New York, May 24, 2013 -- Moody's Investors Service has downgraded the ratings of 18 tranches and
upgraded the ratings of 22 tranches from 18 RMBS transactions backed Scratch
Dent Loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2003-SD2
Cl. I-A, Downgraded to Ba1 (sf); previously on
Jul 5, 2012 Downgraded to Baa2 (sf)
Cl. II-A, Downgraded to Baa1 (sf); previously
on Jul 5, 2012 Downgraded to A1 (sf)
Cl. III-A, Downgraded to Ba2 (sf); previously
on Jul 5, 2012 Downgraded to Baa2 (sf)
Cl. B-1, Downgraded to B3 (sf); previously on
Jul 5, 2012 Downgraded to B1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD4
Cl. A-1, Downgraded to Aa3 (sf); previously on
Jul 5, 2012 Confirmed at Aaa (sf)
Cl. A-2, Downgraded to A1 (sf); previously on
May 20, 2011 Downgraded to Aa1 (sf)
Cl. M-1, Downgraded to Baa2 (sf); previously
on May 20, 2011 Downgraded to A3 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on
May 20, 2011 Downgraded to Ba3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2005-4
Cl. M-1, Upgraded to Baa1 (sf); previously on
Jul 5, 2012 Upgraded to Ba1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2005-SD1
Cl. I-M-3, Downgraded to Ba2 (sf); previously
on Jul 5, 2012 Confirmed at Baa3 (sf)
Cl. I-M-4, Downgraded to B2 (sf); previously
on May 20, 2011 Downgraded to Ba3 (sf)
Cl. I-M-5, Downgraded to Caa2 (sf); previously
on Jul 5, 2012 Confirmed at B3 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2007-1
Cl. A-1, Downgraded to B3 (sf); previously on
Jul 5, 2012 Downgraded to Ba3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD1
Cl. A, Downgraded to Baa1 (sf); previously on Jul 5,
2012 Downgraded to A2 (sf)
Cl. M-1, Downgraded to Ba2 (sf); previously on
Jul 5, 2012 Downgraded to Baa3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2004-SD2
Cl. I-A, Downgraded to Baa2 (sf); previously
on Jul 5, 2012 Downgraded to A3 (sf)
Cl. II-A, Downgraded to Baa2 (sf); previously
on Jul 5, 2012 Downgraded to A1 (sf)
Cl. III-A, Downgraded to Baa2 (sf); previously
on Jul 5, 2012 Downgraded to A3 (sf)
Cl. IV-A, Downgraded to Baa2 (sf); previously
on Jul 5, 2012 Downgraded to A3 (sf)
Issuer: GSAMP Trust 2007-SEA1
Cl. A, Upgraded to Ba2 (sf); previously on Jul 3,
2012 Upgraded to B2 (sf)
Issuer: GSRPM Mortgage Loan Trust 2006-1
Cl. A-1, Upgraded to A3 (sf); previously on Jul
3, 2012 Confirmed at Baa1 (sf)
Cl. A-3, Upgraded to Baa1 (sf); previously on
Jul 3, 2012 Confirmed at Baa2 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on
Jul 3, 2012 Downgraded to Caa3 (sf)
Issuer: RAAC Series 2005-RP1 Trust
Cl. M-2, Upgraded to A2 (sf); previously on Jul
3, 2012 Upgraded to Baa3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Jul
3, 2012 Upgraded to Caa3 (sf)
Issuer: RAAC Series 2005-RP2 Trust
Cl. M-2, Upgraded to Baa1 (sf); previously on
Jul 3, 2012 Confirmed at Ba2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Jul
3, 2012 Confirmed at Ca (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on
May 4, 2009 Downgraded to C (sf)
Issuer: RAAC Series 2005-RP3 Trust
Cl. M-1, Upgraded to Baa1 (sf); previously on
Jul 3, 2012 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on May
4, 2009 Downgraded to C (sf)
Issuer: RAAC Series 2006-RP1 Trust
Cl. A-2, Upgraded to Aa3 (sf); previously on
May 19, 2011 Confirmed at A1 (sf)
Cl. A-3, Upgraded to Aa3 (sf); previously on
May 19, 2011 Confirmed at A1 (sf)
Cl. M-1, Upgraded to Baa1 (sf); previously on
Jul 3, 2012 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
May 4, 2009 Downgraded to C (sf)
Issuer: RAAC Series 2006-RP2 Trust
Cl. A, Upgraded to Baa2 (sf); previously on Jul 3,
2012 Upgraded to Ba3 (sf)
Issuer: RAAC Series 2006-RP4 Trust
Cl. A, Upgraded to Ba1 (sf); previously on Jul 3,
2012 Confirmed at B3 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on May
4, 2009 Downgraded to C (sf)
Issuer: RAAC Series 2007-RP1 Trust
Cl. A, Upgraded to B3 (sf); previously on Jul 3,
2012 Confirmed at Caa3 (sf)
Issuer: RAAC Series 2007-RP2 Trust
Cl. A, Upgraded to B3 (sf); previously on Jul 3,
2012 Confirmed at Caa2 (sf)
Issuer: RFSC Series 2004-RP1 Trust
M-2, Upgraded to Baa3 (sf); previously on Jul 3,
2012 Upgraded to 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 upgrades and downgrades.
The upgrades are primarily driven by an increase in the available credit
enhancement. In many of the transactions, there has been
sufficient excess spread to absorb losses and maintain the overcollateralization
levels. In addition, many of the transactions are failing
their performance triggers which helped in building the enhancement available
for the most senior certificates. The downgrades are in transactions
with weak performance as well as declining credit enhancement available
to the bonds.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011, and "Rating Transactions Based on the Credit
Substitution Approach: Letter of Credit backed, Insured and
Guaranteed Debts" published in March 2013. Please see the Credit
Policy page on www.moodys.com for a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications and 2) small pool volatility.
Loan Modifications
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) to 2013 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 the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least 40 loans
and a pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however,
a transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction. Please
refer further to Moody's Investors Service's Withdrawal Policy,
which can be found on our website, www.moodys.com.
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate.
To project losses on scratch and dent pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on strength
of the collateral, number of loans remaining in the pool and the
level of current delinquencies in the pool. For scratch and dent,
Moody's first applies a baseline delinquency rate of 11% for standard
transactions and 3% for strongest prime-like deals.
Once the loan count in a pool falls below 76, this rate of delinquency
is increased by 1% for every loan fewer than 76. For example,
for a standard pool with 75 loans, the adjusted rate of new delinquency
is 11.1%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.75 to 2.5 for
current delinquencies that range from less than 2.5% to
greater than 30% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
When assigning the final ratings to the bonds, in addition to the
methodologies described above, we considered the volatility of the
projected losses and timeline of the expected defaults.
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 7.5% in April 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_SF330044
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.
Brian Kirimdar
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 $638 Million of US Scratch and Dent RMBS issued by various trusts.