New York, November 15, 2012 -- Moody's Investors Service (Moody's) has downgraded the ratings of
eight tranches and confirmed the ratings of one tranche from three RMBS
transactions, backed by Alt-A loans, issued by Impac.
RATINGS RATIONALE
Cl. 1-A-2 and Cl. 1-A-3 from
Impac CMB Trust 2004-6 transaction were placed on watch in July
2012 due to ambiquity in the loss allocation as noted in the prospectus
supplement and the Indenture- the prospectus supplement allows
for the Cl. 1-A-3 to act as a support to the Cl.
1-A-2 while the language in the Indenture is ambiguous regarding
the super-seniority of the bonds. However, the net
monthly excess cash flow waterfall in both documents allow for Cl.
1-A-2 to recover losses ahead of Cl. 1-A-3.
As a result, today's rating action is based on the super seniority
of Cl. 1-A-2 over Cl. 1-A-3.
Certain tranches from Impac Secured Assets Corp 2002-2 and 2003-2
were placed on watch in July 2012 pending clarification from the trustee
regarding the inconsistency in their loss allocation to that noted in
the PSA. Certain remittance reports indicated that losses (other
than realized losses) were allocated to the subordinate classes to bring
the total outstanding bond balance equal to the outstanding collateral
balance. The PSA for these transactions do not explicitly detail
this allocation. However, subsequent remittance reports reflect
undercollateralization in the transactions and today's rating action
reflects modeling per the PSA.
The downgrades in today's rating action are also a result of updated
loss expectation on these pools and/or structural features. For
example, for shifting interest structures, back-ended
liquidations could expose the seniors to tail-end losses.
In our current approach, we capture this risk by running each individual
pool through a variety of loss and prepayment scenarios in the Structured
Finance Workstation® (SFW), the cash flow model developed by
Moody's Wall Street Analytics. This individual pool level analysis
incorporates performance variances across the different pools and the
structural nuances of the transaction.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012. The methodology used in rating Interest-Only
Securities was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications 2) small pool volatility and 3) bonds that financial
guarantors insure.
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.
Small Pool Volatility
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current delinquencies
in the pool. For Alt-A and Option Arm pools, Moody's
first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. Once the loan
count in a pool falls below 76, this rate of delinquency is increased
by 1% for every loan fewer than 76. For example, for
a 2004 pool with 75 loans, the adjusted rate of new delinquency
is 10.1%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.50 to 2.0 for
current delinquencies that range from less than 2.5% to
greater than 30% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures reflect
the higher of the credit quality of the guarantor or the RMBS without
the benefit of the guarantee. As a result, the rating on
the securities is the higher of 1) the guarantor's financial strength
rating and 2) the current underlying rating, which is what the rating
of the security would be absent consideration of the guaranty.
The principal methodology Moody's uses in determining the underlying rating
is the same methodology for rating securities that do not have financial
guaranty, described earlier.
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 April
2011 to 7.9% in October 2012. 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: Impac CMB Trust Series 2004-6 Collateralized Asset-Backed
Bonds, Series 2004-6
Cl. 1-A-1, Downgraded to Ba1 (sf); previously
on Jul 20, 2012 Confirmed at Baa2 (sf)
Cl. 1-A-2, Confirmed at Baa1 (sf); previously
on Jul 20, 2012 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-3, Downgraded to Ba3 (sf); previously
on Jul 20, 2012 Baa2 (sf) Placed Under Review Direction Uncertain
Cl. 2-A, Downgraded to Baa2 (sf); previously
on Jul 20, 2012 Downgraded to Baa1 (sf)
Underlying Rating: Downgraded to Baa2 (sf); previously on Jul
20, 2012 Downgraded to Baa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-1, Downgraded to B1 (sf); previously on
Jul 20, 2012 Downgraded to Ba3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2002-2
Cl. M-1, Downgraded to A3 (sf); previously on
Jul 20, 2012 Downgraded to Aa3 (sf) and Remained On Review for Possible
Downgrade
Cl. M-2, Downgraded to Ba1 (sf); previously on
Jul 20, 2012 Downgraded to Baa2 (sf) and Remained On Review for
Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Jul 20, 2012 Downgraded to B3 (sf) and Remained On Review for Possible
Downgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2003-2
Cl. M-2, Downgraded to Caa3 (sf); previously
on Jul 20, 2012 Downgraded to B3 (sf) and Remained On Review for
Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF306995
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details is being posted on an ongoing basis for the
duration of this review period and may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
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.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
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.
Soumya Vasudevan
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
Deepika Kothari
Vice President - Senior 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 Takes Action on $188 million of US Alt-A RMBS issued by Impac
