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Rating Action:

Moody's places on review for downgrade nine interest rate swaps from seven US RMBS transactions

13 May 2014

New York, May 13, 2014 -- Moody's Investors Service has placed on review for downgrade the ratings of nine interest rate swaps from seven US RMBS transactions. Each of the affected swaps is between a US RMBS trust and Deutsche Bank AG as a counterparty.

Complete rating actions are as follows:

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1

Interest Rate Swap I, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 12, 2013 Upgraded to A2 (sf)

Interest Rate Swap II, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 12, 2013 Upgraded to A2 (sf)

Issuer: IndyMac INDA Mortgage Loan Trust 2007-AR9

Interest Rate Swap, A1 (sf) Placed Under Review for Possible Downgrade; previously on Nov 1, 2010 Assigned A1 (sf)

Issuer: MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1

Interest Rate Swap II, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Upgraded to Aa2 (sf)

Interest Rate Swap III, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Upgraded to Aa2 (sf)

Issuer: MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2

Interest Rate Swap, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Upgraded to Aa2 (sf)

Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1

Interest Rate Swap, Aa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Upgraded to Aa2 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-8

Interest Rate Swap, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Downgraded to A1 (sf)

Issuer: CWABS Asset-Backed Certificates Trust 2007-BC3

Interest Rate Swap, A1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 26, 2012 Downgraded to A1 (sf)

RATINGS RATIONALE

This action is solely driven by Moody's announcement on May 6, 2014 that it has placed on review for possible downgrade Deutsche Bank AG's A2 supported long-term debt and deposit ratings and its Prime-1 short-term ratings. For additional information regarding the Deutsche Bank AG's watch action, refer to the May 6, 2014 press release on www.moodys.com.

The rating on the swaps address the credit exposure of the swap counterparty to the respective RMBS trust's ability to honor its obligations under the swap. The swap rating takes into account the rating of the swap counterparty, the transaction's legal structure, the rating of the underlying note and the characteristics of the collateral mortgage pool of the respective trust.

The principal methodology used in rating Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1 was "Moody's Approach to Rating Resecuritizations" published in February 2014. The principal methodology used in rating Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1, IndyMac INDA Mortgage Loan Trust 2007-AR9, MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1, MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2, CWABS Asset-Backed Certificates Trust 2007-8, and CWABS Asset-Backed Certificates Trust 2007-BC3 was "US RMBS Surveillance Methodology" published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

This action is driven solely by the rating action on Deutsche Bank AG and is not a result of change in key assumptions, expected losses, cash flows and stress scenarios on the underlying assets.

Factors that would lead to an upgrade or downgrade of the rating:

This action is due to the downgrade review of Deutsche Bank AG's A2 supported long-term debt and deposit ratings and its Prime-1 short-term ratings. The rating outcome of the swaps will be dependent on the rating outcome of Deutsche Bank.

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 6.3% in April 2014 from 7.5% in April 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 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 2014. 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 may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF367743

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.

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

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.

As the section on loss and cash flow analysis describes, 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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

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 analyst and the Moody's legal entity that has issued the ratings.

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
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

Minxi Qiu
Associate Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Jayesh Joseph
Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Linda Stesney
MD - Structured Finance
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 for downgrade nine interest rate swaps from seven US RMBS transactions
No Related Data.
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