New York, February 20, 2009 -- Moody's Investors Service has downgraded 133 tranches from 13 DSLA Option
ARM deals.
The collateral backing these transactions consists primarily of first-lien,
adjustable-rate, negative amortization, Alt-A
mortgage loans. The actions are triggered by rapidly increasing
delinquencies, higher severities, slower prepayments and mounting
losses in the underlying collateral. Additionally, the continued
deterioration of the housing market has also contributed to the increased
loss expectations for Option ARM pools. The actions listed below
reflect Moody's updated expected losses on the Option ARM sector announced
in a press release on February 5, 2009, and are part of Moody's
on-going review process.
Moody's final rating actions are based on current ratings,
level of credit enhancement, collateral performance and updated
pool-level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess
spread, time tranching, and other structural features within
the senior note waterfalls.
For details regarding Moody's approach towards calculating updated
expected losses on Alt-A pools backed by collateral originations
between 2003 and 2007, please refer to the methodology publication
"Option ARMs RMBS Loss Projection Update: February 2009,"
available on Moodys.com.
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will
continue to evaluate performance data as it becomes available and will
assess the pattern of potential future defaults and adjust loss expectations
accordingly as necessary.
Moody's Investors Service also reviewed underlying ratings of insured
certificates as noted below. The underlying rating reflects the
intrinsic credit quality of the certificate in the absence of the guarantee.
The current ratings are consistent with Moody's practice of rating insured
securities at the higher of the guarantor's insurance financial strength
rating and the underlying rating based on Moody's modified approach to
rating structured finance securities wrapped by financial guarantors.
Complete rating actions are as follows:
DSLA Mortgage Loan Trust 2004-AR1
Cl. A-1A, Downgraded to Baa3; previously on 9/8/2004
Assigned Aaa
Cl. A-1B, Downgraded to Ba1; previously on 9/8/2004
Assigned Aaa
Cl. A-2A, Downgraded to A1; previously on 9/8/2004
Assigned Aaa
Cl. A-2B, Downgraded to Baa1; previously on 9/8/2004
Assigned Aaa
Current Underlying Rating: Downgraded to Ba1; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. B-1, Downgraded to Caa1; previously on 9/8/2004
Assigned Aa2
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to A3
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to Ba1
Cl. B-4, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. X-2, Downgraded to Ba1; previously on 9/8/2004
Assigned Aaa
DSLA Mortgage Loan Trust 2004-AR2
Cl. A-1A, Downgraded to Baa3; previously on 11/29/2004
Assigned Aaa
Cl. A-1B, Downgraded to Baa1; previously on 11/29/2004
Assigned Aaa
Current Underlying Rating: Downgraded to Ba3; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. A-2A, Downgraded to Baa3; previously on 11/29/2004
Assigned Aaa
Cl. A-2B, Downgraded to Baa1; previously on 11/29/2004
Assigned Aaa
Current Underlying Rating: Downgraded to Ba3; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. B-1, Downgraded to Ca; previously on 6/19/2008
Downgraded to A1
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to Baa3
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. B-4, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. X-2, Downgraded to Ba3; previously on 11/29/2004
Assigned Aaa
DSLA Mortgage Loan Trust 2004-AR3
Cl. 1-A1A, Downgraded to Aa2; previously on 1/3/2005
Assigned Aaa
Cl. 1-A1B, Downgraded to Aa3; previously on 1/3/2005
Assigned Aaa
Cl. 2-A1, Downgraded to Aa3; previously on 1/3/2005
Assigned Aaa
Cl. 2-A2B, Downgraded to Aa3; previously on 1/3/2005
Assigned Aaa
Cl. B-1, Downgraded to Baa2; previously on 1/3/2005
Assigned Aa2
Cl. B-2, Downgraded to Ba1; previously on 1/3/2005
Assigned A2
Cl. B-3, Downgraded to Caa2; previously on 1/3/2005
Assigned Baa2
Cl. B-4, Downgraded to C; previously on 1/3/2005
Assigned Ba2
Cl. X, Downgraded to Aa3; previously on 1/3/2005 Assigned
Aaa
DSLA Mortgage Loan Trust 2004-AR4
Cl. 1-A1A, Downgraded to Ba1; previously on 1/10/2005
Assigned Aaa
Cl. 2-A1A, Downgraded to Ba1; previously on 1/10/2005
