New York, August 13, 2013 -- Moody's Investors Service has downgraded the ratings of 63 tranches from
15 transactions backed by Alt-A and Option ARM RMBS loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns Alt-A Trust 2006-8
Cl. III-A-1, Downgraded to Baa1 (sf);
previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible
Downgrade
Issuer: Cendant Mortgage Corporation Pass-Through Certificates,
Series 2001-A
Cl. M, Downgraded to Baa2 (sf); previously on Jun 19,
2013 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Loan Trust, Series 2004-1
Cl. I-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2003-5
Cl. 1-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
CL. 3-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Ba1 (sf); previously
on Apr 26, 2012 Downgraded to Baa2 (sf)
Cl. 6-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to Ba1 (sf); previously
on Apr 26, 2012 Downgraded to Baa2 (sf)
Cl. 8-A-1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 30-PO, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 30-B-1, Downgraded to B2 (sf); previously
on Apr 26, 2012 Downgraded to Ba3 (sf)
Cl. 15-PO, Downgraded to Ba1 (sf); previously
on Apr 26, 2012 Downgraded to Baa2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Aternative Loan
Trust, Series 2003-A2
Cl. M1, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2001-QS13 Trust
A-P, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A2 (sf) Placed Under Review for Possible Downgrade
A-1, Downgraded to A3 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2002-QS14 Trust
A-10, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
A-11, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
A-12, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
A-P, Downgraded to Baa1 (sf); previously on Jun 19,
2013 A1 (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2003-QS1 Trust
A-8, Downgraded to Baa3 (sf); previously on Jun 19,
2013 A3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa3 (sf); previously on Jun
19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3,
Outlook Positive on May 21, 2013)
A-13, Downgraded to Baa2 (sf); previously on Jun 19,
2013 A2 (sf) Placed Under Review for Possible Downgrade
A-14, Downgraded to Baa2 (sf); previously on Jun 19,
2013 A2 (sf) Placed Under Review for Possible Downgrade
A-P, Downgraded to Baa2 (sf); previously on Jun 19,
2013 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: RFSC Series 2001-RM2 Trust
Cl. A-I, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. AP-I, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp 2002-5A
Cl. 1-A1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A2, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A3, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A4, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A2, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A, Downgraded to Baa2 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp 2003-20
CL. 1-A1, Downgraded to Baa3 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
CL. 1-AP, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Downgraded to Baa1 (sf)
Cl. 2-A3, Downgraded to Ba1 (sf); previously
on Jul 5, 2012 Downgraded to Baa2 (sf)
Cl. 2-A4, Downgraded to Ba1 (sf); previously
on Jul 5, 2012 Downgraded to Baa2 (sf)
Cl. 3-A1, Downgraded to Baa3 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-AP, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Downgraded to Baa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-22A
Cl. 1-A, Downgraded to Ba1 (sf); previously on
Jul 5, 2012 Downgraded to Baa1 (sf)
Cl. 2-A1, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Downgraded to Baa1 (sf)
Cl. 4-A, Downgraded to Baa3 (sf); previously
on Jul 5, 2012 Downgraded to Baa1 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-34A
Cl. 5-A4, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A5, Downgraded to Ba3 (sf); previously
on Jul 5, 2012 Downgraded to Ba1 (sf)
Issuer: Structured Asset Securities Corporation, Series 2005-10
Cl. 3-A1, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 3-A4, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 4-A1, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 4-A8, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 4-A9, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 4-A10, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 5-A1, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 5-A2, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A3, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A6, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 5-A9, Downgraded to Caa1 (sf); previously
on Aug 11, 2010 Downgraded to B2 (sf)
Cl. 5-A10, Downgraded to Caa1 (sf); previously
on Feb 22, 2012 Downgraded to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR13
Trust
Cl. A-1A, Downgraded to Baa1 (sf); previously
on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade
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. In
addition, the downgrades reflect the exposure of the affected bonds
to tail risk due to the pro-rata pay nature of the transaction.
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.
As detailed in the methodology noted above, subject to the results
of a stress scenario analysis, Moody's caps the ratings of bonds
exposed to tail-end risk to A3 (sf) or below, unless the
bonds are expected to pay off within a year or are expected to pay off
well before the underlying pool is expected to be small pool (100 loans).
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 July
2012 to 7.4% in July 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_SF338813
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_SF198174
and
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 this transaction in the past
six months for Cendant Mortgage Corporation Pass-Through Certificates,
Series 2001-A.
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 for Bear Stearns Alt-A Trust
2006-8, Deutsche Mortgage Securities, Inc. Mortgage
Loan Loan Trust, Series 2004-1, MASTR Alternative Loan
Trust 2003-5, Nomura Asset Acceptance Corporation,
Aternative Loan Trust, Series 2003-A2, RALI Series
2001-QS13 Trust, RALI Series 2002-QS14 Trust,
RALI Series 2003-QS1 Trust, RFSC Series 2001-RM2 Trust,
Structured Asset Securities Corp 2002-5A, Structured Asset
Securities Corp 2003-20, Structured Asset Securities Corp
Trust 2003-22A, Structured Asset Securities Corp Trust 2003-34A,
Structured Asset Securities Corporation, Series 2005-10,
and WaMu Mortgage Pass-Through Certificates Series 2004-AR13
Trust 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.
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
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 $529 Million of Alt-A and Option ARM RMBS issued from 2001 - 2006