New York, February 04, 2013 -- Moody's Investors Service has upgraded the rating of five tranches,
downgraded the rating of 20 tranches, and affirmed the rating of
49 tranches from 12 transactions, backed by Scratch and Dent loans.
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 on five tranches are due to an increase in the credit enhancement
that is provided by subordination, overcollateralization,
and excess spread.
The majority of the downgrades are primarily due to the weak interest
shortfall reimbursement mechanism. Moody's caps the ratings
of tranches with weak interest shortfall reimbursement at A3 as long as
they have not experienced any shortfall.
The tranches downgraded do not have interest shortfalls but in the event
of an interest shortfall structural limitations in the transactions will
prevent recoupment of interest shortfalls even if funds are available
in subsequent periods. Missed interest payments on mezzanine tranches
can only be made up from excess interest and in many cases after the overcollateralization
is built to a target amount. In these transactions where overcollateralization
is already below target due to poor performance, any missed interest
payments to mezzanine tranches is unlikely to be paid.
The methodologies used in this rating were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "US RMBS Surveillance Methodology for Scratch and Dent"
published in May 2011. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
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.
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 9.0% in September
2011 to 7.9% in January 2013. Moody's forecasts a
further drop to 7.5% by 2014. Moody's expects house
prices to drop another 1% from their 4Q2011 levels before gradually
rising towards the end of 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.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2005-3
Cl. A2, Downgraded to A3 (sf); previously on Jan 10,
2013 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to A3 (sf); previously on Jan 10,
2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M1, Affirmed A3 (sf); previously on May 20,
2011 Downgraded to A3 (sf)
Cl. M2, Affirmed Baa3 (sf); previously on May 20,
2011 Downgraded to Baa3 (sf)
Cl. M3, Affirmed Ba1 (sf); previously on May 20,
2011 Downgraded to Ba1 (sf)
Cl. M4, Affirmed Ba3 (sf); previously on Jul 25,
2012 Confirmed at Ba3 (sf)
Cl. M5, Affirmed B1 (sf); previously on Jul 25,
2012 Confirmed at B1 (sf)
Cl. M6, Affirmed B2 (sf); previously on May 20,
2011 Downgraded to B2 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-BO1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Affirmed Baa1 (sf); previously on Apr
24, 2009 Downgraded to Baa1 (sf)
Cl. M-5, Affirmed Baa3 (sf); previously on May
20, 2011 Downgraded to Baa3 (sf)
Cl. M-6, Affirmed B1 (sf); previously on May
20, 2011 Downgraded to B1 (sf)
Cl. M-7, Affirmed Ca (sf); previously on May
20, 2011 Downgraded to Ca (sf)
Cl. M-8, Affirmed C (sf); previously on May 20,
2011 Downgraded to C (sf)
Cl. I-A-3, Affirmed Aaa (sf); previously
on Nov 24, 2004 Assigned Aaa (sf)
Cl. II-A-1, Affirmed Aaa (sf); previously
on Nov 24, 2004 Assigned Aaa (sf)
Cl. II-A-2, Affirmed Aaa (sf); previously
on Nov 24, 2004 Assigned Aaa (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-2
Cl. A-2, Affirmed Aa1 (sf); previously on May
20, 2011 Downgraded to Aa1 (sf)
Cl. A-3, Affirmed Aa1 (sf); previously on May
20, 2011 Downgraded to Aa1 (sf)
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed B2 (sf); previously on May
20, 2011 Downgraded to B2 (sf)
Cl. M-4, Affirmed Caa3 (sf); previously on May
20, 2011 Downgraded to Caa3 (sf)
Cl. M-5, Affirmed C (sf); previously on May 20,
2011 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 24,
2009 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 24,
2009 Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-HE4
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba1 (sf); previously on
Jun 26, 2012 Confirmed at Ba2 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on
