New York, September 15, 2010 -- Moody's Investors Service has downgraded the rating of 53 tranches,
confirmed the ratings of 8 tranches, and upgraded the ratings of
3 tranches from 11 RMBS transactions issued by IndyMac. The collateral
backing these deals primarily consists of first-lien, fixed
and adjustable-rate subprime residential mortgages.
RATINGS RATIONALE
The actions reflect the continued performance deterioration in Subprime
pools in conjunction with home price and unemployment conditions that
remain under duress. The actions reflect Moody's updated loss expectations
on subprime pools issued from 2005 to 2007.
Five pools from two deals affected by these actions have pool policies
(IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-B and IndyMac Home Equity Mortgage Loan Asset-Backed
Trust, INABS 2006-C). Based on high rescission rates
on claims made for defaults on subprime collateral, Moody's
assumed an average ultimate acceptance rate of 20%. Of the
deals with pool policies, this resulted in pool policies providing
benefit only for IndyMac Home Equity Mortgage Loan Asset-Backed
Trust, INABS 2006-C's three pools. Without the
benefit of the pool policies, losses to this deal would have been
about 2 percentage points higher.
To assess the rating implications of the updated loss levels on subprime
RMBS, each individual pool was run through a variety of 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 features of the transaction including priorities
of payment distribution among the different tranches, average life
of the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios include
ninety-six different combinations comprising of six loss levels,
four loss timing curves and four prepayment curves. The volatility
in losses experienced by a tranche due to small increments in losses on
the underlying mortgage pool is taken into consideration when assigning
ratings.
The principal methodology used in rating these securities was "Subprime
RMBS Loss Projection Update: February 2010" rating methodology published
in February 2010. Other methodologies and factors that may have
been considered in the process of rating this issuer can also be found
on Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
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/page/viewresearchdoc.aspx?docid=PBS_SF198174
For more information please see www.moodys.com.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
6 months.
Complete rating actions are as follows:
Issuer: Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2007-B
Cl. 1A-1, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1A-2, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-4, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Confirmed at A2 (sf); previously on
Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-A
Cl. M-4, Downgraded to Ba3 (sf); previously on
Jan 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Caa2 (sf); previously
on Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to Aa1 (sf); previously on
Jan 13, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Aa3 (sf); previously on
Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Baa1 (sf); previously on
Jan 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-1, Confirmed at Aaa (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-2, Confirmed at Aaa (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-II-3, Confirmed at Aaa (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-B
Cl. M-1, Downgraded to Aa3 (sf); previously on
Jan 13, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3 (sf); previously
on Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B3 (sf); previously on
Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Caa2 (sf); previously
on Jan 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-1, Confirmed at Aaa (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-II-3, Confirmed at Aaa (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-C
Cl. A-I-1, Downgraded to Ba1 (sf); previously
on Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-II-2, Downgraded to Ba1 (sf); previously
on Jan 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-II-3, Downgraded to B1 (sf); previously
on Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2 (sf); previously
on Jan 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-D
Cl. A-I-1, Downgraded to B1 (sf); previously
on Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-2, Downgraded to Caa2 (sf); previously
on Jan 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Jan 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-II-3, Downgraded to B2 (sf); previously
on Jan 13, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-II-4, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2006-A
Cl. A-3, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca (sf); previously on
Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2006-B
Cl. 1A-1, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. 1A-2, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-4, Downgraded to Ca (sf); previously on
Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2006-C
Cl. 1A, Downgraded to Caa3 (sf); previously on Jan 13,
2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. 2A, Downgraded to Caa3 (sf); previously on Jan 13,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 3A-2, Downgraded to Ba1 (sf); previously
on Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 3A-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 3A-4, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2006-D
Cl. 1A, Downgraded to Caa3 (sf); previously on Jan 13,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa2 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-4, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2006-E
Cl. 1A-1, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1A-2, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Confirmed at Ca (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2A-4, Confirmed at Ca (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2007-A
Cl. 1A, Downgraded to Caa3 (sf); previously on Jan 13,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Baa1 (sf); previously
on Jan 13, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2A-4A, Downgraded to Ca (sf); previously
on Jan 13, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF218544
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, confidential and proprietary Moody's
Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating 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.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service 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 the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Minxi Qiu
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
USA
Moody's downgrades $2.8 bn of Subprime RMBS issued by IndyMac