Assigned Aaa
Cl. 2-A1B, Downgraded to B3; previously on 1/10/2005
Assigned Aaa
Cl. 2-A2A, Downgraded to Ba1; previously on 1/10/2005
Assigned Aaa
Cl. 2-A2B, Downgraded to B3; previously on 1/10/2005
Assigned Aaa
Cl. B-1, Downgraded to Ca; previously on 6/19/2008
Downgraded to A3
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to Ba2
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1
Cl. B-4, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. X-2, Downgraded to B3; previously on 1/10/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR1
Cl. 1-A, Downgraded to Ba3; previously on 3/24/2005
Assigned Aaa
Cl. 2-A1A, Downgraded to Aa2; previously on 3/24/2005
Assigned Aaa
Cl. 2-A1B, Downgraded to B3; previously on 3/24/2005
Assigned Aaa
Cl. 2-A2, Downgraded to B3; previously on 3/24/2005
Assigned Aaa
Cl. B-1, Downgraded to Ca; previously on 6/19/2008
Downgraded to A2
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to Ba1
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. X-2, Downgraded to B3; previously on 3/24/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR2
Cl. 1-A, Downgraded to B3; previously on 6/14/2005
Assigned Aaa
Cl. 2-A1A, Downgraded to Baa1; previously on
6/14/2005 Assigned Aaa
Cl. 2-A1B, Downgraded to Caa2; previously on
7/25/2008 Downgraded to Aa3
Cl. 2-A1C, Downgraded to Baa1; previously on
9/8/2008 Downgraded to Aa3
Current Underlying Rating: Downgraded to Caa2; previously on
9/8/2008 Published at Aa3
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. 2-A2, Downgraded to Caa2; previously on 7/25/2008
Downgraded to Aa3
Cl. B-1, Downgraded to C; previously on 6/19/2008
Downgraded to Baa1
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to B1
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Caa1; previously on 6/14/2005
Assigned Aaa
Cl. X-2, Downgraded to Baa1; previously on 6/14/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR3
Cl. 1-A, Downgraded to B2; previously on 6/14/2005
Assigned Aaa
Cl. 2-A1A, Downgraded to A1; previously on 6/14/2005
Assigned Aaa
Cl. 2-A1B, Downgraded to Baa1; previously on
6/14/2005 Assigned Aaa
Current Underlying Rating: Downgraded to Ba2; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. 2-A1C, Downgraded to Caa2; previously on
7/25/2008 Downgraded to A2
Cl. 2-A2, Downgraded to Caa3; previously on 7/25/2008
Downgraded to A2
Cl. PO, Downgraded to B3; previously on 6/14/2005 Assigned
Aaa
Cl. X-2, Downgraded to A1; previously on 6/14/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR4
Cl. 1-A, Downgraded to B3; previously on 7/19/2005
Assigned Aaa
Cl. 2-A1A, Downgraded to Baa3; previously on
7/19/2005 Assigned Aaa
Cl. 2-A1B, Downgraded to B1; previously on 7/19/2005
Assigned Aaa
Cl. 2-A1C, Downgraded to Caa1; previously on
7/19/2005 Assigned Aaa
Cl. 2-A1D, Downgraded to Ca; previously on 7/19/2005
Assigned Aaa
Cl. 2-A2, Downgraded to Ca; previously on 7/19/2005
Assigned Aaa
Cl. PO, Downgraded to Caa1; previously on 7/19/2005
Assigned Aaa
Cl. X-2, Downgraded to Baa3; previously on 7/19/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR5
Cl. 1-A1A, Downgraded to B3; previously on 8/22/2005
Assigned Aaa
Cl. 1-A1B, Aa3; previously on 11/23/2008 Downgraded
to Aa3
Current Underlying Rating: Downgraded to Ca; previously on
9/8/2008 Published at A3
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/21/2008)
Cl. 2-A1A, Downgraded to B2; previously on 8/22/2005
Assigned Aaa
Cl. 2-A1B, Aa3; previously on 11/23/2008 Downgraded
to Aa3
Current Underlying Rating: Downgraded to Ca; previously on
9/8/2008 Published at Baa1
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/21/2008)
Cl. B-1, Downgraded to C; previously on 6/19/2008
Downgraded to Baa2
Cl. B-2, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. B-3, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Caa2; previously on 8/22/2005
Assigned Aaa
Cl. X-1, Downgraded to B2; previously on 8/22/2005
Assigned Aaa
Cl. X-2, Downgraded to B2; previously on 8/22/2005
Assigned Aaa
DSLA Mortgage Loan Trust 2005-AR6
Cl. 1A-1A, Downgraded to Caa1; previously on
9/30/2005 Assigned Aaa
Cl. 1A-1B, Downgraded to Aa3; previously on 9/30/2005
Assigned Aaa
Current Underlying Rating: Downgraded to Ca; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Financial Security Assurance, Inc.
