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Rating Action:

Moody's takes action on $1.4 billion of Option ARM RMBS issued by various issuers

30 Apr 2013

New York, April 30, 2013 -- Moody's Investors Service has downgraded one tranche, and upgraded 21 tranches from 11 transactions issued by various issuers, backed by Option ARM mortgage loans.

Complete rating actions are as follows:

Issuer: DSLA Mortgage Loan Trust 2005-AR6

Cl. 2A-1A, Upgraded to B2 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf)

Issuer: GreenPoint Mortgage Funding Trust 2006-AR8

Cl. 1-A1A, Downgraded to Caa3 (sf); previously on Dec 9, 2010 Downgraded to B3 (sf)

Issuer: HarborView Mortgage Loan Trust 2007-6

Cl. 2A-1A, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (sf)

Issuer: IndyMac INDX Mortgage Loan Trust 2006-FLX1

Cl. A-1, Upgraded to B3 (sf); previously on Jul 18, 2011 Downgraded to Caa2 (sf)

Issuer: Lehman XS Trust Series 2005-7N

Cl. 1-A1A, Upgraded to B1 (sf); previously on Oct 22, 2010 Downgraded to B3 (sf)

Issuer: Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1

Cl. A-1, Upgraded to Ba1 (sf); previously on Dec 9, 2010 Downgraded to Ba3 (sf)

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS

Cl. A-1, Upgraded to Baa2 (sf); previously on Dec 10, 2010 Downgraded to Ba2 (sf)

Cl. A-2A, Upgraded to B1 (sf); previously on Dec 10, 2010 Downgraded to Caa1 (sf)

Cl. A-2B, Upgraded to B1 (sf); previously on Dec 10, 2010 Downgraded to Caa1 (sf)

Cl. A-3, Upgraded to B3 (sf); previously on Dec 10, 2010 Downgraded to Caa3 (sf)

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS

Cl. 2-A1, Upgraded to Ba1 (sf); previously on Dec 10, 2010 Downgraded to B1 (sf)

Cl. 2-A2, Upgraded to B3 (sf); previously on Dec 10, 2010 Downgraded to Caa2 (sf)

Cl. 2-A3, Upgraded to Caa2 (sf); previously on Dec 10, 2010 Downgraded to Caa3 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR1

Cl. A-1A, Upgraded to Baa3 (sf); previously on Dec 15, 2010 Downgraded to B1 (sf)

Cl. A-2A3, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf)

Cl. A-2A1, Upgraded to B3 (sf); previously on Dec 15, 2010 Downgraded to Caa2 (sf)

Cl. X, Upgraded to Caa3 (sf); previously on Feb 22, 2012 Upgraded to Ca (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19

Cl. A-1A1, Upgraded to Baa3 (sf); previously on Dec 3, 2010 Downgraded to B2 (sf)

Cl. A-1A2, Upgraded to B1 (sf); previously on Dec 3, 2010 Downgraded to Caa1 (sf)

Cl. A-1B2, Upgraded to B3 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf)

Cl. A-1B3, Upgraded to B3 (sf); previously on Dec 3, 2010 Downgraded to Caa3 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR11

Cl. 2A, Upgraded to B2 (sf); previously on Dec 3, 2010 Downgraded to Caa1 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools.

Today's rating actions constitute of one downgrade and 21 upgrades. Class 1-A1A from Greenpoint Mortgage Funding Trust 2006-AR8 is downgraded to Caa3 (sf) due to outstanding loss on the tranche. The upgrades are primarily due to improved collateral performance and an increase in the credit enhancement available to the bonds.

The methodologies used in these ratings were "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008, "2005 -- 2008 US RMBS Surveillance Methodology" published in July 2011, and "Rating Transactions Based on the Credit Substitution Approach: Letter of Credit backed, Insured and Guaranteed Debts" published in March 2013. The methodology used in rating the Interest-Only Securities was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's adjusts the methodologies noted above for 1) Moody's current view on loan modifications and 2) small pool volatility

Loan Modifications

As a result of an extension of the Home Affordable Modification Program (HAMP) and an increased use of private modifications, Moody's is extending its previous view that loan modifications will only occur through the end of 2012. It is now assuming that the loan modifications will continue at current levels until 2014.

Small Pool Volatility

For pools with loans less than 100, Moody's adjusts its projections of loss to account for the higher loss volatility of such pools. For small pools, a few loans becoming delinquent would greatly increase the pools' delinquency rate.

To project losses on Option ARM pools with fewer than 100 loans, Moody's first calculates an annualized delinquency rate based on vintage, number of loans remaining in the pool and the level of current delinquencies in the pool. For Option ARM pools, Moody's first applies a baseline delinquency rate of 10% for 2005, 19% for 2006 and 21% for 2007. Once the loan count in a pool falls below 76, this rate of delinquency is increased by 1% for every loan fewer than 76. For example, for a 2005 pool with 75 loans, the adjusted rate of new delinquency is 10.1%. Further, to account for the actual rate of delinquencies in a small pool, Moody's multiplies the rate calculated above by a factor ranging from 0.20 to 2.0 for current delinquencies that range from less than 2.5% to greater than 50% respectively. Moody's then uses this final adjusted rate of new delinquency to project delinquencies and losses for the remaining life of the pool under the approach described in the methodology publication.

The primary sources of assumption uncertainty are our central macroeconomic forecast and performance volatility as a result of servicer-related activity such as modifications. The unemployment rate fell from 8.2% in March 2012 to 7.6% in March 2013. Moody's forecasts a unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects housing prices to continue to rise in 2013. Performance of RMBS continues to remain highly dependent on servicer activity such as modification-related principal forgiveness and interest rate reductions. Any change resulting from servicing transfers or other policy or regulatory change can also 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_SF327132

A list of updated estimated pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

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.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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.

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.

Max Sauray
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

Amita Shrivastava
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 $1.4 billion of Option ARM RMBS issued by various issuers
No Related Data.
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