Jun 26, 2012 Confirmed at B2 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on
Jun 26, 2012 Confirmed at Ca (sf)
Cl. A, Affirmed Aa2 (sf); previously on Jun 26,
2012 Downgraded to Aa2 (sf)
Underlying Rating: Affirmed Aa2 (sf); previously on Jun 26,
2012 Downgraded to Aa2 (sf)*
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-5, Affirmed C (sf); previously on May 24,
2011 Downgraded to C (sf)
Cl. M-6, Affirmed C (sf); previously on May 24,
2011 Downgraded to C (sf)
Cl. M-7, Affirmed C (sf); previously on Oct 17,
2007 Downgraded to C (sf)
Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba2 (sf); previously on
May 24, 2011 Downgraded to B1 (sf)
Cl. A-1, Affirmed Aaa (sf); previously on Feb
20, 2006 Assigned Aaa (sf)
Cl. B-1, Affirmed Caa3 (sf); previously on Jun
26, 2012 Confirmed at Caa3 (sf)
Cl. B-2, Affirmed C (sf); previously on May 24,
2011 Downgraded to C (sf)
Cl. B-3, Affirmed C (sf); previously on May 24,
2011 Downgraded to C (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series
2005-CF1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Ba1 (sf); previously on Jun
14, 2011 Downgraded to Ba1 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Jun 26,
2012 Downgraded to Caa2 (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Sep
30, 2005 Assigned Aaa (sf)
Issuer: GSAMP Trust 2005-SD2
Cl. M-2, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed B3 (sf); previously on May
4, 2009 Downgraded to B3 (sf)
Cl. B-1, Affirmed Ca (sf); previously on May
4, 2009 Downgraded to Ca (sf)
Cl. B-2, Affirmed C (sf); previously on May 4,
2009 Downgraded to C (sf)
Cl. B-3, Affirmed C (sf); previously on May 4,
2009 Downgraded to C (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Affirmed Ba1 (sf); previously on May
19, 2011 Downgraded to Ba1 (sf)
Cl. B-2, Affirmed Caa1 (sf); previously on Jul
3, 2012 Confirmed at Caa1 (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug
8, 2008 Upgraded to Aaa (sf)
Underlying Rating: Affirmed Aaa (sf); previously on Jun 26,
2008 Assigned Aaa (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-3, Affirmed Aaa (sf); previously on Aug
8, 2008 Upgraded to Aaa (sf)
Underlying Rating: Affirmed Aaa (sf); previously on Jun 26,
2008 Assigned Aaa (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. B-3, Affirmed Ca (sf); previously on May
19, 2011 Downgraded to Ca (sf)
Issuer: Soundview Home Loan Trust 2003-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously
on Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ba1 (sf); previously on
May 20, 2011 Downgraded to Baa3 (sf)
Cl. M-4, Downgraded to B3 (sf); previously on
May 20, 2011 Downgraded to B2 (sf)
Cl. M-5, Affirmed Caa3 (sf); previously on May
20, 2011 Downgraded to Caa3 (sf)
Issuer: Truman Capital Mortgage Loan Trust 2002-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Caa2 (sf); previously on
Jun 21, 2012 Confirmed at Caa3 (sf)
Cl. B, Affirmed C (sf); previously on Aug 22,
2008 Downgraded to C (sf)
Issuer: Truman Capital Mortgage Loan Trust 2004-1
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Jun
21, 2012 Upgraded to B3 (sf)
Cl. M-3, Affirmed C (sf); previously on Nov 27,
2007 Downgraded to C (sf)
Issuer: Truman Capital Mortgage Loan Trust 2004-2
Cl. M-1, Downgraded to A3 (sf); previously on
Jan 10, 2013 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously
on Apr 9, 2009 Upgraded to A3 (sf)
Cl. A-1, Affirmed Aaa (sf); previously on Oct
26, 2004 Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Oct
26, 2004 Assigned Aaa (sf)
Cl. M-3, Affirmed Ba3 (sf); previously on Mar
30, 2009 Downgraded to Ba3 (sf)
Cl. M-4, Affirmed Caa2 (sf); previously on Mar
30, 2009 Downgraded to Caa2 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF315464
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.
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.
Max Sauray
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
Bruce D. Fabrikant
Senior Vice President
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 actions on $615.6M of US Scratch and Dent RMBS issued by Various Issuers