New York, January 11, 2018 -- Moody's Investors Service has upgraded the ratings of 66 tranches,
and downgraded the ratings of eight tranches from 21 transactions backed
by Alt-A mortgage loans, issued by multiple issuers between
2003 and 2005. Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2004-1
Cl. I-A-1, Upgraded to Baa1 (sf); previously
on Jan 25, 2017 Upgraded to Ba1 (sf)
Cl. I-A-2, Upgraded to Baa1 (sf); previously
on Jan 25, 2017 Upgraded to Ba1 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously
on Mar 21, 2016 Upgraded to Baa2 (sf)
Cl. II-A-2, Upgraded to Baa1 (sf); previously
on Mar 21, 2016 Upgraded to Baa2 (sf)
Cl. II-A-3, Upgraded to Baa1 (sf); previously
on Mar 21, 2016 Upgraded to Baa2 (sf)
Cl. III-A-1, Upgraded to Baa1 (sf); previously
on Apr 17, 2012 Downgraded to Ba1 (sf)
Cl. IV-A-1, Upgraded to Baa1 (sf); previously
on Apr 17, 2012 Downgraded to Ba1 (sf)
Cl. V-A-1, Upgraded to Baa1 (sf); previously
on Jan 25, 2017 Upgraded to Ba1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-3
Cl. B, Upgraded to B2 (sf); previously on Feb 2,
2017 Upgraded to Caa2 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on
Feb 2, 2017 Upgraded to Ba3 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-4
Cl. A-1, Upgraded to Aaa (sf); previously on
Jan 25, 2017 Upgraded to A1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Mar 14, 2011 Downgraded to C (sf)
Issuer: Bear Stearns ALT-A Trust 2004-6
Cl. I-A, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa1 (sf)
Cl. III-A, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa1 (sf)
Cl. B-1, Upgraded to B3 (sf); previously on Feb
2, 2017 Upgraded to Caa1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-8
Cl. I-A, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa1 (sf)
Cl. II-A, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa1 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Mar 29, 2016 Upgraded to Caa3 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-9
Cl. I-A-1, Upgraded to B1 (sf); previously
on Mar 29, 2016 Downgraded to B3 (sf)
Cl. I-A-2, Upgraded to B3 (sf); previously
on Mar 29, 2016 Downgraded to Caa3 (sf)
Cl. II-A-1, Upgraded to B3 (sf); previously
on Jun 2, 2015 Upgraded to Caa1 (sf)
Cl. VI-A-1, Upgraded to B2 (sf); previously
on Feb 27, 2013 Downgraded to Caa1 (sf)
Cl. VII-A-1, Upgraded to Baa3 (sf); previously
on Feb 2, 2017 Upgraded to Ba1 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC5
Cl. B, Upgraded to Ba3 (sf); previously on Jan 23,
2017 Upgraded to B3 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on
Jan 23, 2017 Upgraded to B1 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2004-AC1
Cl. B, Upgraded to Ba3 (sf); previously on Jun 29,
2015 Upgraded to B3 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on
Jun 29, 2015 Upgraded to B1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-UP3
Cl. A-2, Downgraded to Baa3 (sf); previously
on Jul 16, 2013 Downgraded to Baa1 (sf)
Cl. A-3, Downgraded to Baa3 (sf); previously
on Jul 16, 2013 Downgraded to Baa1 (sf)
Cl. B-1, Downgraded to B1 (sf); previously on
Mar 8, 2016 Downgraded to Ba3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Loan Trust, Series 2004-2
Cl. A-6, Upgraded to Aa2 (sf); previously on
Jan 25, 2017 Upgraded to A1 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on
Mar 9, 2016 Upgraded to Caa3 (sf)
Issuer: Impac CMB Trust Series 2003-4
Cl. 3-A-1, Upgraded to A1 (sf); previously
on Jan 30, 2017 Upgraded to A3 (sf)
3-B-1, Upgraded to Ba3 (sf); previously on Jan
30, 2017 Upgraded to B2 (sf)
Cl. 3-M-1, Upgraded to A3 (sf); previously
on Jan 30, 2017 Upgraded to Baa2 (sf)
Cl. 3-M-2, Upgraded to Ba1 (sf); previously
on Jan 30, 2017 Upgraded to Ba3 (sf)
Issuer: Impac CMB Trust Series 2003-8
Cl. 1-A-1, Upgraded to Aaa (sf); previously
on Mar 9, 2016 Upgraded to Aa1 (sf)
Cl. 1-A-2, Upgraded to Aaa (sf); previously
on Mar 9, 2016 Upgraded to Aa2 (sf)
Cl. 1-M-1, Upgraded to Aa1 (sf); previously
on Mar 9, 2016 Upgraded to A2 (sf)
Cl. 1-M-2, Upgraded to Aa2 (sf); previously
on Mar 9, 2016 Upgraded to A3 (sf)
Cl. 1-M-3, Upgraded to Aa3 (sf); previously
