New York, October 03, 2013 -- Moody's Investors Service has upgraded the ratings of 21 tranches and
downgraded the ratings of 12 tranches from eight transactions backed by
Alt-A and Option ARM RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2004-25
Cl. 1-A-3, Downgraded to Caa3 (sf); previously
on May 11, 2012 Downgraded to Caa1 (sf)
Cl. 1-A-5, Upgraded to Caa3 (sf); previously
on Mar 3, 2011 Downgraded to Ca (sf)
Issuer: FNBA Mortgage Loan Trust 2004-AR1
Cl. A-1, Upgraded to A3 (sf); previously on Jun
15, 2012 Upgraded to Baa2 (sf)
Cl. A-2, Upgraded to A1 (sf); previously on Jun
15, 2012 Confirmed at Baa1 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on
Jun 15, 2012 Confirmed at Baa3 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on
Jun 15, 2012 Confirmed at B3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Jun
15, 2012 Confirmed at C (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-2
Cl. 1-A-1, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Cl. 2-A-1, Downgraded to B1 (sf); previously
on May 2, 2012 Downgraded to Ba1 (sf)
Cl. 4-A-1, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Cl. 4-A-2, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Cl. 4-A-X, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Cl. 5-A-1, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa2 (sf)
Cl. 5-A-2, Downgraded to B1 (sf); previously
on May 2, 2012 Downgraded to Ba3 (sf)
Cl. 6-A-1, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Cl. 6-A-X, Downgraded to Ba2 (sf); previously
on May 2, 2012 Downgraded to Baa3 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11
Cl. B-1, Upgraded to Ca (sf); previously on Feb
15, 2013 Affirmed C (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on
Feb 15, 2013 Affirmed B1 (sf)
Issuer: MASTR Alternative Loan Trust 2004-7
Cl. 6-A-1, Downgraded to Ba3 (sf); previously
on Apr 26, 2012 Confirmed at Baa3 (sf)
Cl. 15-PO, Downgraded to B1 (sf); previously
on Feb 28, 2011 Downgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-11XS
Cl. 1-A4A, Upgraded to Ba1 (sf); previously on
May 14, 2012 Downgraded to Ba3 (sf)
Cl. 1-A4B, Upgraded to Ba1 (sf); previously on
May 14, 2012 Downgraded to Ba3 (sf)
Cl. 2-M1, Upgraded to Ba3 (sf); previously on
May 14, 2012 Downgraded to B1 (sf)
Cl. 2-M2, Upgraded to Caa2 (sf); previously on
Mar 2, 2011 Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2004-21XS
Cl. 1-A4, Upgraded to Ba3 (sf); previously on
Mar 2, 2011 Downgraded to B2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 1-A5, Upgraded to Ba1 (sf); previously on
May 14, 2012 Upgraded to Ba3 (sf)
Cl. 2-A4A, Upgraded to A3 (sf); previously on
Mar 2, 2011 Downgraded to Baa2 (sf)
Cl. 2-A4B, Upgraded to Baa1 (sf); previously
on May 14, 2012 Downgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-23XS
Cl. 1-A3A, Upgraded to Baa1 (sf); previously
on Feb 4, 2013 Downgraded to Baa3 (sf)
Cl. 1-A3B, Upgraded to Ba1 (sf); previously on
Feb 4, 2013 Downgraded to Ba3 (sf)
Cl. 1-A3C, Upgraded to Baa3 (sf); previously
on Feb 4, 2013 Downgraded to Ba1 (sf)
Cl. 1-A3D, Upgraded to Baa3 (sf); previously
on Feb 4, 2013 Downgraded to Ba1 (sf)
Cl. 2-A1, Upgraded to Ba2 (sf); previously on
Feb 4, 2013 Downgraded to Ba3 (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
upgrades are a result of improving performance of the related pools,
faster pay-down of the bonds due to prepayments/faster liquidations
and improvement in the credit enhancement available to the bonds.
The downgrades are largely due to the weaker performance of the underlying
small pools.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in June 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 8.1% in August
2012 to 7.3% in August 2013. Moody's forecasts an
unemployment central range of 7.0% to 8.0%
for the 2013 year. Moody's expects house prices to continue to
rise in 2013. 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_SF343994
A list of updated estimated pool losses and sensitivity analysis 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.
REGULATORY DISCLOSURES
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.
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
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
Amita Shrivastava
VP - Senior Credit Officer
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 $245 Million of Alt-A and Option ARM RMBS issued from 2003-2004