New York, May 04, 2015 -- Moody's Investors Service has downgraded the ratings of nine tranches
and upgraded the ratings of ten tranches from six transactions,
backed by Alt-A RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC3
Cl. M-1, Upgraded to Ba2 (sf); previously on
Aug 27, 2013 Upgraded to B1 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Aug
27, 2013 Upgraded to Caa1 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Aug
27, 2013 Upgraded to Caa1 (sf)
Cl. B-1, Upgraded to B3 (sf); previously on Aug
27, 2013 Upgraded to Caa3 (sf)
Issuer: MASTR Alternative Loan Trust 2004-4
Cl. B-I-1, Downgraded to Ca (sf); previously
on Feb 28, 2011 Downgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-13
Cl. 1-A1, Downgraded to B1 (sf); previously on
Mar 21, 2011 Downgraded to Ba2 (sf)
Cl. 1-A2, Downgraded to Ba3 (sf); previously
on Mar 21, 2011 Downgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-23XS
Cl. 1-A3B, Upgraded to Baa2 (sf); previously
on Oct 3, 2013 Upgraded to Ba1 (sf)
Cl. 1-A3C, Upgraded to Baa1 (sf); previously
on Oct 3, 2013 Upgraded to Baa3 (sf)
Cl. 1-A3D, Upgraded to Baa1 (sf); previously
on Oct 3, 2013 Upgraded to Baa3 (sf)
Cl. 2-A1, Upgraded to Baa3 (sf); previously on
Oct 3, 2013 Upgraded to Ba2 (sf)
Cl. 2-A2, Upgraded to Baa2 (sf); previously on
Feb 4, 2013 Affirmed Ba1 (sf)
Cl. 2-A3, Upgraded to Ba1 (sf); previously on
Feb 4, 2013 Affirmed Ba3 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-2AC
Cl. A1, Downgraded to Ba3 (sf); previously on May 14,
2012 Downgraded to Ba1 (sf)
Cl. A2, Downgraded to Ba3 (sf); previously on May 14,
2012 Downgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-7
Cl. AP, Downgraded to B1 (sf); previously on May 14,
2012 Downgraded to Ba3 (sf)
Cl. 1-A1, Downgraded to B1 (sf); previously on
May 14, 2012 Downgraded to Ba2 (sf)
Cl. 2-A1, Downgraded to Ba3 (sf); previously
on May 14, 2012 Downgraded to Ba2 (sf)
Cl. 3-A1, Downgraded to Ba3 (sf); previously
on May 14, 2012 Downgraded to Ba2 (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 ratings upgraded are the result of the amortization and improved credit
enhancement available to the bonds. The ratings downgraded are
due to the erosion of enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
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 5.5% in March 2015 from 6.6%
in March 2014. Moody's forecasts an unemployment central range
of 5% to 6% for the 2015 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 2015. 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_SF405718
A list of updated estimated transaction pool losses are being posted on
an ongoing basis for the duration of this review period and may be found
at:
Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF237256
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.
Moody's received and took into account a third-party assessment
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessment had a neutral impact
on the credit rating.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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
Associate Analyst 2
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
Deepika Kothari
VP - Sr Credit Officer/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
Moody's takes action on $224.1 Million of Alt-A RMBS issued in 2003-2004