New York, June 16, 2020 -- Moody's Investors Service (Moody's) has downgraded the ratings of eleven
tranches, from four RMBS transactions, backed by Subprime
and Alt-A loans.
The complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC7
Cl. A-1, Downgraded to Caa1 (sf); previously
on Mar 24, 2011 Downgraded to B2 (sf)
Cl. A-2, Downgraded to Caa1 (sf); previously
on Mar 24, 2011 Downgraded to B2 (sf)
Cl. A-3*, Downgraded to Caa1 (sf); previously
on Mar 24, 2011 Downgraded to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC1
Cl. A, Downgraded to Caa1 (sf); previously on Apr 30,
2010 Downgraded to B3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC9
Cl. A-1, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. A-2*, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. A-3, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. A-4, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Cl. A-5, Downgraded to Caa3 (sf); previously
on Apr 30, 2010 Downgraded to Caa2 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
30, 2010 Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RAMP Series 2004-RS8 Trust
Cl. M-II-2, Downgraded to Caa1 (sf); previously
on Mar 23, 2018 Upgraded to B2 (sf)
*Reflects Interest-Only Class
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL426478
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
The link also contains the associated underlying collateral losses.
RATINGS RATIONALE
The rating downgrades are primarily due to a deterioration in collateral
performance and decline in credit enhancement available to the bonds.
The rating actions also reflect the recent performance and Moody's updated
loss expectations on the underlying pools.
Our analysis has considered the effect of the coronavirus outbreak on
the US economy as well as the effects that the announced government measures,
put in place to contain the virus, will have on the performance
of consumer assets. Specifically, for US RMBS, loan
performance will weaken due to the unprecedented spike in the unemployment
rate, which may limit borrowers' income and their ability
to service debt. The softening of the housing market will reduce
recoveries on defaulted loans, also a credit negative. Furthermore,
borrower assistance programs such as forbearance, may adversely
impact scheduled cash flows to bondholders.
The contraction in economic activity in the second quarter will be severe
and the overall recovery in the second half of the year will be gradual.
However, there are significant downside risks to our forecasts in
the event that the pandemic is not contained and lockdowns have to be
reinstated. As a result, the degree of uncertainty around
our forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
The principal methodology used in rating all deals except interest-only
classes was "US RMBS Surveillance Methodology" published in February 2019
and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1127300.
The methodologies used in rating interest-only classes were "US
RMBS Surveillance Methodology" published in February 2019 and available
at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1127300
and "Moody's Approach to Rating Structured Finance Interest-Only
(IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.
Please see the list of ratings at the top of this announcement to identify
which classes are interest-only (indicated by the *).
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
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. There
is significant uncertainty around our unemployment forecast and risks
are firmly to an increasing unemployment rate during the short term.
House prices are another key driver of US RMBS performance. 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.
For more information please see www.moodys.com
REGULATORY DISCLOSURES
The List of Affected Credit Ratings announced here are all solicited credit
ratings. Additionally, the List of Affected Credit Ratings
includes additional disclosures that vary with regard to some of the ratings.
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL426478
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Rating Solicitation
• Issuer Participation
• Participation: Access to Management
• Participation: Access to Internal Documents
• Disclosure to Rated Entity
• Endorsement
• Lead Analyst
• Releasing Office
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
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.
Joseph DiMiceli
Vice President - Senior 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
Karandeep Bains
VP-Sr Credit Officer/Manager
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