New York, April 08, 2021 -- Moody's Investors Service, ("Moody's") places the ratings of 43
bonds from 23 RMBS transactions and 10 bonds from a resecuritization transaction
on review for downgrade. The collateral backing these deals consists
of alt-A, option ARM, subprime, and second-lien
mortgage loans.
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL443995
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-13
Cl. AF-4, Caa2 (sf) Placed Under Review for Possible
Downgrade; previously on Oct 30, 2019 Upgraded to Caa2 (sf)
Cl. AF-5, Currently Rated Caa1 (sf); previously
on Oct 26, 2016 Confirmed at Caa1 (sf)
Underlying Rating: Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 30, 2019 Upgraded to Caa3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on Dec 17, 2020)
Cl. MV-1, B1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 17, 2020 Downgraded to B1 (sf)
Cl. MV-2, B3 (sf) Placed Under Review for Possible
Downgrade; previously on Oct 30, 2019 Upgraded to B3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-11
Cl. 2-AV, Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 19, 2018 Upgraded to Aa3 (sf)
Cl. 3-AV-2, B2 (sf) Placed Under Review for
Possible Downgrade; previously on Jun 21, 2019 Upgraded to
B2 (sf)
Cl. 3-AV-3, Caa1 (sf) Placed Under Review for
Possible Downgrade; previously on Jun 21, 2019 Upgraded to
Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-13
Cl. 2-AV, Aa2 (sf) Placed Under Review for Possible
Downgrade; previously on Oct 30, 2019 Upgraded to Aa2 (sf)
Cl. 3-AV-3, A2 (sf) Placed Under Review for
Possible Downgrade; previously on Oct 30, 2019 Upgraded to
A2 (sf)
Cl. MV-1, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Oct 30, 2019 Upgraded to Caa3 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-L
Cl. 1-A, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 5, 2019 Upgraded to Baa1 (sf)
Issuer: CWABS Revolving Home Equity Loan Asset Backed Notes,
Series 2004-M
Cl. 1-A, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Aug 21, 2018 Upgraded to Baa1 (sf)
Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R
Cl. 1-A, Ba2 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 5, 2019 Upgraded to Ba2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-34CB
Cl. 1-A-8, Caa2 (sf) Placed Under Review for
Possible Downgrade; previously on Sep 29, 2016 Confirmed at
Caa2 (sf)
Cl. 1-A-9, Caa2 (sf) Placed Under Review for
Possible Downgrade; previously on Sep 29, 2016 Confirmed at
Caa2 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-G
Cl. 1-A, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 3, 2019 Upgraded to Ba1 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-H
Cl. 1-A, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 5, 2019 Upgraded to Ba1 (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR2
Cl. 2-A1A, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Feb 28, 2017 Upgraded to Ba1 (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR6
Cl. 2A-1A, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 21, 2019 Upgraded to Baa1 (sf)
Issuer: DSLA Mortgage Loan Trust 2007-AR1
Cl. 1A-1A, B3 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 10, 2018 Upgraded to B3 (sf)
Cl. 2A-1A, B3 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 10, 2018 Upgraded to B3 (sf)
Issuer: HarborView Mortgage Loan Trust 2006-10
Cl. 1A-1A, Caa2 (sf) Placed Under Review for Possible
Downgrade; previously on May 31, 2017 Upgraded to Caa2 (sf)
Cl. 2A-1A, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on May 31, 2017 Upgraded to Baa3 (sf)
Issuer: HarborView Mortgage Loan Trust 2006-BU1
Cl. 2A-1A, B3 (sf) Placed Under Review for Possible
Downgrade; previously on Mar 22, 2017 Upgraded to B3 (sf)
Issuer: Impac CMB Trust Series 2004-10
Cl. 1-A-1, Ba3 (sf) Placed Under Review for
Possible Downgrade; previously on Mar 18, 2016 Upgraded to
Ba3 (sf)
Underlying Rating: Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 18, 2016 Upgraded to Ba3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed
Bonds, Series 2004-8
Cl. 2-A-1, Ba1 (sf) Placed Under Review for
Possible Downgrade; previously on Jan 11, 2018 Upgraded to
Ba1 (sf)
Underlying Rating: Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 11, 2018 Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-2, Ba3 (sf) Placed Under Review for
Possible Downgrade; previously on Jan 11, 2018 Upgraded to
Ba3 (sf)
Underlying Rating: Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jan 11, 2018 Upgraded to Ba3 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-3
Cl. A-6, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Jul 8, 2016 Upgraded to Caa3 (sf)
Cl. A-7, Ca (sf) Placed Under Review for Possible
Downgrade; previously on Mar 5, 2013 Confirmed at Ca (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-17XS
Cl. A-2-A, Caa3 (sf) Placed Under Review for
Possible Downgrade; previously on Aug 12, 2010 Downgraded to
Caa3 (sf)
Cl. A-2-W, Currently Rated Caa1 (sf);
previously on May 20, 2016 Downgraded to Caa1 (sf)
Underlying Rating: Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to Caa3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on Dec 17, 2020)
Cl. A-3-A, Caa3 (sf) Placed Under Review for
Possible Downgrade; previously on Aug 12, 2010 Downgraded to
Caa3 (sf)
Cl. A-4, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf)
Cl. A-5-W, Currently Rated Caa1 (sf);
previously on May 20, 2016 Downgraded to Caa1 (sf)
Underlying Rating: Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Aug 12, 2010 Downgraded to Caa3 (sf)
Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1,
Outlook Negative on Dec 17, 2020)
Cl. A-6, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Aug 12, 2010 Downgraded to Caa3 (sf)
Issuer: AMRESCO Residential Mortgage Loan Trust 1998-3
A-7, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 28, 2018 Upgraded to Aa2 (sf)
M-1A, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 23, 2018 Upgraded to Baa3 (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4
Cl. A-1, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Jul 19, 2018 Upgraded to Baa3 (sf)
Issuer: Lehman XS Trust Series 2005-7N
Cl. 1-A1A, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Aug 25, 2016 Upgraded to Baa3 (sf)
