New York, April 17, 2012 -- Moody's Investors Service has downgraded the ratings of 142 tranches and
confirmed the ratings of eight tranches from 26 RMBS transactions,
backed by Alt-A loans, issued by Bear Stearns.
RATINGS RATIONALE
The actions are a result of the recent performance review of Alt-A
and Option ARM pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012.
The methodology used in rating Interest-Only Securities is "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in February 2012. Please see the Credit Policy page on
www.moodys.com for a copy of these methodologies.
Today's rating action constitute of a number of downgrades.
The downgrades are a result of deteriorating performance and/or structural
features resulting in higher expected losses for certain bonds than previously
anticipated. For e.g., for shifting interest
structures, back-ended liquidations could expose the seniors
to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. In our current approach, we capture
this risk by running each individual pool through a variety of loss and
prepayment scenarios in the Structured Finance Workstation® (SFW),
the cash flow model developed by Moody's Wall Street Analytics.
This individual pool level analysis incorporates performance variances
across the different pools and the structural nuances of the transaction
The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology"
is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
for the pool that is dependent on the vintage of loan origination (10%,
5% and 3% for the 2004, 2003 and 2002 and prior vintage
respectively). The baseline rates are higher than the average rate
of new delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level of current
delinquencies in the pool. The fewer the number of loans remaining
in the pool, the higher the volatility in performance. Once
the loan count in a pool falls below 75, the rate of delinquency
is increased by 1% for every loan less than 75. For example,
for a pool with 74 loans from the 2004 vintage, the adjusted rate
of new delinquency would be 10.10%. In addition,
if current delinquency levels in a small pool is low, future delinquencies
are expected to reflect this trend. To account for that,
the rate calculated above is multiplied by a factor ranging from 0.5
to 2.0 for current delinquencies ranging from less than 2.5%
to greater than 30% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, we considered the volatility
of the projected losses and timeline of the expected defaults.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
The above methodology only applies to pools with at least 40 loans and
a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific structural features
allow for a monitoring of the transaction (such as a credit enhancement
floor).
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Moody's Macroeconomic
Board and Moody's Analytics (MA) still expect a below-trend
growth for the US economy for 2012, with the unemployment rate remaining
high between 8% to 9% and home prices dropping another 2-3%
from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2003-3
Cl. I-A, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ba1 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. VI-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. I-X, Downgraded to Caa1 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ALT-A Trust 2003-5
Cl. I-A-1, Downgraded to A1 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to A1 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to A1 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Baa1 (sf); previously
on Mar 14, 2011 Downgraded to A1 (sf)
Cl. II-A-2, Downgraded to Baa1 (sf); previously
on Mar 14, 2011 Downgraded to A1 (sf)
Cl. III-A, Downgraded to A1 (sf); previously
on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
CL. IV-A, Confirmed at Aa2 (sf); previously on
Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to B2 (sf); previously on Mar 14,
2011 Downgraded to Ba2 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Mar 14, 2011 Downgraded to Caa3 (sf)
Issuer: Bear Stearns ALT-A Trust 2003-6
Cl. I-A-1, Downgraded to Aa2 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Aa2 (sf); previously
on Jan 31, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Baa2 (sf); previously
on Mar 14, 2011 Downgraded to A3 (sf)
Cl. II-A-2, Downgraded to Baa2 (sf); previously
on Mar 14, 2011 Downgraded to A3 (sf)
Cl. III-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Caa2 (sf); previously on Jan 31,
2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Mar 14, 2011 Downgraded to Ca (sf)
Issuer: Bear Stearns ALT-A Trust 2004-1
Cl. I-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ba1 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Ba1 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca (sf); previously on Jan 31,
2012 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ALT-A Trust 2004-12
Cl. II-A-1, Downgraded to Caa2 (sf); previously
on Mar 14, 2011 Downgraded to B3 (sf)
Cl. II-A-2, Downgraded to Caa2 (sf); previously
on Mar 14, 2011 Downgraded to B3 (sf)
Cl. II-A-3, Confirmed at B1 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Upgrade
Cl. II-A-4, Confirmed at B2 (sf); previously
on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Issuer: Bear Stearns ALT-A Trust 2004-2
Cl. II-A-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ca (sf); previously on Jan 31,
2012 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ALT-A Trust 2004-3
Cl. A-1, Downgraded to Baa3 (sf); previously
on Mar 14, 2011 Downgraded to Baa1 (sf)
Cl. M-1, Downgraded to B1 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Mar 14, 2011 Downgraded to Caa2 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-4
Cl. A-1, Downgraded to Ba3 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca (sf); previously on
Mar 14, 2011 Downgraded to Caa2 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-5
Cl. I-A-1, Confirmed at Aa2 (sf); previously
on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Ba3 (sf); previously
on Mar 14, 2011 Downgraded to Baa3 (sf)
Cl. II-A-2, Downgraded to Ba3 (sf); previously
on Mar 14, 2011 Downgraded to Baa3 (sf)
Cl. III-A-1, Confirmed at Baa2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to B1 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to B1 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to C (sf); previously on Jan 31,
2012 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ALT-A Trust 2004-7
Cl. I-A-1, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Baa2 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Downgraded to Baa1 (sf);
previously on Jan 31, 2012 A2 (sf) Placed Under Review for Possible
Downgrade
Cl. M, Downgraded to Caa2 (sf); previously on Jan 31,