(Assigned Aa3 on 11/21/2008)
Cl. 2A-1A, Downgraded to B2; previously on 9/30/2005
Assigned Aaa
Cl. 2A-1B, Downgraded to Ca; previously on 9/30/2005
Assigned Aaa
Cl. 2A-1C, Downgraded to Ca; previously on 9/30/2005
Assigned Aaa
Cl. M-1, Downgraded to C; previously on 6/19/2008
Downgraded to Baa1
Cl. M-2, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. M-3, Downgraded to C; previously on 6/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. M-6, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
DSLA Mortgage Loan Trust 2006-AR1
Cl. 1A-1A, Downgraded to Caa1; previously on
4/3/2006 Assigned Aaa
Cl. 1A-1B, Downgraded to Caa1; previously on
4/3/2006 Assigned Aaa
Current Underlying Rating: Downgraded to Ca; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Syncora Guarantee Inc. (Assigned Caa1,
Outlook Uncertain on 10/24/2008)
Cl. 2A-1A, Downgraded to B1; previously on 4/3/2006
Assigned Aaa
Cl. 2A-1B, Downgraded to Ca; previously on 4/3/2006
Assigned Aaa
Cl. 2A-1C, Downgraded to Caa1; previously on
4/3/2006 Assigned Aaa
Current Underlying Rating: Downgraded to Ca; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Syncora Guarantee Inc. (Assigned Caa1,
Outlook Uncertain on 10/24/2008)
Cl. M-1, Downgraded to C; previously on 4/3/2006
Assigned Aa1
Cl. M-10, Downgraded to C; previously on 6/19/2008
Downgraded to Ca
Cl. M-2, Downgraded to C; previously on 6/19/2008
Downgraded to Aa3
Cl. M-3, Downgraded to C; previously on 6/19/2008
Downgraded to Baa1
Cl. M-4, Downgraded to C; previously on 6/19/2008
Downgraded to Ba2
Cl. M-5, Downgraded to C; previously on 6/19/2008
Downgraded to B3
Cl. M-6, Downgraded to C; previously on 6/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on 6/19/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C; previously on 6/19/2008
Downgraded to Caa1 and Placed Under Review for Possible Downgrade
DSLA Mortgage Loan Trust 2006-AR2
Cl. 1A-1A, Downgraded to B3; previously on 10/2/2006
Assigned Aaa
Cl. 1A-1B, Downgraded to Baa1; previously on
10/2/2006 Assigned Aaa
Current Underlying Rating: Downgraded to Ba2; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. 2A-1A, Downgraded to B3; previously on 10/2/2006
Assigned Aaa
Cl. 2A-1B1, Downgraded to A3; previously on 10/2/2006
Assigned Aaa
Cl. 2A-1B2, Downgraded to Caa3; previously on
10/2/2006 Assigned Aaa
Cl. 2A-1B3, Downgraded to Ca; previously on 10/2/2006
Assigned Aaa
Cl. 2A-1C, Downgraded to Baa1; previously on
10/2/2006 Assigned Aaa
Current Underlying Rating: Downgraded to Ba2; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. M-1, Downgraded to C; previously on 10/2/2006
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 6/19/2008
Downgraded to Aa3
Cl. M-3, Downgraded to C; previously on 6/19/2008
Downgraded to A3
Cl. M-4, Downgraded to C; previously on 6/19/2008
Downgraded to Baa3
Cl. M-5, Downgraded to C; previously on 6/19/2008
Downgraded to Ba3
Cl. M-6, Downgraded to C; previously on 6/19/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on 6/19/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
DSLA Mortgage Loan Trust 2007-AR1
Cl. 1A-1A, Downgraded to Baa1; previously on
3/12/2007 Assigned Aaa
Cl. 1A-1B, Downgraded to Baa1; previously on
3/12/2007 Assigned Aaa
Current Underlying Rating: Downgraded to Caa2; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. 2A-1A, Downgraded to Baa2; previously on
3/12/2007 Assigned Aaa
Cl. 2A-1B, Downgraded to B3; previously on 3/12/2007
Assigned Aaa
Cl. 2A-1C, Downgraded to Baa1; previously on
3/12/2007 Assigned Aaa
Current Underlying Rating: Downgraded to Ca; previously on
9/16/2008 Published at Aaa
Financial Guarantor: Ambac Assurance Corporation (Assigned Baa1
on 11/5/2008)
Cl. M-1, Downgraded to C; previously on 3/12/2007
Assigned Aaa
Cl. M-2, Downgraded to C; previously on 3/12/2007
Assigned Aa1
Cl. M-3, Downgraded to C; previously on 3/12/2007
Assigned Aa1
Cl. M-4, Downgraded to C; previously on 3/12/2007
Assigned Aa2
Cl. M-5, Downgraded to C; previously on 3/12/2007
Assigned Aa3
Cl. M-6, Downgraded to C; previously on 3/12/2007
Assigned A1
Cl. M-7, Downgraded to C; previously on 6/19/2008
Downgraded to Baa1
Cl. M-8, Downgraded to C; previously on 6/19/2008
Downgraded to Ba1
Cl. M-9, Downgraded to C; previously on 6/19/2008
Downgraded to B1 and Placed Under Review for Possible Downgrade
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of historical performance
information regarding the asset class as well as for the transaction sponsor,
ii) an analysis of the collateral, iii) an analysis of the policies,
procedures and alignment of interests of the key parties to the transaction,
most notably the originator and the servicer, iv) an analysis of
the transaction's allocation of collateral cashflow and capital structure,
v) an analysis of the transaction's governance and legal structure,
and (vi) a comparison of these attributes against those of other similar
transactions.
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 Credit Policy & Methodologies directory.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF157528
For more information please see www.moodys.com.
A list of updated estimated pool losses is being updated twice weekly
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF154891
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Trevor Harris
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain DSLA Option ARM deals