Issuer: Lehman XS Trust Series 2005-8
Cl. 1-A3, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Sep 3, 2010 Downgraded to Caa3 (sf)
Issuer: RASC Series 2003-KS4 Trust
Cl. A-I-5, Aa1 (sf) Placed Under Review for
Possible Downgrade; previously on Feb 26, 2018 Upgraded to
Aa1 (sf)
Cl. A-I-6, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on Feb 26, 2018 Upgraded to
Aaa (sf)
Cl. M-I-1, B1 (sf) Placed Under Review for
Possible Downgrade; previously on Jun 25, 2015 Upgraded to
B1 (sf)
Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust
2006-RES
Cl. 04L-1a, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Baa1 (sf)
Cl. 04L-1b, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Baa1 (sf)
Cl. 04M-1a, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 4, 2019 Affirmed Baa1 (sf)
Cl. 04M-1b, Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 4, 2019 Affirmed Baa1 (sf)
Cl. 04R-1a, Ba2 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Ba2 (sf)
Cl. 04R-1b, Ba2 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Ba2 (sf)
Cl. 05G-1a, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 4, 2019 Affirmed Ba1 (sf)
Cl. 05G-1b, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 4, 2019 Affirmed Ba1 (sf)
Cl. 05H-1a, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Ba1 (sf)
Cl. 05H-1b, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 9, 2019 Upgraded to Ba1 (sf)
RATINGS RATIONALE
Today's rating actions result from the discovery of an error. In
our prior analysis of these ratings, we did not appropriately account
for the amounts owed to the financial guarantors of these transactions,
for reimbursement of previously paid out claims. According to the
distribution waterfalls of the impacted transactions, collection
proceeds will be used to pay financial guarantors the respective outstanding
reimbursement amounts either before making payments to the impacted bonds
or before the excess cashflow which can be utilized to cover losses or
build enhancement. Accounting for these reimbursement amounts appropriately
will diminish the cash flows available to the impacted bonds, potentially
impacting their ratings. Certain bonds in today's actions
were pledged to a resecuritization deal, so the ratings of related
bonds in this resecuritization deal have also been placed on review.
During the review period we will examine and quantify the expected deterioration
in cash flows to the impacted bonds following the payment of reimbursement
amounts owed to the financial guarantors as well as the amount of credit
enhancement expected to be available to the impacted bonds to cover projected
losses on the related pool.
The coronavirus pandemic has had a significant impact on economic activity.
Although global economies have shown a remarkable degree of resilience
to date and are returning to growth, the uneven effects on individual
businesses, sectors and regions will continue throughout 2021 and
will endure as a challenge to the world's economies well beyond
the end of the year. While persistent virus fears remain the main
risk for a recovery in demand, the economy will recover faster if
vaccines and further fiscal and monetary policy responses bring forward
a normalization of activity. As a result, there is a heightened
degree of uncertainty around our forecasts. Our analysis has considered
the effect on the performance of residential mortgage loans from a gradual
and unbalanced recovery in US economic activity.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
Principal Methodologies
The principal methodology used in rating all deals except CWHEQ Revolving
Home Equity Loan Resecuritization Trust 2006-RES was "US RMBS Surveillance
Methodology" published in July 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1231951.
The principal methodology used in rating CWHEQ Revolving Home Equity Loan
Resecuritization Trust 2006-RES was "Moody's Approach to Rating
Repackaged Securities" published in June 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1230078.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
In addition, Moody's publishes a weekly summary of structured finance
credit ratings and methodologies, available to all registered users
of our website, www.moodys.com/SFQuickCheck.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to protect
investors against current expectations of loss could drive the ratings
of the subordinate bonds up. Losses could decline from Moody's
original expectations as a result of a lower number of obligor defaults
or appreciation in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect investors
against current expectations of loss could drive the ratings down.
Losses could rise above Moody's expectations as a result of a higher number
of obligor defaults or deterioration in the value of the mortgaged property
securing an obligor's promise of payment. Transaction performance
also depends greatly on the US macro economy and housing market.
Other reasons for worse-than-expected performance include
poor servicing, error on the part of transaction parties,
inadequate transaction governance and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of these
transactions. In addition, improvements in reporting formats
and data availability across deals and trustees may provide better insight
into certain performance metrics such as the level of collateral modifications.
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The List of Affected Credit Ratings announced here are all solicited credit
ratings. Additionally, the List of Affected Credit Ratings
includes additional disclosures that vary with regard to some of the ratings.
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL443995
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Rating Solicitation
• Issuer Participation
• Participation: Access to Management
• Participation: Access to Internal Documents
• Disclosure to Rated Entity
• Endorsement
• Lead Analyst
• Releasing Office
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Zhiyu Jiang
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Soumya Vasudevan
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
