New York, April 25, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
twenty tranches from twelve transactions, backed by "scratch
and dent" RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: MASTR Specialized Loan Trust 2004-01
Cl. M-3, Upgraded to B3 (sf); previously on Mar
5, 2009 Downgraded to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD2
Cl. A, Upgraded to Aaa (sf); previously on Jun 21,
2012 Downgraded to A2 (sf)
Issuer: RAAC Series 2006-RP3 Trust
Cl. A, Upgraded to Baa3 (sf); previously on Jun 19,
2017 Upgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-GEL2
Cl. M1, Upgraded to Aaa (sf); previously on Jun 18,
2012 Downgraded to A1 (sf)
Cl. M2, Upgraded to Baa1 (sf); previously on Jun 18,
2012 Downgraded to Baa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-TC1
Cl. A, Upgraded to Aa3 (sf); previously on Jun 19,
2017 Upgraded to A3 (sf)
Cl. M-1, Upgraded to Baa2 (sf); previously on
Jun 19, 2017 Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on
Jun 19, 2017 Upgraded to Caa1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on
Jun 19, 2017 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL1
Cl. M1, Upgraded to Aaa (sf); previously on Jun 19,
2017 Upgraded to Aa3 (sf)
Cl. M2, Upgraded to A3 (sf); previously on Nov 20,
2015 Upgraded to Baa2 (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL3
Cl. M4, Upgraded to A1 (sf); previously on Jun 19,
2017 Upgraded to A3 (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL1
Cl. M2, Upgraded to Baa3 (sf); previously on Jun 19,
2017 Upgraded to Ba2 (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL2
Cl. M1, Upgraded to Ba1 (sf); previously on Jun 19,
2017 Upgraded to B2 (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL3
Cl. A3, Upgraded to Aaa (sf); previously on Jun 19,
2017 Upgraded to A3 (sf)
Cl. M1, Upgraded to Ca (sf); previously on Mar 5,
2009 Downgraded to C (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL4
Cl. A3, Upgraded to Aaa (sf); previously on Jun 19,
2017 Upgraded to A1 (sf)
Cl. M1, Upgraded to Caa2 (sf); previously on Jun 19,
2017 Upgraded to Ca (sf)
Issuer: Structured Asset Securities Corporation 2007-GEL2
Cl. A2, Upgraded to Ba1 (sf); previously on May 19,
2013 Upgraded to B1 (sf)
Cl. A3, Upgraded to B3 (sf); previously on Jan 20,
2015 Upgraded to Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are due to an increase in credit enhancement available
to the bonds or an improvement in our projected pool losses or recoveries
on the bonds. The rating actions reflect the recent performance
of the underlying pools and Moody's updated loss expectation on these
pools.
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.
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 4.1% in March 2018 from 4.5%
in March 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for 2018. 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_SF470768
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.
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.
Ilana Fried
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
Deepika Kothari
Senior Vice President
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