New York, April 10, 2013 -- Moody's Investors Service has downgraded the ratings of 32 tranches,
upgraded the ratings of two tranches and affirmed the ratings of 64 tranches
from six RMBS transactions backed by Alt-A loans, issued
by multiple issuers.
Complete rating actions are as follows:
Issuer: Lehman Mortgage Trust 2005-2
Cl. 1-A1, Affirmed Caa1 (sf); previously on Jan
14, 2011 Downgraded to Caa1 (sf)
Cl. 1-A2, Affirmed Caa1 (sf); previously on Jan
14, 2011 Downgraded to Caa1 (sf)
Cl. 1-A3, Affirmed Caa3 (sf); previously on Jan
14, 2011 Downgraded to Caa3 (sf)
Cl. 1-A4, Affirmed C (sf); previously on Jan
14, 2011 Downgraded to C (sf)
Cl. 2-A1, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 2-A2, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 2-A4, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 2-A5, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 2-A6, Affirmed C (sf); previously on Jan
14, 2011 Downgraded to C (sf)
Cl. 3-A1, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 3-A2, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 3-A3, Downgraded to Caa2 (sf); previously
on Jan 14, 2011 Downgraded to Caa1 (sf)
Cl. 3-A4, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 3-A5, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 3-A6, Affirmed C (sf); previously on Jan
14, 2011 Downgraded to C (sf)
Cl. 3-A7, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 4-A1, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 4-A2, Affirmed C (sf); previously on Jan
14, 2011 Downgraded to C (sf)
Cl. 5-A1, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 5-A2, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 5-A3, Upgraded to Caa2 (sf); previously on
Jan 14, 2011 Downgraded to Caa3 (sf)
Cl. 5-A4, Affirmed Caa2 (sf); previously on Jan
14, 2011 Downgraded to Caa2 (sf)
Cl. 5-A5, Upgraded to Caa2 (sf); previously on
Jan 14, 2011 Downgraded to Caa3 (sf)
Cl. AP, Affirmed Caa3 (sf); previously on Jan 14,
2011 Downgraded to Caa3 (sf)
Cl. AX, Affirmed Caa1 (sf); previously on Jan 14,
2011 Downgraded to Caa1 (sf)
Cl. PAX, Affirmed Caa1 (sf); previously on Jan 14,
2011 Downgraded to Caa1 (sf)
Issuer: RALI Series 2006-QS17 Trust
Cl. A-1, Affirmed Ca (sf); previously on Dec
23, 2010 Downgraded to Ca (sf)
Cl. A-2, Affirmed Ca (sf); previously on Feb
22, 2012 Downgraded to Ca (sf)
Cl. A-3, Downgraded to Ca (sf); previously on
Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. A-4, Affirmed Ca (sf); previously on Dec
23, 2010 Downgraded to Ca (sf)
Cl. A-6, Affirmed Ca (sf); previously on Dec
23, 2010 Downgraded to Ca (sf)
Cl. A-5, Downgraded to Ca (sf); previously on
Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. A-7, Affirmed Ca (sf); previously on Dec
23, 2010 Downgraded to Ca (sf)
Cl. A-8, Downgraded to Ca (sf); previously on
Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. A-V, Downgraded to Ca (sf); previously on
Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. A-P, Affirmed Ca (sf); previously on Dec
23, 2010 Downgraded to Ca (sf)
Issuer: RALI Series 2007-QS1 Trust
Cl. II-A-1, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. II-A-2, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. II-A-4, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. II-A-5, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-6, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-7, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-8, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-9, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-10, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-11, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. II-A-12, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-13, Affirmed Ca (sf); previously
on Dec 23, 2010 Downgraded to Ca (sf)
Cl. II-A-P, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. II-A-V, Downgraded to Ca (sf); previously
on Dec 23, 2010 Downgraded to Caa3 (sf)
Issuer: Residential Asset Securitization Trust 2006-A11
Cl. 1-A-1, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-2, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 1-A-3, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-4, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-5, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-7, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-X, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 1-PO, Downgraded to Ca (sf); previously on
Nov 12, 2010 Confirmed at Caa3 (sf)
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-2, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-3, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 3-A-1, Affirmed Ca (sf); previously
on Nov 12, 2010 Confirmed at Ca (sf)
Issuer: Residential Asset Securitization Trust 2006-A2
Cl. A-1, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Confirmed at Caa2 (sf)
Cl. A-2, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Confirmed at Caa2 (sf)
Cl. A-3, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. A-4, Affirmed Caa3 (sf); previously on Nov
12, 2010 Downgraded to Caa3 (sf)
Cl. A-5, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Confirmed at Caa2 (sf)
Cl. A-6, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Confirmed at Caa2 (sf)
Cl. A-7, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. A-8, Affirmed Caa3 (sf); previously on Nov
12, 2010 Downgraded to Caa3 (sf)
Cl. A-9, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Confirmed at Caa2 (sf)
Cl. A-10, Affirmed Caa3 (sf); previously on Nov
12, 2010 Downgraded to Caa3 (sf)
Cl. A-11, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. A-X, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. PO, Downgraded to Caa3 (sf); previously on Nov 12,
2010 Confirmed at Caa2 (sf)
Issuer: Residential Asset Securitization Trust 2006-A6
Cl. 1-A-1, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-2, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-3, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-4, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-7, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 1-A-8, Downgraded to Ca (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 1-A-9, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-11, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-12, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-13, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. 1-A-14, Affirmed Ca (sf); previously
on Nov 12, 2010 Downgraded to Ca (sf)
Cl. PO, Affirmed Caa3 (sf); previously on Nov 12,
2010 Downgraded to Caa3 (sf)
Cl. 2-A-1, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. 2-A-2, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-3, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-4, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-5, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-6, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-7, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. 2-A-8, Downgraded to Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa2 (sf)
Cl. 2-A-11, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-12, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (sf)
Cl. 2-A-13, Affirmed Caa3 (sf); previously
on Nov 12, 2010 Downgraded to Caa3 (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. The
majority of the actions reflect the change in principal payments and loss
allocation to the senior bonds subsequent to subordination depletion.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-Only
Securities is "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 Alt-A 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 Alt-A 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 source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in September
2011 to 7.6% in March 2013. Moody's forecasts a further
drop to 7.5% by 2014. Moody's expects house prices
to drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. 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_SF322941
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.
Samuel Ukrainsky
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
Deepika Kothari
Vice President - Senior Analyst/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 $1.5 billion of Miscellaneous Alt-A RMBS issued between 2005 and 2007
