New York, December 08, 2014 -- Moody's Investors Service has upgraded the ratings of eight tranches and
downgraded the ratings of 34 tranches from eight transactions, backed
by Alt-A RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2004-6
Cl. A-1, Upgraded to Ba3 (sf); previously on
Apr 3, 2013 Affirmed B3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-17
Cl. A1, Downgraded to Ba1 (sf); previously on Jul 6,
2012 Confirmed at Baa3 (sf)
Cl. A1X, Downgraded to Ba1 (sf); previously on Jul 6,
2012 Confirmed at Baa3 (sf)
Cl. A2, Downgraded to Ba1 (sf); previously on Jul 6,
2012 Confirmed at Baa3 (sf)
Cl. A2X, Downgraded to Ba1 (sf); previously on Jul 6,
2012 Confirmed at Baa3 (sf)
Cl. A3, Downgraded to Ba1 (sf); previously on Jul 6,
2012 Confirmed at Baa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-2
Cl. 2-A, Downgraded to Ba2 (sf); previously on
Mar 10, 2011 Downgraded to Baa3 (sf)
Cl. 3-A, Downgraded to Ba2 (sf); previously on
Jul 6, 2012 Downgraded to Ba1 (sf)
Cl. 4-A1, Downgraded to Ba1 (sf); previously
on Mar 10, 2011 Downgraded to Baa3 (sf)
Cl. 4-A2, Downgraded to Ba1 (sf); previously
on Mar 10, 2011 Downgraded to Baa3 (sf)
Cl. 4-A3, Downgraded to Ba1 (sf); previously
on Mar 10, 2011 Downgraded to Baa3 (sf)
Cl. 5-A, Downgraded to Ba2 (sf); previously on
Mar 10, 2011 Downgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corp 2003-6A
Cl. 1-A1, Downgraded to B1 (sf); previously on
Jun 18, 2013 Downgraded to Ba3 (sf)
Cl. 2-A1, Downgraded to Ba3 (sf); previously
on Mar 26, 2014 Downgraded to Ba2 (sf)
Cl. 3-A2, Downgraded to B1 (sf); previously on
Jun 18, 2013 Downgraded to Ba3 (sf)
Cl. 3-A1, Downgraded to B1 (sf); previously on
Jun 18, 2013 Downgraded to Ba3 (sf)
Cl. 4-A1, Downgraded to B1 (sf); previously on
Jun 18, 2013 Downgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corp 2003-9A
Cl. 2-A1, Downgraded to Ba1 (sf); previously
on Mar 26, 2014 Downgraded to Baa3 (sf)
Cl. 2-A2, Downgraded to Ba1 (sf); previously
on Mar 26, 2014 Downgraded to Baa3 (sf)
Cl. 2-A3, Downgraded to Ba1 (sf); previously
on Mar 26, 2014 Downgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-24A
Cl. 1-A1, Downgraded to Ba3 (sf); previously
on Jun 18, 2013 Downgraded to Ba2 (sf)
Cl. 1-A2, Downgraded to Ba3 (sf); previously
on Jun 18, 2013 Downgraded to Ba2 (sf)
Cl. 1-A3, Downgraded to Ba3 (sf); previously
on Jun 18, 2013 Downgraded to Ba2 (sf)
Cl. 2-A, Downgraded to Ba3 (sf); previously on
Mar 26, 2014 Downgraded to Ba2 (sf)
Cl. 3-A1, Downgraded to Ba2 (sf); previously
on Mar 26, 2014 Downgraded to Ba1 (sf)
Cl. 3-A2, Downgraded to Ba2 (sf); previously
on Mar 26, 2014 Downgraded to Ba1 (sf)
Cl. 4-A, Downgraded to Ba3 (sf); previously on
Mar 26, 2014 Downgraded to Ba2 (sf)
Cl. 5-A, Downgraded to Ba2 (sf); previously on
Mar 26, 2014 Downgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-33H
Cl. 1A1, Downgraded to Ba2 (sf); previously on Jun 18,
2013 Downgraded to Baa3 (sf)
Cl. 1A-PO, Downgraded to Ba2 (sf); previously
on Jun 18, 2013 Downgraded to Baa3 (sf)
Cl. 1B1, Downgraded to Ca (sf); previously on Mar 26,
2014 Downgraded to Caa3 (sf)
Cl. 1B2, Downgraded to C (sf); previously on Mar 21,
2011 Downgraded to Ca (sf)
Cl. 2A1, Downgraded to Caa1 (sf); previously on Jul
5, 2012 Downgraded to B2 (sf)
Cl. 2A-IO, Downgraded to Caa1 (sf); previously
on Jul 5, 2012 Downgraded to B2 (sf)
Cl. 2B2, Downgraded to C (sf); previously on Mar 21,
2011 Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 1-A4A, Upgraded to Ba1 (sf); previously on
Mar 26, 2014 Upgraded to Ba3 (sf)
Cl. 1-A4B, Upgraded to Ba1 (sf); previously on
Mar 26, 2014 Upgraded to Ba3 (sf)
Cl. 1-A4C, Upgraded to Ba1 (sf); previously on
Mar 26, 2014 Upgraded to Ba3 (sf)
Cl. 1-A4D, Upgraded to Ba1 (sf); previously on
Mar 26, 2014 Upgraded to Ba3 (sf)
Cl. 1-A5, Upgraded to Ba3 (sf); previously on
Mar 26, 2014 Upgraded to B2 (sf)
Underlying Rating: Upgraded to Ba3 (sf); previously on Mar
26, 2014 Upgraded to B2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2,
Outlook Stable on May 21, 2014)
Cl. 1-A6, Upgraded to Ba2 (sf); previously on
Mar 26, 2014 Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Ba2 (sf); previously on Mar
26, 2014 Upgraded to Ba3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B2,
Outlook Stable on May 21, 2014)
Cl. 2-M1, Upgraded to B1 (sf); previously on
Mar 26, 2014 Upgraded to B3 (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 ratings upgraded are due to faster paydown and improving credit enhancement
available to 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 5.8% in November 2014 from 7.0%
in November 2013. Moody's forecasts an unemployment central range
of 6% to 7% 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_SF389239
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 $273 Million of Alt-A RMBS issued in 2003 and 2004