New York, October 28, 2016 -- Moody's Investors Service has upgraded the rating of 33 tranches from
six transactions, backed by Alt-A RMBS loans, issued
by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ARM Trust 2004-12
Cl. I-A-1, Upgraded to B2 (sf); previously
on Apr 17, 2012 Downgraded to Caa1 (sf)
Cl. II-A-1, Upgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to B3 (sf)
Cl. II-A-2, Upgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to B3 (sf)
Cl. II-A-3, Upgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to B3 (sf)
Cl. III-A-1, Upgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to Caa1 (sf)
Cl. IV-A-1, Upgraded to B1 (sf); previously
on Apr 17, 2012 Downgraded to B2 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-2
Cl. 1-A-1, Upgraded to Ba1 (sf); previously
on Jul 16, 2012 Downgraded to Ba3 (sf)
Cl. 2-A-1, Upgraded to Baa3 (sf); previously
on Jun 25, 2013 Downgraded to Ba2 (sf)
Cl. 2-A-2, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 2-A-X, Upgraded to Baa3 (sf); previously
on Jun 25, 2013 Downgraded to Ba2 (sf)
Cl. 3-A-1, Upgraded to Ba1 (sf); previously
on Jul 16, 2012 Downgraded to Ba3 (sf)
Cl. 3-A-X, Upgraded to Ba1 (sf); previously
on Jul 16, 2012 Downgraded to Ba3 (sf)
Cl. 4-A-1, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 4-A-3, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 4-A-X, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 5-A-1, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 6-A-1, Upgraded to Baa3 (sf); previously
on Jul 16, 2012 Downgraded to Ba2 (sf)
Cl. 7-M-1, Upgraded to A3 (sf); previously
on Dec 14, 2015 Upgraded to Baa3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust, Series 2004-5
Cl. A-4A, Upgraded to Ba3 (sf); previously on
Mar 3, 2011 Downgraded to B3 (sf)
Cl. A-4B, Upgraded to Ba3 (sf); previously on
Mar 3, 2011 Downgraded to B3 (sf)
Cl. A-5B, Upgraded to Ba1 (sf); previously on
Mar 3, 2011 Downgraded to Ba3 (sf)
Issuer: GSAA Home Equity Trust 2004-11
Cl. 1A1, Upgraded to Aa1 (sf); previously on Dec 22,
2015 Upgraded to A1 (sf)
Cl. 2A1, Upgraded to Aa1 (sf); previously on Dec 22,
2015 Upgraded to Aa3 (sf)
Cl. 2A2, Upgraded to Aa1 (sf); previously on Dec 22,
2015 Upgraded to Aa3 (sf)
Cl. 2A3, Upgraded to Aa3 (sf); previously on Dec 22,
2015 Upgraded to A1 (sf)
Cl. M-1, Upgraded to Ba3 (sf); previously on
Dec 22, 2015 Upgraded to B2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Mar
15, 2011 Downgraded to C (sf)
Issuer: HomeBanc Mortgage Trust 2004-2
Cl. A-1, Upgraded to Ba1 (sf); previously on
Aug 27, 2013 Confirmed at Ba3 (sf)
Cl. A-2, Upgraded to B3 (sf); previously on Aug
27, 2013 Confirmed at Caa1 (sf)
Issuer: RALI Series 2004-QA2 Trust
Cl. A-I, Upgraded to Aa1 (sf); previously on
Dec 18, 2015 Upgraded to A1 (sf)
Cl. A-II, Upgraded to Aa1 (sf); previously on
Dec 18, 2015 Upgraded to A1 (sf)
Cl. M-1, Upgraded to Baa2 (sf); previously on
Dec 18, 2015 Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on
Mar 30, 2011 Downgraded to C (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectation on these pools.
The rating upgrades are primarily due to the stable or improved collateral
performance of the underlying pools and the increase in credit enhancement
available to the bonds. The rating upgrades on Deutsche Mortgage
Securities, Inc. Mortgage Loan Trust, Series 2004-5
and HomeBanc Mortgage Trust 2004-2 are solely due to the improved
collateral performance of the transactions' underlying pools. The
rating upgrade on Class IV-A-1 from Bear Stearns ARM Trust
2004-12 is solely due to the increase in credit enhancement available
to the bond.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. 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 5.0% in September 2016 from 5.1%
in September 2015. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2016 year.
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 2016. 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 may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF442290
A list of updated estimated transaction pool losses and bond recoveries
are 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_SF237256
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.
Yasmine Grossenbacher
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
Eric Fellows
Senior Vice President/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