NOTE: On July 3, 2013, the press release was revised as follows: The following was added to the list of rating actions:
Issuer: Hanover Capital Trust 1999-B
Cl. 1-A, Downgraded to A2 (sf); previously on Dec 16, 2008 Confirmed at Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013). Revised release follows.
New York, June 28, 2013 -- Moody's Investors Service has downgraded the ratings of 27 tranches and
upgraded the ratings of 12 tranches backed by Scratch and Dent RMBS loans.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-SP2
Cl. A-3, Upgraded to Baa3 (sf); previously on
Jul 11, 2012 Upgraded to Ba2 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Apr
24, 2009 Downgraded to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-SD1
Cl. A, Upgraded to B3 (sf); previously on Jul 18,
2012 Confirmed at Caa2 (sf)
Issuer: RAAC 2006-SP2 Trust
Cl. A-2, Upgraded to A1 (sf); previously on Jul
17, 2012 Upgraded to Baa2 (sf)
Cl. A-3, Upgraded to Baa2 (sf); previously on
Jul 17, 2012 Upgraded to Ba2 (sf)
Issuer: RAAC Series 2004-SP1 Trust
Cl. M-1, Downgraded to Caa1 (sf); previously
on Jul 17, 2012 Confirmed at B2 (sf)
Issuer: RAAC Series 2004-SP2 Trust
Cl. A-I, Downgraded to Caa1 (sf); previously
on Jul 17, 2012 Downgraded to B1 (sf)
Cl. A-II-1, Downgraded to Caa1 (sf); previously
on May 19, 2011 Downgraded to B2 (sf)
Cl. A-II-2, Downgraded to Caa1 (sf); previously
on May 19, 2011 Downgraded to B3 (sf)
Cl. A-II-IO, Downgraded to Caa1 (sf);
previously on May 19, 2011 Downgraded to B2 (sf)
Cl. A-II-PO, Downgraded to Caa1 (sf);
previously on Jul 17, 2012 Confirmed at B2 (sf)
Issuer: RAAC Series 2004-SP3 Trust
Cl. A-II, Downgraded to Baa2 (sf); previously
on Jul 17, 2012 Confirmed at A3 (sf)
Cl. M-II-1, Downgraded to B1 (sf); previously
on Jul 17, 2012 Confirmed at Baa3 (sf)
Issuer: RAAC Series 2005-SP1 Trust
Cl. A-I-1, Downgraded to Ba2 (sf); previously
on May 19, 2011 Downgraded to Baa3 (sf)
Cl. A-I-2, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Cl. A-I-5, Downgraded to Ba2 (sf); previously
on Jul 17, 2012 Downgraded to Ba1 (sf)
Cl. A-I-6, Downgraded to B1 (sf); previously
on Jul 17, 2012 Downgraded to Ba2 (sf)
Cl. A-I-PO, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Cl. A-II-1, Downgraded to Ba3 (sf); previously
on Jul 17, 2012 Downgraded to Baa3 (sf)
Cl. A-II-3, Downgraded to Ba3 (sf); previously
on May 19, 2011 Downgraded to Ba1 (sf)
Cl. A-II-8, Downgraded to Ba3 (sf); previously
on May 19, 2011 Downgraded to Baa3 (sf)
Cl. A-II-9, Downgraded to B1 (sf); previously
on Jul 17, 2012 Downgraded to Ba1 (sf)
Cl. A-II-PO, Downgraded to B1 (sf); previously
on May 19, 2011 Downgraded to Ba1 (sf)
Cl. A-III-1, Downgraded to B1 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Cl. A-III-9, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to B1 (sf)
Cl. A-III-IO, Downgraded to B2 (sf); previously
on Feb 22, 2012 Downgraded to Ba3 (sf)
Cl. A-III-PO, Downgraded to B2 (sf); previously
on May 19, 2011 Downgraded to Ba2 (sf)
Cl. A-IV-1, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Cl. A-IV-2, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Cl. A-IV-IO, Downgraded to B3 (sf); previously
on Jul 17, 2012 Downgraded to B1 (sf)
Cl. A-IV-PO, Downgraded to B2 (sf); previously
on Jul 17, 2012 Downgraded to Ba3 (sf)
Issuer: RAAC Series 2005-SP3 Trust
Cl. M-1, Upgraded to Baa3 (sf); previously on
Jul 17, 2012 Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to B3 (sf); previously on Jul
17, 2012 Upgraded to Caa3 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on
May 4, 2009 Downgraded to C (sf)
Issuer: RAAC Series 2006-SP3 Trust
Cl. A-2, Upgraded to A3 (sf); previously on May
19, 2011 Confirmed at Ba1 (sf)
Cl. A-3, Upgraded to Baa3 (sf); previously on
Jul 17, 2012 Confirmed at B1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on
May 4, 2009 Downgraded to Ca (sf)
Issuer: Salomon Brothers Mortgage Trust 2001-2
Cl. M-3, Upgraded to Ba2 (sf); previously on
Jul 18, 2012 Downgraded to B1 (sf)
Issuer: Hanover Capital Trust 1999-B
Cl. 1-A, Downgraded to A2 (sf); previously on Dec 16, 2008 Confirmed at Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded to A2, Outlook Stable on Jan 17, 2013)
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
downgrades are a result of deteriorating performance and structural features
resulting in higher expected losses for the bonds than previously anticipated.
The upgrades are a result of improving performance of the related pools
and faster pay-down of the bonds than anticipated.
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 8.2% in May
2012 to 7.6% in May 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_SF334426
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
For more information please see www.moodys.com.
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 ratings.
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.
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.
Minxi Qiu
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 - 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 $324 Million of Scratch and Dent RMBS issued from 1999 -- 2007