New York, August 12, 2010 -- Moody's Investors Service has downgraded the ratings of 257 tranches,
upgraded the rating on one tranche, and confirmed the ratings of
8 tranches from 24 RMBS transactions, backed by Alt-A loans,
issued by Morgan Stanley.
The collateral backing these transactions consists primarily of first-lien,
fixed-rate and adjustable-rate, Alt-A residential
mortgage loans. The actions are a result of the rapidly deteriorating
performance of Alt-A pools in conjunction with macroeconomic conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on Alt-A pools issued from 2005 to 2007.
For details regarding Moody's approach to estimating losses on Alt-A
pools originated in 2005, 2006, and 2007, please refer
to the methodology publication "Alt-A RMBS Loss Projection Update:
February 2010" available on Moodys.com.
To assess the rating implications of the updated loss levels on Alt-A
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 above mentioned approach "Alt-A RMBS Loss Projection Update:
February 2010" is adjusted slightly when estimating losses on pools left
with a small number of loans. To project losses on pools with fewer
than 100 loans, Moody's first estimates a "baseline"
average rate of new delinquencies for the pool that is dependent on the
vintage of loan origination (10%, 19% and 21%
for the 2005, 2006 and 2007 vintage respectively). This baseline
rate is higher than the average rate of new delinquencies for the vintage
to account for the volatile nature of small pools. Even if a few
loans in a small pool become delinquent, there could be a large
increase in the overall pool delinquency level due to the concentration
risk. Once the baseline rate is set, further adjustments
are made based on 1) the number of loans remaining in the pool and 2)
the level of current delinquencies in the pool. The fewer the number
of loans remaining in the pool, the higher the volatility and hence
the stress applied. Once the loan count in a pool falls below 75,
the rate of delinquency is increased by 1% for every loan less
than 75. For example, for a pool with 74 loans from the 2005
vintage, the adjusted rate of new delinquency would be 10.10%.
If current delinquency levels in a small pool is low, future delinquencies
are expected to reflect this trend. To account for that,
the rate calculated above is multiplied by a factor ranging from 0.2
to 2.0 for current delinquencies ranging from less than 2.5%
to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Ten tranches from 4 different transactions (see below for details) are
wrapped by MBIA Insurance Corporation (rated B3). For securities
insured by a financial guarantor, the rating on the securities is
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 earlier.
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 Rating Methodologies sub-directory under the Research &
Ratings tab. 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
Complete rating actions are as follows:
Issuer: Morgan Stanley Mortgage Loan Trust 2006-11
Cl. 1-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-4, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-5, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-6, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-P, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-P, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-12XS
Cl. A-2A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2B, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-5A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-5B, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-6A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-6B, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-13ARX
Cl. A-1, Downgraded to Ca (sf); previously on
Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-15XS
Cl. A-1, Downgraded to B3 (sf); previously on
Jan 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-2-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-2-B, Currently at B3 (sf); previously
on Aug 12, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-4-B, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-5-B, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-6-B, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-5-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-6-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-16AX
Cl. 1-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-17XS
Cl. A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. A-2-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-2-B, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-2-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-3-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3-B, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-5-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-6, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-1AR
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-X, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-3, Downgraded to C (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-2
Cl. 1-A, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-X, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-P, Confirmed at Caa1 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-X, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-P, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-X, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Confirmed at Aa2 (sf); previously
on Jan 14, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A-X, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 7-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-3AR
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-X, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-5AR
Cl. A, Downgraded to Caa3 (sf); previously on Jan 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-6AR
Cl. 1-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-5, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-3, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-4, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-7
Cl. 1-A, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-P, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-X, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-4, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-5, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-6, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-7, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-8, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-X, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-P, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-4, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Confirmed at Ba2 (sf); previously
on Jan 14, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-8AR
Cl. 1-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-5, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 3-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Ba1 (sf); previously
on Jan 14, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Downgraded to B2 (sf); previously
on Jan 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-3, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-4, Downgraded to B3 (sf); previously
on Jan 14, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to Ba1 (sf); previously
on Jan 14, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2006-9AR
Cl. A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-10XS
Cl. A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. A-1-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Jan
21, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-2, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-3-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Jan
21, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-4, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-10, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-11, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-12, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-13, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-14, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-15, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-16, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-17, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-18, Downgraded to Caa1 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-19, Downgraded to C (sf); previously on
Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-20, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-21, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-22, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-23, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-11AR
Cl. 1-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-7, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-8, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-X, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-14AR
Cl. 6-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-1XS
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4-A, Downgraded to Caa3 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-4-B, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-4-C, Downgraded to Ca (sf);
previously on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-2AX
Cl. 1-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-3XS
Cl. 1-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2-A, Confirmed at Caa1 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-2-B, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-3-A, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-3-B, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-1-A, Confirmed at Baa2 (sf);
previously on Jan 14, 2010 Baa2 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-1-B, Downgraded to Ca (sf);
previously on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-2-SS, Downgraded to Caa3 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-3-SS, Downgraded to Caa3 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-4-SS, Downgraded to Caa3 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-7-M, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-5AX
Cl. 1-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-6XS
Cl. 1-A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2-SS, Confirmed at B3 (sf);
previously on Jan 14, 2010 B3 (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-2-M, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-3-SS, Downgraded to Caa1 (sf);
previously on Jan 14, 2010 B3 (sf) Placed Under Review for Possible
Downgrade
Cl. 1-A-3-M, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-1-SS, Upgraded to Baa1 (sf);
previously on Jan 14, 2010 Ba3 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-1-M, Downgraded to Ca (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-2-SS, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-3-SS, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-4-SS, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-5-SS, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-6-SS, Downgraded to Caa2 (sf);
previously on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-6-M, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Cl. 2-A-7-M, Downgraded to C (sf);
previously on Jan 14, 2010 Ca (sf) Placed Under Review for Possible
Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-7AX
Cl. 1-A, Downgraded to Ca (sf); previously on
Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Downgraded to Ca (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-6, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley Mortgage Loan Trust 2007-8XS
Cl. A-1, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-1-M, Downgraded to C (sf); previously
on Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-1-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to Caa3 (sf); previously on Jan
21, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-2, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-3-W, Currently at B3 (sf); previously
on Feb 18, 2009 Downgraded to B3 (sf)
Underlying Rating: Downgraded to C (sf); previously on Jan
21, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-4, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-8, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-10, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-11, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-12, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-13, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-14, Downgraded to Caa2 (sf); previously
on Jan 14, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. A-15, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-16, Downgraded to C (sf); previously on
Jan 14, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. A-17, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-18, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-19, Downgraded to Caa3 (sf); previously
on Jan 14, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-20, Confirmed at Caa3 (sf); previously
on Jan 14, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF214302
A list of updated estimated pool losses 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.
New York
Amita Shrivastava
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Karandeep Bains
Asst Vice President - 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 $8 billion of Alt-A RMBS issued by Morgan Stanley in 2006 and 2007