New York, May 26, 2009 -- Moody's Investors Service has downgraded the ratings of 54 tranches from
8 Alt-A RMBS transactions issued by Deutsche Alt-A Securities
Inc and Deutsche Mortgage Securities Inc. The collateral backing
these transactions consists primarily of first-lien, fixed
and adjustable-rate, Alt-A residential mortgage loans.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination, overcollateralization,
excess spread and any external support (mortgage insurance, pool
policy, etc.). The available enhancement is weighed
against projected future losses to ultimately arrive at an updated rating.
For securities insured by a financial guarantor, the rating on the
securities is equal to the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described in the two previous paragraphs.
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 and Methodologies directory.
List of actions:
Deutsche Alt-A Secs Inc Mtge Loan Tr 2003-2XS
Cl. A-5, Downgraded to A2; previously on 1/5/2009
Downgraded to Aa1
Cl. A-6, Downgraded to A1; previously on 11/20/2003
Assigned Aaa
Cl. M-1, Downgraded to Baa3; previously on 1/5/2009
Downgraded to A2
Cl. M-2, Downgraded to Caa2; previously on 1/5/2009
Downgraded to Ba3
Cl. M-3, Downgraded to C; previously on 1/5/2009
Downgraded to Ca
Deutsche Alt-A Secs Inc Mtge Loan Tr 2003-4XS
Cl. A-5, Downgraded to A2; previously on 1/5/2009
Downgraded to Aa2
Cl. A-6A, Downgraded to A1; previously on 2/18/2009
Upgraded to Aaa
Financial Guarantor: MBIA (currently B3)
Cl. A-6B, Downgraded to A1; previously on 1/5/2009
Downgraded to Aa3
Cl. M-1, Downgraded to Baa2; previously on 1/5/2009
Downgraded to Baa1
Cl. M-2, Downgraded to Caa2; previously on 1/5/2009
Downgraded to B3
Cl. M-3, Downgraded to C; previously on 1/5/2009
Downgraded to Ca
Deutsche Mtge Secs, Inc. Mtge Loan Tr-2004-1
Cl. III-A-5, Downgraded to Aa3; previously
on 2/26/2004 Assigned Aaa
Cl. III-A-6, Downgraded to Aa3; previously
on 2/26/2004 Assigned Aaa
Cl. III-M-1, Downgraded to Baa1; previously
on 1/5/2009 Downgraded to Aa3
Cl. III-M-2, Downgraded to Ba1; previously
on 1/5/2009 Downgraded to A3
Cl. III-M-3, Downgraded to B2; previously
on 1/5/2009 Downgraded to Baa3
Deutsche Mtge Secs Inc Mtge Loan Tr 2004-2
Cl. A-5, Downgraded to Aa3; previously on 3/30/2004
Assigned Aaa
Cl. A-6, Downgraded to Aa2; previously on 3/30/2004
Assigned Aaa
Cl. M-1, Downgraded to Baa1; previously on 1/5/2009
Downgraded to A1
Cl. M-2, Downgraded to Ba2; previously on 1/5/2009
Downgraded to Baa1
Cl. M-3, Downgraded to B3; previously on 1/5/2009
Downgraded to Ba2
Deutsche Mtge Secs Inc Mtge Loan Tr 2004-3
Cl. I-A-5, Downgraded to A2; previously
on 3/3/2009 Upgraded to Aaa
Financial Guarantor: Ambac Assurance (currently Ba1)
Cl. I-A-6, Downgraded to A1; previously
on 3/3/2009 Upgraded to Aaa
Financial Guarantor: Ambac Assurance (currently Ba1)
Cl. II-AR-1, Downgraded to A2; previously
on 7/5/2004 Assigned Aaa
Cl. II-AR-2, Downgraded to Aa1; previously
on 7/5/2004 Assigned Aaa
Cl. I-M-1, Downgraded to Baa3; previously
on 1/5/2009 Downgraded to A2
Cl. I-M-2, Downgraded to Caa1; previously
on 1/5/2009 Downgraded to Baa3
Cl. I-M-3, Downgraded to Caa3; previously
on 1/5/2009 Downgraded to Ba3
Cl. II-MR-1, Downgraded to Baa3; previously
on 7/5/2004 Assigned Aa2
Cl. II-MR-2, Downgraded to B1; previously
on 7/5/2004 Assigned A2
Cl. II-MR-3, Downgraded to Caa3; previously
on 7/5/2004 Assigned Baa2
Deutsche Mtge Secs Inc Mtge Loan Trust 2004-4
Cl. I-A-5, Downgraded to A1; previously
on 1/5/2009 Downgraded to Aa2
Cl. I-A-6, Downgraded to Aa3; previously
on 1/5/2009 Downgraded to Aa2
Cl. II-AR-1, Downgraded to Aa3; previously
on 7/1/2005 Assigned Aaa
Cl. II-AR-2, Downgraded to Aa1; previously
on 7/1/2005 Assigned Aaa
Cl. III-AR-1, Downgraded to Baa2; previously
on 1/5/2009 Downgraded to Aa1
Cl. IV-AR-1, Downgraded to Baa2; previously
on 1/5/2009 Downgraded to Aa2
Cl. V-AR-1, Downgraded to Baa2; previously
on 1/5/2009 Downgraded to Aa1
Cl. VI-AR-1, Downgraded to Baa2; previously
on 7/1/2005 Assigned Aaa
Cl. VII-AR-1, Downgraded to Baa2; previously
on 7/1/2005 Assigned Aaa
Cl. VII-AR-2, Downgraded to Baa2; previously
on 7/1/2005 Assigned Aaa
Cl. VII-AR-3, Downgraded to Baa2; previously
on 7/1/2005 Assigned Aaa
Cl. I-M-1, Downgraded to Baa2; previously
on 1/5/2009 Downgraded to A3
Cl. I-M-2, Downgraded to B3; previously
on 1/5/2009 Downgraded to B1
Cl. I-M-3, Downgraded to C; previously
on 1/5/2009 Downgraded to Ca
Cl. II-MR-1, Downgraded to A3; previously
on 7/1/2005 Assigned Aa2
Cl. II-MR-2, Downgraded to Baa3; previously
on 7/1/2005 Assigned A2
Cl. II-MR-3, Downgraded to B1; previously
on 1/5/2009 Downgraded to Baa3
Deutsche Mtge Secs Inc Mtge Loan Trust 2004-5
Cl. A-4A, Downgraded to Baa1; previously on 1/5/2009
Downgraded to Aa2
Financial Guarantor: FGIC (currently Caa3)
Cl. A-4B, Downgraded to Baa1; previously on 1/5/2009
Downgraded to Aa2
Cl. A-5B, Downgraded to Baa1; previously on 1/5/2009
Downgraded to Aa1
Financial Guarantor: FGIC (currently Caa3)
Cl. M-1, Downgraded to Ba3; previously on 1/5/2009
Downgraded to Baa1
Cl. M-2, Downgraded to Caa2; previously on 1/5/2009
Downgraded to B1
Cl. M-3, Downgraded to C; previously on 1/5/2009
Downgraded to Ca
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF167255
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
Ola Hannoun-Costa
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain Deutsche Alt-A Seasoned Deals