

Cl. 1-A6, Upgraded to Ba2 (sf); previously on May 14, 2012 Downgraded to B1 (sf)

Underlying Rating: Upgraded to Ba2 (sf); previously on May 14, 2012 Downgraded to B1 (sf)

Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Dec 2, 2016)

Issuer: Thornburg Mortgage Securities Trust 2003-2

Cl. A, Upgraded to Aa2 (sf); previously on Nov 28, 2013 Downgraded to A1 (sf)

RATINGS RATIONALE

The actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The rating upgrades are due to the stable to improved collateral performance of the related underlying pools and the increase of credit enhancement available to the bonds. The rating upgrades on Classes II-A-1, II-A-3, II-A-4, II-A-6a and II-A-6b from Bear Stearns ALT-A Trust 2004-11, Classes I-A-5, I-A-6 and II-AR-1 from Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-3, and Class A from Thornburg Mortgage Securities Trust 2003-2 are solely due to the increase of credit enhancement available to the bonds. The rating upgrades on tranches from Structured Asset Securities Corp Trust 2004-11XS are due to the credit enhancement available to the bonds and their current cash flow priority in a sequential pay waterfall. The rating downgrades are due to the deterioration of credit 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.

Additionally, the methodology used in rating Bear Stearns Asset-Backed Securities Trust 2003-AC7 Class A-4 was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in October 2015. 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 4.8% in January 2017 from 4.9% in January 2016. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2017 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 2017. 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_SF447825

A list of updated estimated transaction pool losses and bond recoveries are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel:

Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174

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.

Yasmine Tasoulas
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/Manager
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

No Related Data.
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