New York, October 20, 2014 -- Moody's Investors Service has upgraded the ratings of nine tranches from
six RMBS transactions. The collateral backing these deals primarily
consists of first lien, fixed and adjustable rate "scratch and dent"
residential mortgages.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-BO1
Cl. M-6, Upgraded to Ba1 (sf); previously on
Jan 24, 2014 Upgraded to Ba3 (sf)
Cl. M-7, Upgraded to B3 (sf); previously on Jan
24, 2014 Upgraded to Caa2 (sf)
Cl. M-8, Upgraded to Ca (sf); previously on Feb
4, 2013 Affirmed C (sf)
Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1
Cl. B-1, Upgraded to Caa1 (sf); previously on
Feb 4, 2013 Affirmed Caa3 (sf)
Issuer: GSAMP Trust 2005-SD2
Cl. M-3, Upgraded to B1 (sf); previously on Feb
4, 2013 Affirmed B3 (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
Cl. B-1, Upgraded to Baa3 (sf); previously on
Feb 4, 2013 Affirmed Ba1 (sf)
Issuer: Soundview Home Loan Trust 2003-1
Cl. M-4, Upgraded to B1 (sf); previously on Feb
4, 2013 Downgraded to B3 (sf)
Issuer: Truman Capital Mortgage Loan Trust 2004-1
Cl. M-2, Upgraded to Ba3 (sf); previously on
Jan 24, 2014 Upgraded to B2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Feb
4, 2013 Affirmed C (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The ratings upgraded are primarily due to the build-up in credit
enhancement due to sequential pay structure, non-amortizing
subordinate bonds, and availability of excess spread. Performance
has remained generally stable from our last review.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
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 5.9% in September 2014 from 7.2%
in September 2013. Moody's forecasts an unemployment central range
of 6% to 7% for the 2014 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 2014. 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://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF383864
A list of updated estimated pool losses 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
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.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
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.
As the section on loss and cash flow analysis describes, 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 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.
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.
Minxi Qiu
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
Ola Hannoun-Costa
Asst Vice President - Analyst
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 upgrades on $84 million of US Scratch and Dent RMBS from 2003 to 2006