2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Mar 14, 2011 Downgraded to Ca (sf)
Issuer: Bear Stearns ALT-A Trust 2004-9
Cl. I-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to B3 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Ca (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-1, Confirmed at B1 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Confirmed at B1 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Confirmed at Baa2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to B3 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to B2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ARM Trust 2002-1
Cl. III-A, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ARM Trust 2004-10
Cl. I-1-A-1, Downgraded to B3 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-2-A-2, Downgraded to B3 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-2-A-3, Downgraded to B2 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-2-A-4, Downgraded to B2 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-2-A-5, Downgraded to B2 (sf);
previously on May 13, 2011 Downgraded to Ba3 (sf)
Cl. I-2-A-6, Downgraded to Caa2 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-3-A-1, Downgraded to B3 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-4-A-1, Downgraded to B2 (sf);
previously on May 13, 2011 Downgraded to Ba3 (sf)
Cl. I-5-A-1, Downgraded to B3 (sf);
previously on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-M-1, Downgraded to Ca (sf); previously
on Jan 31, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-B-1, Downgraded to C (sf); previously
on May 13, 2011 Downgraded to Ca (sf)
Issuer: Bear Stearns ARM Trust 2004-12
Cl. I-A-1, Downgraded to Caa1 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to B3 (sf); previously
on May 13, 2011 Downgraded to B1 (sf)
Cl. II-A-2, Downgraded to B3 (sf); previously
on May 13, 2011 Downgraded to B1 (sf)
Cl. II-A-3, Downgraded to B3 (sf); previously
on May 13, 2011 Downgraded to B1 (sf)
Cl. III-A-1, Downgraded to Caa1 (sf);
previously on Jan 31, 2012 B1 (sf) Placed Under Review for Possible
Downgrade
Cl. IV-A-1, Downgraded to B2 (sf); previously
on May 13, 2011 Downgraded to B1 (sf)
Cl. M-1, Downgraded to C (sf); previously on
May 13, 2011 Downgraded to Ca (sf)
Issuer: Bear Stearns ARM Trust 2004-4
Cl. A-6, Downgraded to Baa1 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Baa1 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1 (sf); previously on
Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ARM Trust 2004-5
Cl. I-A, Downgraded to Ba3 (sf); previously on
Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
May 13, 2011 Downgraded to Caa3 (sf)
Issuer: Bear Stearns ARM Trust 2004-6
Cl. I-A-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa1 (sf); previously
on May 13, 2011 Downgraded to B3 (sf)
Cl. III-A, Downgraded to Caa1 (sf); previously
on May 13, 2011 Downgraded to B3 (sf)
Issuer: Bear Stearns ARM Trust 2004-7
Cl. I-A-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to B3 (sf); previously
on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to B2 (sf); previously on
Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ARM Trust 2004-8
Cl. I-1-A-1, Downgraded to Caa1 (sf);
previously on May 13, 2011 Downgraded to B3 (sf)
Cl. I-1-A-2, Downgraded to Caa1 (sf);
previously on May 13, 2011 Downgraded to B3 (sf)
Cl. I-1-A-3, Downgraded to Caa1 (sf);
previously on May 13, 2011 Downgraded to B3 (sf)
Cl. I-2-A-1, Downgraded to Caa2 (sf);
previously on May 13, 2011 Downgraded to B3 (sf)
Cl. I-3-A-1, Downgraded to Caa2 (sf);
previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible
Downgrade
Cl. I-4-A-1, Downgraded to Caa2 (sf);
previously on Jan 31, 2012 B3 (sf) Placed Under Review for Possible
Downgrade
Cl. II-A-1, Downgraded to Caa1 (sf); previously
on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC4
Cl. A-1, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Ba1 (sf); previously on
Feb 22, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC5
Cl. A-1, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ba1 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ba1 (sf); previously on
Feb 22, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC2
Cl. I-A1, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. I-A2, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. I-A3, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A4, Downgraded to Ba2 (sf); previously
on Feb 22, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-X, Downgraded to B2 (sf); previously on
Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. I-PO, Downgraded to Ba2 (sf); previously
on Mar 24, 2011 Downgraded to Baa2 (sf)
Cl. II-A, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-X, Downgraded to B2 (sf); previously on
Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. II-PO, Downgraded to Ba3 (sf); previously
on Mar 24, 2011 Downgraded to Baa2 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Mar 24, 2011 Downgraded to Caa3 (sf)
Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC3
Cl. A-1, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa1 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset-Backed Securities Trust 2002-AC1
Cl. X-1, Downgraded to Caa1 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. X-2, Downgraded to Caa1 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Cl. X-3, Downgraded to Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Caa1 (sf) and Placed Under Review
for Possible Downgrade
Cl. B-1, Downgraded to Baa1 (sf); previously
on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to B3 (sf); previously on
Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Mar 31, 2011 Downgraded to Caa2 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC4
Cl. A, Downgraded to Ba3 (sf); previously on Jan 31,
2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ca (sf); previously on
Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC6
Cl. A-3, Downgraded to Baa2 (sf); previously
on Mar 24, 2011 Downgraded to A3 (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Mar 24, 2011 Downgraded to Caa1 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF281652
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
For more information please see www.moodys.com.
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however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
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on our website www.moodys.com for further information.
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.
Jiwon Park
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
Deepika Kothari
Vice President - Senior Analyst
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 $2.3 billion Alt-A RMBS issued by Bear Stearns from 2002 to 2004
