New York, September 16, 2016 -- Moody's Investors Service has upgraded the ratings of 2 tranches and confirmed
ratings of 40 tranches from 6 transactions, backed by Alt-A
RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2004-NCM1
Cl. IV-A-1, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. PO-4, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Issuer: Citigroup Mortgage Loan Trust, Series 2004-NCM2
Cl. PO-1, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. PO-2, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. PO-3, Confirmed at Ba2 (sf); previously on
Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. B-1, Confirmed at Caa3 (sf); previously on
Jun 17, 2016 Caa3 (sf) Placed Under Review Direction Uncertain
Cl. XS-1, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. XS-2, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. XS-3, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. IA-CB1, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IA-CB-2, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IA-CB-3, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. IIA-CB-1, Confirmed at Baa3 (sf);
previously on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction
Uncertain
Cl. IIA-CB-2, Confirmed at Baa3 (sf);
previously on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction
Uncertain
Cl. IIA-CB-3, Confirmed at Baa3 (sf);
previously on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction
Uncertain
Cl. IIIA-CB-1, Confirmed at Baa3 (sf);
previously on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction
Uncertain
Cl. IIIA-CB-2, Confirmed at Baa3 (sf);
previously on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction
Uncertain
Issuer: First Horizon Alternative Mortgage Securities Trust 2004-FA1
Cl. I-A-PO, Confirmed at B3 (sf); previously
on Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. II-A-PO, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. III-A-PO, Confirmed at Caa2 (sf);
previously on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction
Uncertain
Cl. I-A-1, Confirmed at B2 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. II-A-1, Confirmed at Ba1 (sf); previously
on Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. III-A-1, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-2
Cl. 1-A1, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A2, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 1-AX, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A, Confirmed at Ba2 (sf); previously on
Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A, Confirmed at Ba2 (sf); previously on
Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 5-A, Confirmed at Ba2 (sf); previously on
Jun 17, 2016 Ba2 (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. 4-A2, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 4-A3, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2003-31A
Cl. 1-A, Confirmed at Ba2 (sf); previously on
Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A1, Upgraded to Baa3 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A7, Upgraded to Baa3 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 3-A, Confirmed at Ba1 (sf); previously on
Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2003-40A
Cl. 1-A, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 2-A, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 3-A1, Confirmed at B2 (sf); previously on
Jun 17, 2016 B2 (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. 4-A, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 5-A, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
Today's actions on Citigroup Mortgage Loan Trust, Series 2004-NCM1
conclude the review actions on these bonds announced on June 17,
2016 relating to the existence of an error in the prepayment shift percentage
input to the cashflow waterfalls. Today's confirmations of the
ratings on these two bonds reflect the corrected prepayment shift input
and the appropriate allocation of principal prepayments in our cashflow
model per the most recent remittance report for this transaction,
as well as the recent performance of the underlying pools and Moody's
updated loss expectation on the pools in tandem with bond specific credit
protection.
Today's actions on Citigroup Mortgage Loan Trust Series 2004-NCM2,
First Horizon Alternative Mortgage Securities Trust 2004-FA1,
Structured Adjustable Rate Mortgage Loan Trust 2004-2 and Structured
Asset Securities Corp Trust 2003-31A conclude the review actions
on these bonds announced on June 17, 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. Due to lack
of response from the administrators, we updated the prepayment shift
percentage value inputs for these four deals per our understanding of
each transaction's documents and the most recent remittance report
to resolve the apparent inconsistency. These updates did not have
an impact on the ratings on the bonds. During the course of the
review, we discovered an error in the cashflow models used in rating
the SARM 2004-2 and SASCO 2003-31A transactions; this
error has been corrected to lock senior prepayment percentage instead
of senior accelerated distribution percentage to accurately reflect the
transaction documents. The correction of this error did not impact
the ratings on the bonds. No model changes are required for Citigroup
Mortgage Loan Trust 2004-NCM2 and First Horizon Alternative Mortgage
Securities Trust 2004-FA1. The upgrades on Cl. 2A-1
and Cl. 2A-7 from SASCO 2003-31A are due to improvement
of credit enhancement available to the bonds. 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 in tandem with bond specific credit protection.
Today's actions on Structured Asset Securities Corp Trust 2003-40A
conclude the review actions on these bonds announced on June 17,
2016 relating to the existence of an error in the prepayment shift percentage
input to the cashflow 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. Due to lack of response from the administrators,
we updated the prepayment shift percentage value inputs for this deal
per our understanding of each transaction's documents and the most
recent remittance report to resolve the apparent inconsistency.
During the course of the review, we discovered an error in the cashflow
model used to rate this transaction; this error has been corrected
to lock senior prepayment percentage instead of senior accelerated distribution
percentage to accurately reflect the transaction documents. Today's
confirmations on these six bonds reflect the corrected prepayment shift
input and the appropriate allocation of principal prepayments in our cashflow
model for this transaction, as well as the recent performance of
the underlying pools and Moody's updated loss expectation on the pools
in tandem with bond specific credit protection.
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 Aug 2016 from 5.1%
in Aug 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_SF439591
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
