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Rating Action:

Moody's Assigns Ratings to 18 Swaps on RMBS Transactions

07 Apr 2009

New York, April 07, 2009 -- Moody's Investors Service has assigned ratings on 18 interest rate swaps to RMBS transactions on March 31, 2009. Because there is relatively limited historical performance data for the types of assets involved in these transactions, these credit ratings may have a greater potential rating volatility than would ratings for transactions supported by more historical performance data. Moody's ratings address the risk posed to the swap counterparties on an expected loss basis arising from the inability of the respective trusts to honor their obligations under the swaps. The ratings take into account the ratings of the swap counterparties, the transactions' legal structures and the characteristics of the collateral mortgage pools of each respective trust.

The complete ratings action is as follows:

Issuer: CWALT, Inc. Alternative Loan Trust 2006-OC5 Swap (Reference Number 1264906B)

Interest Rate Swap, Assigned Aa3

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OH1 Swap (Reference Number 1762254B)

Interest Rate Swap, Assigned A2

Issuer: GSC Alternative Loan Trust Notes, Series 2006-2 Swap (Reference Number 1254100B)

Interest Rate Swap, Assigned Aa3

Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1 Swap (Reference Number 1554177B)

Interest Rate Swap, Assigned A3

Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2 Swap (Reference Number 1615240B)

Interest Rate Swap, Assigned A3

Issuer: Impac Secured Asset Corp., Mortgage Pass-Through Certificates, Series 2005-2 Swap (Reference Number 1029007B)

Interest Rate Swap, Assigned Aa3

Issuer: Option One Mortgage Loan Trust 2006-2 Swap (Reference Number 1259949B)

Interest Rate Swap, Assigned Ba1

Issuer: RALI Series 2007-QH3 Trust Swap (Reference Number 1683809B)

Interest Rate Swap, Assigned A3

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE1 Swap (Reference Number 1332847B)

Interest Rate Swap, Assigned Baa2

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC3 Swap (Reference Number 1431789B)

Interest Rate Swap, Assigned Baa1

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM2 Swap (Reference Number 1615240B)

Interest Rate Swap, Assigned Baa2

Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM3 Swap (Reference Number 1470290B)

Interest Rate Swap, Assigned Baa3

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR3 Swap (Reference Number 1786944B)

Interest Rate Swap, Assigned Baa2

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR4 Swap (Reference Number 1796240B)

Interest Rate Swap, Assigned Baa1

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR5 Swap (Reference Number 1829264B)

Interest Rate Swap, Assigned Baa1

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-HE1 Swap (Reference Number 1554163B)

Interest Rate Swap, Assigned Baa2

Issuer: WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust Swap (Reference Number 1733274B)

Interest Rate Swap, Assigned Baa1

Issuer: WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust Swap (Reference Number 1789071B)

Interest Rate Swap, Assigned Baa1

The swap counterparties in these transactions are paid a fixed rate and pay LIBOR to the trusts on a notional amount that can be found in a schedule to the swap agreements, or it can be the minimum of either the outstanding bonds or mortgage pool balance and the amount that is found in the notional schedule to the swap agreement, or is tied directly to the balance of the bonds. The swap counterparties recieve payments prior to bondholders, and are thus in a senior position to all bonds issued by the trusts. In addition to the senior position in the waterfall, the swap providers are paid from proceeds derived from both principal and interest collections, including liquidation proceeds and servicer advances. These structural features provide access to ample funds to make swap payments even in instances where the underlying mortgage pool is subject to severe stress.

Given the position of the swaps in the cashflow waterfalls, in addition to the limitation placed on the size of the notional amounts relative to the collateral pool balances, the primary risk driving the ratings on the swaps that have a notional that is calculated as the minimum of the collateral or bond balance and the balance in the schedule is the risk of a termination event triggered by an event of default where the swap provider is the defaulting party.

The primary risks driving the ratings on the swaps that have notional amounts that are based strictly on a schedule are the risk that the collateral pool amortizes at a rate that exceeds the amortization rate of the swap notional and the risk of a termination event triggered by a default of the swap counterparty. The risk that the collateral balance would amortize faster than the swap notional is deemed remote due to the extremely slow prepayment rate on the collateral pool.

The primary risks driving the rating on the swap that has a notional that is equivalent to the bond balance are the risk that the collateral pool incurs losses in excess of the combined subordinate bond balance and overcollateralization amount, as the senior bonds in the transaction backing this swap are not allocated losses. This would result in a swap notional in excess of the collateral balance. Given the short remaining term of the swap, the likelihood of a payment shortfall to the swap counterparty due to a mismatch in the notional and collateral balances is somewhat remote.

The counterparty in the swap, Barclays Bank PLC, has a Aa3 long term rating and a P-1 short term rating by Moody's. Other methodologies and factors that may have been considered in the process of rating this issue can also be found at www.moodys.com in the Rating Methodology & Performance page

New York
Linda Stesney
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Todd Swanson
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Assigns Ratings to 18 Swaps on RMBS Transactions
No Related Data.
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