New York, November 07, 2017 -- Moody's Investors Service has upgraded ratings of 12 tranches and downgraded
two tranches from five transactions backed by Alt-A and Option
ARM mortgage loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: GreenPoint Mortgage Funding Trust 2006-AR6
Cl. 2-A1, Upgraded to B2 (sf); previously on
Jan 12, 2016 Upgraded to Caa1 (sf)
Issuer: Impac CMB Trust Series 2003-11
Cl. 1-A-1, Upgraded to A1 (sf); previously
on Nov 22, 2016 Upgraded to A2 (sf)
Cl. 1-A-2, Upgraded to A3 (sf); previously
on Nov 22, 2016 Upgraded to Baa1 (sf)
Cl. 1-M-1, Upgraded to Baa1 (sf); previously
on Nov 22, 2016 Upgraded to Baa2 (sf)
Cl. 1-M-2, Upgraded to Baa2 (sf); previously
on Nov 22, 2016 Upgraded to Baa3 (sf)
Cl. 1-M-3, Upgraded to Baa2 (sf); previously
on Nov 22, 2016 Upgraded to Baa3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-2
Cl. A-5, Upgraded to Ba1 (sf); previously on
Mar 4, 2015 Upgraded to Ba3 (sf)
Cl. A-6, Upgraded to Baa3 (sf); previously on
Mar 4, 2015 Upgraded to Ba2 (sf)
Issuer: PAMEX Mortgage Trust 1999-A
M-1, Downgraded to Ba3 (sf); previously on Aug 29,
2013 Downgraded to Ba1 (sf)
M-2, Downgraded to B3 (sf); previously on Oct 15,
2012 Downgraded to B1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS
Cl. A-1, Upgraded to Aaa (sf); previously on
Nov 22, 2016 Upgraded to Aa3 (sf)
Cl. A-2A, Upgraded to Aa1 (sf); previously on
Nov 22, 2016 Upgraded to A1 (sf)
Cl. A-2B, Upgraded to Aa1 (sf); previously on
Nov 22, 2016 Upgraded to A1 (sf)
Cl. A-3, Upgraded to Aa2 (sf); previously on
Nov 22, 2016 Upgraded to A3 (sf)
RATINGS RATIONALE
The rating actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on those pools. The rating
upgrades are primarily due to improvement of credit enhancement available
to the bonds and/or expected losses on the collateral. The rating
downgrades on PAMEX Mortgage Trust 1999-A are due to the increase
in dellinquencies in the underlying pool over the past year and our projected
expected loss on the pool (see link below).
Factors that would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty,
and in particular the unemployment rate. The unemployment rate
fell to 4.2% in September 2017 from 4.9% in
September 2016. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2017 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 2017. 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.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
A list of these actions including CUSIP identifiers and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF462530
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.
Chloe Zhang
Associate 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
Deepika Kothari
Senior Vice President
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