New York, August 29, 2016 -- Moody's Investors Service has upgraded the ratings of 15 tranches from
three transactions, downgraded ratings of two tranches from one
transaction and confirmed ratings of 33 tranches from 5 transactions,
backed by Alt-A and RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp Trust 2003-33H
Cl. 1A1, Downgraded to Ba3 (sf); previously on Jun 17,
2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 1A-IO, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 1A-PO, Downgraded to Ba3 (sf); previously
on Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 1B1, Confirmed at Ca (sf); previously on Jun 17,
2016 Ca (sf) Placed Under Review Direction Uncertain
Cl. 2A1, Confirmed at Caa1 (sf); previously on Jun 17,
2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. 2A-IO, Confirmed at Caa1 (sf); previously
on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. 2B1, Confirmed at Ca (sf); previously on Jun 17,
2016 Ca (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2003-35
Cl. 1-A1, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. 2-A1, Upgraded to A3 (sf); previously on
Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A2, Upgraded to A3 (sf); previously on
Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A3, Upgraded to A3 (sf); previously on
Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. 2-A4, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A1, Upgraded to A3 (sf); previously on
Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A2, Upgraded to A3 (sf); previously on
Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A3, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 3-AP, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 4-A1, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. AX, Confirmed at Ba3 (sf); previously on Jun 17,
2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. PAX, Confirmed at Ba3 (sf); previously on Jun 17,
2016 Ba3 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2003-38
Cl. 1-A1, Confirmed at Baa2 (sf); previously
on Jun 17, 2016 Baa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A1, Confirmed at Baa1 (sf); previously
on Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A2, Confirmed at Baa1 (sf); previously
on Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A3, Confirmed at Baa1 (sf); previously
on Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A4, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 2-AP, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. AX, Confirmed at B2 (sf); previously on Jun 17,
2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. PAX, Confirmed at B2 (sf); previously on Jun 17,
2016 B2 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2004-15
Cl. 1-A1, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A1, Upgraded to Ba3 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 2-AP, Upgraded to Ba3 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A1, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A2, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A3, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A4, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A5, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A6, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A7, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A8, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 3-AP, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 3-AX, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 3-PAX, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 4-A1, Upgraded to Ba3 (sf); previously on
Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. AX, Upgraded to Ba3 (sf); previously on Jun 17,
2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. PAX, Upgraded to Ba3 (sf); previously on Jun 17,
2016 B2 (sf) Placed Under Review Direction Uncertain
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-1
Cl. 1-A-1, Upgraded to B3 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1, Upgraded to B3 (sf); previously
on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-2-2, Upgraded to B3 (sf);
previously on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction
Uncertain
Cl. 3-A-1, Upgraded to B3 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 4-A-1, Upgraded to B3 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 5-M-1, Confirmed at B2 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
Today's actions on Structured Asset Securities Corp Trust 2003-35,
Series 2003-38, Series 2004-15 and CSFB Adjustable
Rate Mortgage Trust 2005-1 conclude the review actions on these
bonds announced on June 17th 2016, relating to apparent inconsistences
between the prepayment shift percentage value calculated per the transaction
documents and the distributions being made by the administrator according
to the remittance reports. After review with the administrator,
we have corrected our cashflow models for the SASCO 2003-35,
2003-38 and 2004-15 transactions to lock senior prepayment
percentage instead of senior accelerated distribution percentage to accurately
reflect the transaction documents. These changes have no impact
on the ratings for these transactions. No model change was required
for the CSFB 2005-1 transaction. The upgrades on the bonds
from three of the four transactions were driven by improving credit enhancement.
These rating actions, as well as the confirmations of other tranches
of all four transactions, reflect the recent performance of the
underlying pools and Moody's updated loss expectation on the pools.
Today's actions on Structured Asset Securities Corp Trust 2003-33H
conclude the review actions on these bonds announced on June 17th,
2016 relating to the existence of an error in the prepayment shift percentage
input to the cash-flow waterfalls, and an apparent inconsistency
between the prepayment shift percentage value calculated per the transaction
documents and the distributions being made by the administrator according
to the remittance reports. Today's rating actions on these seven
bonds reflect the corrected prepayment shift input and the appropriate
allocation of principal prepayments in our cashflow model for this transaction.
These corrections were credit positive for one of the tranches,
CL. 1A1; this impact was offset, however, by the
erosion of credit enhancement and the thin support for this tranche compared
to the expected loss, which led to a downgrade for CL. 1A1.
The rating downgrade on CL.1A-PO was also due to the erosion
of credit enhancement and the thin support for this tranche compared to
the expected loss. These rating actions, as well as the confirmations
of other tranches of this transaction, also reflect a review with
the administrator which resolved the apparent inconsistency, as
well the recent performance of the underlying pools and Moody's updated
loss expectation on the pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
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 4.9% in July 2016 from 5.3%
in July 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 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 2016. 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_SF437942
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.
Chloe Zhang
Associate 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
