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Rating Action:

Moody's takes action on $1.0 Billion of Alt-A & Option ARM RMBS issued from 2005 through 2007

06 Aug 2015

New York, August 06, 2015 -- Moody's Investors Service has upgraded the ratings of eight tranches and confirmed the ratings of 12 tranches from nine transactions backed by Alt-A & Option ARM RMBS loans, and issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Bear Stearns ARM Trust 2005-12

Cl. I-1-A-1, Confirmed at Caa3 (sf); previously on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain

Issuer: Citigroup Mortgage Loan Trust 2006-AR6

Cl. 1-A1, Confirmed at Caa2 (sf); previously on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-84

Cl. 2-A-1, Confirmed at Ca (sf); previously on Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7

Cl. 1-A-1, Confirmed at Ca (sf); previously on Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1

Cl. II-A-1, Confirmed at B2 (sf); previously on Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain

Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR1

Cl. 1-A-1, Upgraded to B1 (sf); previously on Apr 26, 2013 Upgraded to B3 (sf)

Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to Ca (sf)

Cl. 2-A-1, Upgraded to Ba2 (sf); previously on Apr 26, 2013 Downgraded to B1 (sf)

Cl. 3-A-1, Upgraded to B1 (sf); previously on Apr 26, 2013 Upgraded to B3 (sf)

Cl. 3-A-2, Upgraded to Caa2 (sf); previously on Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain

Cl. 4-A-1, Upgraded to B1 (sf); previously on Jul 20, 2015 B3 (sf) Placed Under Review Direction Uncertain

Issuer: Lehman Mortgage Trust 2005-1

Cl. 3-A1, Confirmed at Caa3 (sf); previously on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain

Issuer: RALI Series 2007-QA5 Trust

Cl. II-A-1, Confirmed at Ca (sf); previously on Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR13

Cl. A-1A1, Confirmed at Baa2 (sf); previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. A-1A2, Confirmed at Baa2 (sf); previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. A-1A3, Confirmed at Baa2 (sf); previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. A-1B2, Confirmed at Ba2 (sf); previously on Jul 20, 2015 Ba2 (sf) Placed Under Review Direction Uncertain

Cl. A-1B3, Confirmed at Ba2 (sf); previously on Jul 20, 2015 Ba2 (sf) Placed Under Review Direction Uncertain

Cl. A-1C3, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf)

Cl. A-1C4, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are due to the rate of amortization of and/or the level of credit enhancement available to the bonds.

Today's rating actions also conclude the review actions on 14 tranches from nine transactions, backed by Alt-A and Option ARM mortgages, announced on July 20, 2015 relating to the existence of an error in the calculation of the net weighted average coupon (net WAC) that was used in the prior cash flow models.

In previous surveillance of these bonds, the net WAC was calculated using the periodic interest collections from the asset pools, rather than the promised net coupons on the assets in the pools. As interest payments to the bonds are capped by the net WAC and periodic interest collections from the collateral could be lower than the promised coupons due to delinquent assets in the pool, this approach results in lower interest payments and higher remaining funds to amortize the bonds than may be appropriate. The calculation has now been corrected, and the information considered in connection with today's rating actions reflects the net WAC calculated using promised net coupons on the collateral, as well as updated performance data for the collateral. The ratings on Classes 3-A-2 and 4-A-1 of IndyMac INDX Mortgage Loan Trust 2005-AR1 have been upgraded due to the level of credit enhancement available to the bonds, and the ratings on Class I-1-A-1 of Bear Stearns ARM Trust 2005-12, Class 1-A1 of Citigroup Mortgage Loan Trust 2006-AR6, Class 2-A-1 of CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-84, Class 1-A-1 of CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-OA7, Class II-A-1 of Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 3-A1 of Lehman Mortgage Trust 2005-1, Class II-A-1 of RALI Series 2007-QA5 Trust, and Classes A-1B2, A-1B3, A-1A1, A-1A2, and A-1A3 of WaMu Mortgage Pass-Through Certificates, Series 2005-AR13 have been confirmed.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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

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 5.3% in June 2015 from 6.1% in June 2014. Moody's forecasts an unemployment central range of 5% to 6% for the 2015 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 2015. 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_SF415257

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:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686

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 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.

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.

Yasmine Grossenbacher
Associate 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

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 takes action on $1.0 Billion of Alt-A & Option ARM RMBS issued from 2005 through 2007
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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