New York, June 17, 2016 -- Moody's Investors Service has placed the ratings of 424 tranches from
66 transactions issued by various issuers on review with the direction
uncertain. The collateral backing these transactions consists of
Jumbo, Alt-A and Option ARM loans.
Complete list of affected tranches and transactions can be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF434004
RATINGS RATIONALE
Today's review actions relate to the calculation of the prepayment shift
percentage input value which impacts the allocation of prepayments between
senior and subordinate tranches in these shifting-interest transactions.
For 33 of the transactions, listed below, the review actions
are due to discovery of an error in the prepayment shift percentage input
to the cash-flow waterfalls used by Moody's to review these transactions
since their last rating actions. As a result, the cash-flow
waterfalls did not capture the correct prepayment shift percentages and
were allocating an incorrect portion of principal prepayments to subordinate
bonds. The tranches placed on review are those that show a potential
sensitivity to the error, and their direct interest-only
and resecuritization linked tranches.
Chase Mortgage Finance Trust Series 2007-A1
Chase Mortgage Finance Trust, Series 2005-S2
CHL Mortgage Pass-Through Trust 2004-12
Citicorp Mortgage Securities, Inc. 2006-3
Citicorp Mortgage Securities Trust 2006-4
Citicorp Mortgage Securities Trust, Series 2006-6
Citicorp Mortgage Securities, Inc. 2005-8
Citicorp Mortgage Securities, Inc. 2006-1
Citigroup Mortgage Loan Trust, Series 2004-NCM1
CSFB Mortgage-Backed Pass-Through Certificates, Series
2001-28
CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-23
CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-27
CSMC Resecuritization Trust 2006-1R
CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-12CB
Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2005-WF1
GMACM Mortgage Loan Trust 2005-AR1
HarborView Mortgage Loan Trust 2004-11
HarborView Mortgage Loan Trust 2005-6
Impac Secured Assets Corp. Mortgage Pass-Through Certificates,
Series 2002-2
MASTR Asset Securitization Trust 2005-2
Merrill Lynch Mortgage Investors Trust 2005-A10
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A4
Structured Asset Securities Corporation, Series 2005-10
WaMu Mortgage Pass-Through Certificates Series 2003-AR9
Trust
WaMu Mortgage Pass-Through Certificates, Series 2004-CB3
WaMu Mortgage Pass-Through Certificates, Series 2004-S3
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9
Wells Fargo Mortgage Backed Securities 2005-14 Trust
Wells Fargo Mortgage Backed Securities 2005-18 Trust
Wells Fargo Mortgage Backed Securities 2005-AR1 Trust
Wells Fargo Mortgage Backed Securities 2005-AR13 Trust
Wells Fargo Mortgage Backed Securities 2005-AR2 Trust
Wells Fargo Mortgage Backed Securities 2005-AR4 Trust
Today's review actions on the following 28 transactions and a linked
resecuritization transaction are based on an apparent inconsistency between
the prepayment shift percentage value calculated per the transaction documents
and the distributions being made by the administrators according to the
remittance reports.
ABN AMRO Mortgage Corporation, Multi-Class Pass-Through
Certificates, Series 2003-12
Banc of America Alternative Loan Trust 2004-1
Banc of America Alternative Loan Trust 2004-10
Banc of America Alternative Loan Trust 2004-2
Banc of America Funding 2004-1 Trust
Bear Stearns ARM Trust 2004-10
Citigroup Mortgage Loan Trust, Series 2004-NCM2
CSFB Adjustable Rate Mortgage Trust 2005-1
CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-19
CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-29
First Horizon Alternative Mortgage Securities Trust 2004-FA1
GMACM Mortgage Loan Trust 2004-J5
J.P. Morgan Mortgage Trust 2004-S1
MASTR Asset Securitization Trust 2004-P7
Merrill Lynch Mortgage Investors Trust MLCC 2003-F
Merrill Lynch Mortgage Investors Trust MLCC 2005-3
Morgan Stanley Mortgage Loan Trust 2004-8AR
Structured Adjustable Rate Mortgage Loan Trust 2004-2
Structured Asset Mortgage Investments II Trust 2004-AR2
Structured Asset Mortgage Investments Trust 2002-AR2
Structured Asset Securities Corp Trust 2003-31A
Structured Asset Securities Corp Trust 2003-35
Structured Asset Securities Corp Trust 2003-38
Structured Asset Securities Corp Trust 2004-13
Structured Asset Securities Corp Trust 2004-15
Wells Fargo Mortgage Backed Securities 2003-N Trust
Wells Fargo Mortgage Backed Securities 2004-R Trust
Wells Fargo Mortgage Backed Securities 2005-AR12 Trust
Wells Fargo Mortgage Backed Securities 2005-AR9 Trust
Today's review actions on the following four transactions are based
on both the discovery of the error in the prepayment shift percentage
input to the cash-flow waterfalls, and an inconsistency between
the prepayment shift percentage value calculated per the transaction documents
and the distributions being made by the administrators according to the
remittance reports.
Banc of America Alternative Loan Trust 2004-4
Citigroup Mortgage Loan Trust, Series 2005-2
Structured Asset Securities Corp Trust 2003-33H
Structured Asset Securities Corp Trust 2003-40A
During the review period, Moody's will assess performance
and cash flow analyses for all of the transactions, with corrected
inputs where appropriate. For the relevant transactions noted above,
we will consult with the securities administrators regarding their calculation
of the prepayment shift percentage values.
The principal methodology used in rating CSMC Resecuritization Trust 2006-1R,
Deutsche Mortgage Securities, Re-REMIC Trust, Series
2005-WF1 and MASTR Asset Securitization Trust 2004-P7 was
"Moody's Approach to Rating Resecuritizations" published in February 2014.
The principal methodology used in the other ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
Methodologies page on www.moodys.com for a copy of these
methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic
uncertainty, and in particular the unemployment rate. The
unemployment rate fell to 4.7% in May 2016 from 5.5%
in May 2015. Moody's forecasts an unemployment central range of
4.5% to 5.5% for the 2016 year. Deviations
from this central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2016. Lower increases
than Moody's expects or decreases could lead to negative rating
actions.
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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF434004
A list of updated estimated pool losses and bond recoveries is being posted
on an ongoing basis for the duration of this review period and may be
found at:
Jumbo:http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243269
Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
Option ARM: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
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 or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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.
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.
Soumya Vasudevan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Youriy Koudinov
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Ilana Fried
Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places on review $3.2 Billion of RMBS issued between 2001 to 2007