New York, May 01, 2015 -- Moody's Investors Service has upgraded the ratings of five tranches and
downgraded the ratings of six tranches from five transactions, backed
by Alt-A RMBS loans, issued by Impac and MASTR.
Complete rating actions are as follows:
Issuer: Impac CMB Trust Series 2004-7 Collateralized Asset-Backed
Bonds, Series 2004-7
Cl. 2-A, Upgraded to Baa3 (sf); previously on
Sep 19, 2013 Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Sep
19, 2013 Upgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed
Bonds, Series 2004-8
Cl. 1-A, Upgraded to B3 (sf); previously on Jul
12, 2012 Confirmed at Caa2 (sf)
Underlying Rating: Upgraded to B3 (sf); previously on Jul 12,
2012 Confirmed at Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-1, Upgraded to B3 (sf); previously
on Mar 30, 2011 Downgraded to Caa2 (sf)
Underlying Rating: Upgraded to B3 (sf); previously on Mar 30,
2011 Downgraded to Caa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-2, Upgraded to Ca (sf); previously
on Jul 12, 2012 Confirmed at C (sf)
Underlying Rating: Upgraded to Ca (sf); previously on Jul 12,
2012 Confirmed at C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-3
Cl. 2-A-1, Downgraded to Baa2 (sf); previously
on May 2, 2012 Downgraded to Baa1 (sf)
Cl. 2-A-X, Downgraded to Baa2 (sf); previously
on May 2, 2012 Downgraded to Baa1 (sf)
Cl. 3-A-4, Downgraded to Baa3 (sf); previously
on May 2, 2012 Downgraded to Baa2 (sf)
Cl. 3-A-X, Downgraded to Baa3 (sf); previously
on May 2, 2012 Downgraded to Baa2 (sf)
Cl. 4-A-1, Downgraded to Baa2 (sf); previously
on May 2, 2012 Downgraded to Baa1 (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11
Cl. B-1, Upgraded to Caa3 (sf); previously on
Oct 3, 2013 Upgraded to Ca (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-9
Cl. M-1, Downgraded to Baa3 (sf); previously
on Feb 15, 2013 Downgraded to A3 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pool and reflect Moody's updated loss expectation on the pool.
The ratings upgraded are due to the increase in credit enhancement available
to these bonds. The ratings downgraded are due to weaker collateral
performance. The rating downgrade of Class M-1 from MASTR
Adjustable Rate Mortgages Trust 2004-9 is due to the outstanding
interest shortfall on this bond and structural limitations in the transaction
that prevent recoupment of the missed interest payments even if funds
are available in subsequent periods.
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 5.5% in March 2015 from 6.6%
in March 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_SF405906
A list of updated estimated transaction pool losses are being posted on
an ongoing basis for the duration of this review period and may be found
at:
Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF237256
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.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months for Impac CMB Trust Series 2004-7 Collateralized Asset-Backed
Bonds, Series 2004-7 and Impac CMB Trust Series 2004-8
Collateralized Asset-Backed Bonds, Series 2004-8.
Moody's received and took into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments in this transaction for MASTR Adjustable Rate Mortgages Trust
2003-3, MASTR Adjustable Rate Mortgages Trust 2004-11,
and MASTR Adjustable Rate Mortgages Trust 2004-9 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.
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.
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
Deepika Kothari
VP - Sr Credit Officer/Manager
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 $125.6 Million of Alt-A RMBS issued in 2003-2004