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Rating Action:

Moody's takes action on $224.5 Million of Alt-A RMBS issued from 2002 to 2004

23 Sep 2014

New York, September 23, 2014 -- Moody's Investors Service has downgraded the ratings of 25 tranches from seven transactions backed by Alt-A RMBS loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: MASTR Adjustable Rate Mortgages Trust 2004-2

Cl. M-2, Downgraded to Baa3 (sf); previously on Feb 15, 2013 Downgraded to A3 (sf)

Cl. M-3, Downgraded to B1 (sf); previously on Feb 15, 2013 Affirmed Ba3 (sf)

Issuer: Structured Asset Securities Corp 2002-21A

Cl. 1-A1, Downgraded to Ba3 (sf); previously on Jul 5, 2012 Upgraded to Ba1 (sf)

Cl. 1-A3, Downgraded to Ba3 (sf); previously on Jul 5, 2012 Upgraded to Ba1 (sf)

Issuer: Structured Asset Securities Corp 2003-15A

Cl. 1-A, Downgraded to Ba2 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Cl. 2-A1, Downgraded to Ba1 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Cl. 2-A2, Downgraded to Ba1 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Cl. 2-A3, Downgraded to Ba1 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Cl. 3-A, Downgraded to Ba1 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Cl. 4-A, Downgraded to Ba1 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

Issuer: Structured Asset Securities Corp Trust 2003-31A

Cl. 1-A, Downgraded to Ba2 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Cl. 2-A1, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Cl. 2-A7, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Cl. 3-A, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Issuer: Structured Asset Securities Corp Trust 2003-36XS

Cl. A5, Downgraded to Ba1 (sf); previously on Jul 5, 2012 Confirmed at Baa2 (sf)

Underlying Rating: Downgraded to Ba1 (sf); previously on Jul 5, 2012 Confirmed at Baa2 (sf)

Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2, Outlook Stable on May 21, 2014)

Issuer: Structured Asset Securities Corp Trust 2003-37A

Cl. 2-A, Downgraded to Ba2 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Cl. 3-A6, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf)

Cl. 3-A7, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf)

Cl. 4-A, Downgraded to Ba2 (sf); previously on Jul 5, 2012 Downgraded to Baa3 (sf)

Cl. 5-A, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba2 (sf)

Cl. 6-A, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba2 (sf)

Cl. 8-A1, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf)

Cl. 8-A2, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf)

Issuer: Thornburg Mortgage Securities Trust 2003-2

Cl. M-1, Downgraded to Baa3 (sf); previously on Nov 28, 2013 Downgraded to Baa1 (sf)

Cl. M-2, Downgraded to Ba2 (sf); previously on Nov 28, 2013 Downgraded to Baa3 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings downgraded are due to the weaker performance of the underlying collateral and the erosion of enhancement available for those 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 6.1% in August 2014 from 7.2% in August 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 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 2014. 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_SF380960

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

Excel: http://www.moodys.com/viewresearchdoc.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 did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

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.

As the section on loss and cash flow analysis describes, 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.

Soumya Vasudevan
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

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 $224.5 Million of Alt-A RMBS issued from 2002 to 2004
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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