on Mar 9, 2016 Upgraded to A3 (sf)
Cl. 1-M-4, Upgraded to A1 (sf); previously
on Mar 9, 2016 Upgraded to Baa1 (sf)
Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed
Bonds, Series 2004-5
Cl. 1-A-1, Upgraded to A1 (sf); previously
on Jan 23, 2017 Upgraded to A2 (sf)
Cl. 1-A-2, Upgraded to Aa3 (sf); previously
on Jan 23, 2017 Upgraded to A1 (sf)
Cl. 1-A-3, Upgraded to A2 (sf); previously
on Jan 23, 2017 Upgraded to Baa1 (sf)
Cl. 1-M-1, Upgraded to A3 (sf); previously
on Jan 23, 2017 Upgraded to Baa2 (sf)
Cl. 1-M-2, Upgraded to A3 (sf); previously
on Jan 23, 2017 Upgraded to Baa3 (sf)
Cl. 1-M-3, Upgraded to Baa1 (sf); previously
on Jan 23, 2017 Upgraded to Ba1 (sf)
Cl. 1-M-4, Upgraded to Baa2 (sf); previously
on Jan 23, 2017 Upgraded to Ba2 (sf)
Cl. 1-M-5, Upgraded to Baa3 (sf); previously
on Jan 23, 2017 Upgraded to Ba3 (sf)
Cl. 1-M-6, Upgraded to Ba1 (sf); previously
on Jan 23, 2017 Upgraded to B2 (sf)
Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed
Bonds, Series 2004-8
Cl. 1-A, Upgraded to Ba2 (sf); previously on
Mar 22, 2016 Upgraded to B1 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Mar
22, 2016 Upgraded to B1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-1, Upgraded to Ba1 (sf); previously
on Mar 22, 2016 Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Mar
22, 2016 Upgraded to Ba3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-2, Upgraded to Ba3 (sf); previously
on Mar 22, 2016 Upgraded to Caa2 (sf)
Underlying Rating: Upgraded to Ba3 (sf); previously on Mar
22, 2016 Upgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2003-1
Cl. A-1, Downgraded to Baa1 (sf); previously
on Aug 25, 2014 Downgraded to A3 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Feb 2,
2017 Upgraded to Caa2 (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on
Feb 2, 2017 Upgraded to Ba1 (sf)
Cl. M-2, Downgraded to B3 (sf); previously on
Feb 2, 2017 Upgraded to B1 (sf)
Issuer: Lehman Mortgage Trust 2005-1
Cl. 6-A1, Downgraded to Caa3 (sf); previously
on Mar 12, 2014 Downgraded to Caa1 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11
Cl. B-1, Upgraded to B3 (sf); previously on May
1, 2015 Upgraded to Caa3 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-9
Cl. B-1, Upgraded to Caa3 (sf); previously on
Feb 15, 2013 Affirmed C (sf)
Issuer: MASTR Alternative Loan Trust 2004-4
Cl. 2-A-1, Upgraded to Baa2 (sf); previously
on Apr 26, 2012 Downgraded to Baa3 (sf)
Cl. 7-A-1, Upgraded to Baa2 (sf); previously
on Apr 26, 2012 Downgraded to Baa3 (sf)
Cl. 8-A-1, Upgraded to Baa3 (sf); previously
on Apr 26, 2012 Downgraded to Ba1 (sf)
Issuer: MASTR Alternative Loan Trust 2004-9
Cl. A-5, Upgraded to Aaa (sf); previously on
Nov 22, 2016 Upgraded to Aa3 (sf)
Cl. A-6, Upgraded to Aaa (sf); previously on
Nov 22, 2016 Upgraded to Aa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-23XS
Cl. 1-A3A, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa2 (sf)
Cl. 1-A3B, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa3 (sf)
Cl. 1-A3C, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa2 (sf)
Cl. 1-A3D, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa2 (sf)
Cl. 1-A4, Upgraded to Aaa (sf); previously on
Feb 2, 2017 Upgraded to Aa2 (sf)
Cl. 2-A1, Upgraded to Aa2 (sf); previously on
Feb 2, 2017 Upgraded to A2 (sf)
Cl. 2-A2, Upgraded to Aa1 (sf); previously on
Feb 2, 2017 Upgraded to A1 (sf)
Cl. 2-A3, Upgraded to Aa3 (sf); previously on
Feb 2, 2017 Upgraded to A3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on those pools. The rating
upgrades are primarily due to improvement of credit enhancement available
to the bonds and expected loss on the collateral. The rating downgrades
are due to erosion of credit enhancement on 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 November 2017 from 4.6%
in November 2016. 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_SF465955
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.
Surbhi Khandelwal
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
Deepika Kothari
Senior Vice President
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
