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