New York, December 24, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
36 tranches from 15 transactions, backed by Alt-A,
option ARM, scratch & dent and second lien loans.
Complete rating actions are as follows:
Issuer: Lehman XS Trust Series 2006-13
Cl. 1-A2, Upgraded to Caa1 (sf); previously on
Sep 16, 2010 Downgraded to Caa3 (sf)
Issuer: Lehman XS Trust Series 2006-3
Cl. A3, Upgraded to Caa3 (sf); previously on Sep 16,
2010 Downgraded to Ca (sf)
Issuer: Lehman XS Trust Series 2006-9
Cl. A1B, Upgraded to Caa1 (sf); previously on Sep 16,
2010 Downgraded to Caa3 (sf)
Issuer: Lehman XS Trust Series 2007-7N
Cl. 1-A2, Upgraded to Caa3 (sf); previously on
Oct 22, 2010 Confirmed at Ca (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS
Cl. M1, Upgraded to Aaa (sf); previously on Nov 22,
2016 Upgraded to Aa2 (sf)
Cl. M2, Upgraded to Caa1 (sf); previously on Jan 21,
2016 Upgraded to Caa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-6XS
Cl. M1, Upgraded to Aaa (sf); previously on Nov 12,
2017 Upgraded to Aa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-2
Cl. 1-A1, Upgraded to Caa2 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Cl. 1-A2, Upgraded to Caa2 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-3
Cl. 1-A1, Upgraded to Caa2 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-4
Cl. 1-A1, Upgraded to Caa3 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Cl. 1-A2, Upgraded to Caa1 (sf); previously on
Aug 27, 2012 Confirmed at Caa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-6
Cl. 1-A1, Upgraded to Caa3 (sf); previously on
Dec 7, 2010 Downgraded to Ca (sf)
Cl. 2-A1, Upgraded to B2 (sf); previously on
Dec 7, 2010 Downgraded to Caa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust, Series
2007-1
Cl. 1A-1, Upgraded to Caa2 (sf); previously on
Nov 19, 2010 Downgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2005-4XS
Cl. 1-A4A, Upgraded to Baa3 (sf); previously
on Aug 1, 2018 Upgraded to Ba3 (sf)
Cl. 1-A4B, Upgraded to Baa3 (sf); previously
on Aug 1, 2018 Upgraded to Ba3 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Aug
1, 2018 Upgraded to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 1-A5A, Upgraded to Baa2 (sf); previously
on Aug 1, 2018 Upgraded to Ba2 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Aug
1, 2018 Upgraded to Ba2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 1-A5B, Upgraded to Baa2 (sf); previously
on Aug 1, 2018 Upgraded to Ba2 (sf)
Cl. 2-A1A, Upgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to Caa2 (sf)
Cl. 2-A1B, Upgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-9XS
Cl. 1-A3A, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Upgraded to Aa2 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on Jan
12, 2018 Upgraded to Aa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. 1-A3B, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Upgraded to Aa2 (sf)
Cl. 1-A3C, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Upgraded to Aa3 (sf)
Cl. 1-A3D, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Upgraded to Aa2 (sf)
Cl. 1-A4, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Upgraded to Aa1 (sf)
Cl. 2-A1, Upgraded to Aa2 (sf); previously on
Jan 12, 2018 Upgraded to A3 (sf)
Cl. 2-A2, Upgraded to Aa2 (sf); previously on
Jan 12, 2018 Upgraded to A3 (sf)
Cl. 2-A3, Upgraded to Aa3 (sf); previously on
Jan 12, 2018 Upgraded to Baa1 (sf)
Cl. M1, Upgraded to Caa2 (sf); previously on Jan 12,
2018 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S6
Cl. M1, Upgraded to Aa3 (sf); previously on May 3,
2018 Upgraded to B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-TC1
Cl. A, Upgraded to Aaa (sf); previously on Apr 25,
2018 Upgraded to Aa3 (sf)
Cl. M-1, Upgraded to A1 (sf); previously on Apr
25, 2018 Upgraded to Baa2 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on
Apr 25, 2018 Upgraded to Ba3 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on
Apr 25, 2018 Upgraded to Caa2 (sf)
Cl. M-4, Upgraded to B2 (sf); previously on Mar
5, 2009 Downgraded to C (sf)
RATINGS RATIONALE
Today's rating upgrades on the bonds are primarily due to the settlement
payments distributed to the transactions in September 2018, pursuant
to a settlement between Lehman and certain RMBS investors. The
actions further reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The rating
upgrade on Cl. M-1 from Structured Asset Securities Corp
Trust 2005-S6 reflects the paydown of this $7.9 million
bond by $5.9 million, increasing it's credit enhancement
from 23% before the settlement payments, to 85% currently.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. Please see the Rating Methodologies
page on www.moodys.com for a copy of this methodology.
The Credit Rating for these 36 tranches was assigned in accordance with
Moody's existing Methodology entitled "US RMBS Surveillance Methodology,"
dated 1/31/2017. Please note that on 11/14/2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for pre-2009
US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime,
Scratch and Dent, Second Lien and Manufactured Housing transactions.
If the revised Methodology is implemented as proposed, the Credit
Rating on these 36 tranches are not expected to be affected. Please
refer to Moody's Request for Comment, titled "Proposed Update
to US RMBS Surveillance Methodology," for further details
regarding the implications of the proposed Methodology revisions on certain
Credit Ratings.
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 3.7% in November 2018 from 4.1%
in November 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. 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 and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476930
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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Jack Xu
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Soumya Vasudevan
VP - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653