New York, February 19, 2009 -- Moody's Investors Service has downgraded 60 tranches from 6 SARM 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
from 2006 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.
Complete rating actions are as follows:
Structured Adjustable Rate Mortgage Loan Trust 2004-19
Cl. 1-A1, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. 1-A2, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. 1-A2X, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. 2-A1, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. 2-A1X, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. 2-A2, Downgraded to Aa3; previously on 2/25/2005
Assigned Aaa
Cl. B1, Downgraded to Baa2; previously on 2/25/2005
Assigned Aa2
Cl. B2, Downgraded to Baa3; previously on 2/25/2005
Assigned Aa3
Cl. B3, Downgraded to Ba1; previously on 2/25/2005 Assigned
A2
Cl. B4, Downgraded to Ba3; previously on 2/25/2005 Assigned
A3
Cl. B5, Downgraded to Caa2; previously on 2/25/2005
Assigned Baa2
Cl. B6, Downgraded to Ca; previously on 2/25/2005 Assigned
Baa3
Cl. BX, Downgraded to Ca; previously on 2/25/2005 Assigned
Baa3
Structured Adjustable Rate Mortgage Loan Trust 2005-14
Cl. A1, Downgraded to Baa1; previously on 6/16/2005
Assigned Aaa
Cl. A2, Downgraded to B1; previously on 6/16/2005 Assigned
Aaa
Cl. A3, Downgraded to B3; previously on 6/16/2005 Assigned
Aaa
Cl. 1-AX, Downgraded to B3; previously on 6/16/2005
Assigned Aaa
Cl. 2-AX, Downgraded to B3; previously on 6/16/2005
Assigned Aaa
Cl. B1, Downgraded to Ca; previously on 7/3//2008 Downgraded
to Aa2
Cl. B2, Downgraded to Ca; previously on 7/3//2008 Downgraded
to A1
Cl. B3, Downgraded to C; previously on 7/3//2008 Downgraded
to A3
Cl. B5, Downgraded to C; previously on 7/3//2008 Downgraded
to Ba2
Cl. B7, Downgraded to C; previously on 7/3//2008 Downgraded
to Caa2
Cl. B8, Downgraded to C; previously on 7/3//2008 Downgraded
to Caa3
Structured Adjustable Rate Mortgage Loan Trust 2005-16XS
Cl. A-2A, Downgraded to Aa3; previously on 8/22/2005
Assigned Aaa
Cl. A-2B, Downgraded to Aa3; previously on 8/22/2005
Assigned Aaa
Cl. A-3, Downgraded to A1; previously on 8/22/2005
Assigned Aaa
Cl. M1, Downgraded to Caa1; previously on 8/22/2005
Assigned Aa2
Cl. M2, Downgraded to Ca; previously on 8/22/2005 Assigned
A2
Cl. M3, Downgraded to C; previously on 7/3//2008 Downgraded
to Caa1
Structured Adjustable Rate Mortgage Loan Trust 2005-19XS
Cl. 1-A1, Downgraded to Aa1; previously on 9/29/2005
Assigned Aaa
Cl. 1-A2A, Downgraded to Baa3; previously on
9/29/2005 Assigned Aaa
Cl. 1-A2B, Downgraded to Baa3; previously on
9/29/2005 Assigned Aaa
Cl. 1-A3, Downgraded to Ba1; previously on 9/29/2005
Assigned Aaa
Cl. 2-A2, Downgraded to Aa3; previously on 9/29/2005
Assigned Aaa
Cl. 2-A3, Downgraded to A1; previously on 9/29/2005
Assigned Aaa
Cl. M1-I, Downgraded to Ca; previously on 9/29/2005
Assigned Aa3
Cl. M1-II, Downgraded to Ca; previously on 7/3//2008
Downgraded to Baa3
Cl. M2-II, Downgraded to C; previously on 7/3//2008
Downgraded to Caa2
Cl. M3-II, Downgraded to C; previously on 7/3//2008
Downgraded to Ca
Structured Adjustable Rate Mortgage Loan Trust 2005-9
Cl. 1-A, Downgraded to B3; previously on 7/3/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to B3; previously on 7/3/2008
Aaa Placed Under Review for Possible Downgrade
Cl. 2-A2A, Downgraded to B3; previously on 6/27/2005
Assigned Aaa
Cl. AX, Downgraded to B3; previously on 7/3/2008 Aaa
Placed Under Review for Possible Downgrade
Cl. B1, Downgraded to Ca; previously on 7/3//2008 Downgraded
to A1
Cl. B2, Downgraded to C; previously on 7/3//2008 Downgraded
to A3
Cl. B3, Downgraded to C; previously on 7/3//2008 Downgraded
to Baa1
Cl. B5, Downgraded to C; previously on 7/3//2008 Downgraded
to B3
Cl. B4, Downgraded to C; previously on 7/3//2008 Downgraded
to Ba3
Cl. B6, Downgraded to C; previously on 7/3//2008 Downgraded
to Caa2
Cl. B7, Downgraded to C; previously on 7/3//2008 Downgraded
to Caa3
Cl. B8, Downgraded to C; previously on 7/3//2008 Downgraded
to Ca
Structured Adjustable Rate Mortgage Loan Trust 2007-6
Cl. 1-A1, Downgraded to Caa3; previously on 7/10/2007
Assigned Aaa
Cl. 1-A2, Downgraded to Ca; previously on 7/10/2007
Assigned Aaa
Cl. 2-A1, Downgraded to B3; previously on 7/10/2007
Assigned Aaa
Cl. 2-A2, Downgraded to Ca; previously on 7/10/2007
Assigned Aaa
Cl. 2-A3, Downgraded to Ca; previously on 7/10/2007
Assigned Aaa
Cl. M-1, Downgraded to C; previously on 7/10/2007
Assigned Aa1
Cl. M-2, Downgraded to C; previously on 7/10/2007
Assigned Aa2
Cl. M-3, Downgraded to C; previously on 7/10/2007
Assigned Aa3
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_SF157318
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
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 SARM Option ARM deals