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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's Takes Action on $96 Million of US Alt-A RMBS issued by DSLA

10 Jul 2012

New York, July 10, 2012 -- Moody's Investors Service has downgraded the ratings of four tranches, upgraded the rating of one tranche, and confirmed the ratings of four tranches from two RMBS transactions, backed by Alt-A loans, issued by DSLA.

RATINGS RATIONALE

The actions are a result of the recent performance of Alt-A pools originated before 2005 and reflect Moody's updated loss expectations on these pools.The downgrades are a result of structural features resulting in higher expected losses

for certain bonds than previously anticipated. Particularly, in shifting interest structures, back-ended liquidations expose the senior bond holders 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.

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

The above RMBS approach only applies to structures with at least 40 loans and a pool factor of greater than 5%. Moody's can withdraw its rating when the pool factor drops below 5% and the number of loans in the deal declines to 40 loans or lower. If, however, a transaction has a specific structural feature, such as a credit enhancement floor, that mitigates the risks of small pool size, Moody's can choose to continue to rate the transaction. Please refer further to Moody's Investors Service's Withdrawal Policy, which can be found on our website, www.moodys.com.

When assigning the final ratings to senior bonds, in addition to the methodologies described above, we considered the volatility of the projected losses and timeline of the expected defaults. For bonds backed by small pools, we also considered the current pipeline composition as well as any specific loss allocation rules that could preserve or deplete the overcollateralization available for the senior bonds at different pace.

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 8.2% in June 2012. Moody's forecasts a further drop to 7.8% for 2013. 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: DSLA Mortgage Loan Trust 2004-AR1

Cl. A-2B, Downgraded to Caa2 (sf); previously on Feb 28, 2011 Downgraded to B3 (sf)

Underlying Rating: Downgraded to Caa2 (sf); previously on Feb 28, 2011 Downgraded to B3 (sf)

Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated)

Cl. A-2A, Upgraded to Baa2 (sf); previously on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

Cl. X-2, Confirmed at Caa1 (sf); previously on Feb 22, 2012 Caa1 (sf) Placed Under Review Direction Uncertain

Issuer: DSLA Mortgage Loan Trust 2004-AR3

Cl. 1-A1A, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade

Cl. 1-A1B, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Cl. 2-A1, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Cl. 2-A2B, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade

Cl. X, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review Direction Uncertain

Cl. B-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3 (sf) Placed Under 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_SF291120

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.

In addition to the information provided below please find on the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead rating analyst and the Moody's legal entity that has issued each of the ratings.

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.

Jiwon?Park
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 $96 Million of US Alt-A RMBS issued by DSLA
No Related Data.
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