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Rating Action:

Moody's takes action on $268.5M of US Scratch and Dent RMBS issued by Various Issuers

05 Mar 2013

New York, March 05, 2013 -- Moody's Investors Service has downgraded the rating of 10 tranches, confirmed the rating of two tranches, and affirmed the rating of 20 tranches from six transactions, backed by Scratch and Dent loans.

Complete rating actions are as follows:

Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2002-X1

Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Affirmed Caa3 (sf); previously on May 20, 2011 Downgraded to Caa3 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2003-X3

Cl. M2, Downgraded to B2 (sf); previously on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. M3, Downgraded to B3 (sf); previously on Jul 5, 2012 Confirmed at B1 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2003-IA1

Cl. MV-1, Confirmed at A1 (sf); previously on Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Cl. MF-1, Confirmed at A1 (sf); previously on Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Cl. A-4, Affirmed Aaa (sf); previously on May 20, 2011 Confirmed at Aaa (sf)

Cl. A-5, Affirmed Aa1 (sf); previously on May 20, 2011 Downgraded to Aa1 (sf)

Cl. A-6, Affirmed Aaa (sf); previously on May 20, 2011 Confirmed at Aaa (sf)

Cl. M-2, Affirmed Baa3 (sf); previously on May 20, 2011 Downgraded to Baa3 (sf)

Cl. M-3, Affirmed Ba3 (sf); previously on May 20, 2011 Downgraded to Ba3 (sf)

Issuer: Bayview Financial Mortgage Pass-Through Trust 2007-B

Cl. 1-A1, Downgraded to B1 (sf); previously on Apr 19, 2012 A1 (sf) Placed Under Review for Possible Downgrade

Cl. 1-A2, Downgraded to Caa1 (sf); previously on Apr 19, 2012 B2 (sf) Placed Under Review for Possible Downgrade

Cl. 2-A2, Downgraded to B1 (sf); previously on Dec 12, 2012 Downgraded to Ba2 (sf)

Cl. 1-A3, Affirmed C (sf); previously on May 31, 2011 Downgraded to C (sf)

Cl. 1-A4, Affirmed C (sf); previously on May 31, 2011 Downgraded to C (sf)

Cl. 1-A5, Affirmed Caa3 (sf); previously on May 31, 2011 Downgraded to Caa3 (sf)

Cl. 2-A3, Affirmed C (sf); previously on May 31, 2011 Downgraded to C (sf)

Cl. 2-A4, Affirmed Caa3 (sf); previously on May 31, 2011 Downgraded to Caa3 (sf)

Cl. M-1, Affirmed C (sf); previously on Jun 18, 2009 Downgraded to C (sf)

Cl. M-3, Affirmed C (sf); previously on Jun 18, 2009 Downgraded to C (sf)

Cl. M-4, Affirmed C (sf); previously on Jun 18, 2009 Downgraded to C (sf)

Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-RP1

Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to B1 (sf); previously on May 20, 2011 Downgraded to Baa2 (sf)

Cl. M-3, Affirmed Caa3 (sf); previously on May 20, 2011 Downgraded to Caa3 (sf)

Cl. B-1, Affirmed C (sf); previously on May 20, 2011 Downgraded to C (sf)

Cl. B-2, Affirmed C (sf); previously on May 20, 2011 Downgraded to C (sf)

Issuer: MASTR Specialized Loan Trust 2004-02

Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade

Cl. M-3, Affirmed Baa1 (sf); previously on Jun 26, 2012 Upgraded to Baa1 (sf)

Cl. M-4, Affirmed Baa3 (sf); previously on Jun 26, 2012 Confirmed at Baa3 (sf)

Cl. B, Affirmed Ba3 (sf); previously on Jun 26, 2012 Confirmed at Ba3 (sf)

RATINGS RATIONALE

The actions are a result of recent performance review of these deals and reflect Moody's updated loss expectations on these pools.

Today's rating actions constitute of a number of confirmations, downgrades, and affirmations.

The downgrades are primarily due to the weak interest shortfall reimbursement mechanism on the bonds. The tranches downgraded to A3 (sf) do not have interest shortfalls but in the event of an interest shortfall, structural limitations in the transactions will prevent recoupment of interest shortfalls even if funds are available in subsequent periods. Missed interest payments on these mezzanine tranches can only be made up from excess interest and after the overcollateralization is built to a target amount. In these transactions since overcollateralization is already below target due to poor performance, any missed interest payments to mezzanine tranches are unlikely to be paid. Moody's caps the ratings of such tranches with weak interest shortfall reimbursement at A3 (sf) as long as they have not experienced any shortfall.

Generally, ratings on tranches that currently have very small unrecoverable interest shortfalls are capped at Baa3. For tranches with larger outstanding interest shortfalls, Moody's applies "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009. These approaches take into account only credit-related interest shortfall risks. The ratings for Class M2 and Class M3 in Ameriquest Mortgage Securities Inc, Quest Trust 2003-X3; Class 1-A1, Class 1-A2, and Class 2-A2 from Bayview Financial Mortgage Pass-Through Trust 2007-B; And Class M-2 from C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-RP1, were downgraded to B1 (sf) and below. These tranches have outstanding interest shortfalls ranging between 0.32% and 7.30% of their original balance and are unlikely to be reimbursed.

The ratings for Class MV-1 and Class MF-1 in Ameriquest Mortgage Securities Inc, Series 2003-IA1 were confirmed. Moody's has placed these two tranches on review for downgrade due to the interest shortfall risk. These tranches have not experienced any interest shortfall to date. After further review of the deal's performance and the pooling and servicing agreement, Moody's believes that the mezzanine tranches, even though have a weak reimbursement mechanism for interest shortfall, will be reimbursed any possible interest shortfall since the current overcollateralization amount is close to the target overcollateralization amount.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, and "US RMBS Surveillance Methodology for Scratch and Dent" published in May 2011. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Other factors used in these ratings are described in "Moody's Approach to Rating Structured Finance Securities in Default" published in November 2009.

Moody's adjusts the methodologies noted above for Moody's current view on loan modifications. As a result of an extension of the Home Affordable Modification Program (HAMP) and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until September 2014.

The primary sources of assumption uncertainty are our central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.5% in December 2011 to 7.9% in January 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing 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_SF319433

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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF247004

REGULATORY DISCLOSURES

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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.

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.

Max Sauray
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 $268.5M of US Scratch and Dent RMBS issued by Various Issuers
No Related Data.
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