New York, July 20, 2017 -- Moody's Investors Service has upgraded ratings of 19 tranches and downgraded
the ratings of four tranches from eight transactions backed by Alt-A
mortgage loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2004-3
Cl. VI-A1, Downgraded to Baa3 (sf); previously
on Aug 23, 2016 Upgraded to Baa2 (sf)
Cl. VI-A5, Downgraded to Ba3 (sf); previously
on Aug 23, 2016 Upgraded to Ba1 (sf)
Issuer: Banc of America Funding 2004-C Trust
Cl. 4-A-1, Upgraded to A3 (sf); previously
on Aug 23, 2016 Upgraded to Baa2 (sf)
Cl. 4-A-3A, Upgraded to Baa2 (sf); previously
on Aug 23, 2016 Upgraded to Ba1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-12CB
Cl. 1-A-1, Upgraded to A3 (sf); previously
on Aug 22, 2016 Upgraded to Baa2 (sf)
Cl. 1-A-3, Upgraded to A3 (sf); previously
on Aug 22, 2016 Upgraded to Baa2 (sf)
Cl. 2-A-1, Upgraded to Baa1 (sf); previously
on Aug 22, 2016 Upgraded to Baa3 (sf)
Cl. 2-A-2, Upgraded to Baa1 (sf); previously
on Aug 22, 2016 Upgraded to Baa3 (sf)
Cl. 3-A-1, Upgraded to Baa3 (sf); previously
on Aug 22, 2016 Upgraded to Ba1 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Loan Trust, Series 2004-1
Cl. III-A-5, Upgraded to A2 (sf); previously
on Oct 7, 2015 Upgraded to Baa1 (sf)
Cl. III-A-6, Upgraded to A1 (sf); previously
on May 4, 2012 Upgraded to A3 (sf)
Cl. III-M-1, Upgraded to Caa3 (sf); previously
on Mar 3, 2011 Downgraded to Ca (sf)
Issuer: FNBA Mortgage Loan Trust 2004-AR1
Cl. A-1, Upgraded to Aa2 (sf); previously on
Aug 31, 2016 Upgraded to Aa3 (sf)
Cl. A-2, Upgraded to Aa1 (sf); previously on
Aug 31, 2016 Upgraded to Aa2 (sf)
Cl. A-3, Upgraded to Aa3 (sf); previously on
Aug 31, 2016 Upgraded to A1 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Aug
31, 2016 Upgraded to B3 (sf)
Issuer: Impac CMB Trust Series 2002-9F
Cl. A-1, Upgraded to Aa2 (sf); previously on
Aug 23, 2016 Upgraded to Aa3 (sf)
Cl. B, Upgraded to Baa1 (sf); previously on Aug 23,
2016 Upgraded to Baa2 (sf)
Cl. M-1, Upgraded to A1 (sf); previously on Aug
23, 2016 Upgraded to A2 (sf)
Cl. M-2, Upgraded to A2 (sf); previously on Aug
23, 2016 Upgraded to A3 (sf)
Issuer: Impac CMB Trust Series 2003-2F
Cl. B, Upgraded to B1 (sf); previously on Aug 23,
2016 Upgraded to B3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2
Cl. II-A, Downgraded to Ba3 (sf); previously
on Aug 22, 2016 Confirmed at Baa3 (sf)
Cl. III-A, Downgraded to Ba3 (sf); previously
on Aug 22, 2016 Confirmed at Baa3 (sf)
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. Today's
rating upgrades are due to buildup in bond-specific credit enhancement.
Today's rating downgrades are primarily due to erosion of credit
enhancement relative to the expected loss on the collateral.
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.
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 4.4% in June 2017 from 4.9%
in June 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.
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_SF455546
Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174
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
Eric Fellows
Senior Vice President/Manager
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