New York, September 20, 2018 -- Moody's Investors Service has upgraded the ratings of 21 tranches from
eight transactions and downgraded the rating of one tranche from one transaction.
Complete rating actions are as follows:
Issuer: Deutsche Alt-A Securities, Inc. Mortgage
Loan Trust Series 2003-2XS
Cl. A-5, Upgraded to A1 (sf); previously on Nov
12, 2017 Upgraded to Baa2 (sf)
Cl. A-6, Upgraded to Aa1 (sf); previously on
Nov 12, 2017 Upgraded to A3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Feb
23, 2016 Upgraded to Caa3 (sf)
Issuer: Deutsche Alt-A Securities, Inc. Mortgage
Loan Trust Series 2003-4XS
Cl. A-5, Upgraded to Ba2 (sf); previously on
Mar 3, 2011 Downgraded to B3 (sf)
Cl. A-6A, Upgraded to Baa2 (sf); previously on
Mar 3, 2015 Downgraded to B1 (sf)
Underlying Rating: Upgraded to Baa2 (sf); previously on Mar
3, 2015 Downgraded to B1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Caa1, Outlook
Developing on Jan 17, 2018)
Cl. A-6B, Upgraded to Baa2 (sf); previously on
Mar 3, 2015 Downgraded to B1 (sf)
Issuer: Homebanc Mortgage Trust 2006-2
Cl. A-1, Upgraded to Baa3 (sf); previously on
Nov 12, 2017 Upgraded to Ba3 (sf)
Cl. A-2, Upgraded to Baa3 (sf); previously on
Nov 12, 2017 Upgraded to Ba3 (sf)
Issuer: Impac CMB Trust Series 2003-11
Cl. 1-A-1, Upgraded to Aa3 (sf); previously
on Nov 7, 2017 Upgraded to A1 (sf)
Cl. 1-A-2, Upgraded to A1 (sf); previously
on Nov 7, 2017 Upgraded to A3 (sf)
Cl. 1-M-1, Upgraded to A2 (sf); previously
on Nov 7, 2017 Upgraded to Baa1 (sf)
Cl. 1-M-2, Upgraded to A2 (sf); previously
on Nov 7, 2017 Upgraded to Baa2 (sf)
Cl. 1-M-3, Upgraded to A2 (sf); previously
on Nov 7, 2017 Upgraded to Baa2 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-2
Cl. A-6, Upgraded to A3 (sf); previously on Nov
7, 2017 Upgraded to Baa3 (sf)
Issuer: Lehman XS Trust Series 2006-1
Cl. 1-M1, Upgraded to A1 (sf); previously on
Nov 12, 2017 Upgraded to Baa3 (sf)
Cl. 1-M2, Upgraded to Ca (sf); previously on
Feb 4, 2009 Downgraded to C (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2004-11AR
Cl. 1-A-1, Upgraded to Baa1 (sf); previously
on Jun 29, 2015 Upgraded to Baa2 (sf)
Cl. 1-A-2B, Upgraded to Baa1 (sf); previously
on Jun 29, 2015 Upgraded to Baa3 (sf)
Cl. 1-X-2, Upgraded to Baa1 (sf); previously
on Oct 27, 2017 Confirmed at Baa2 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2005-6AR
Cl. 1-B-2, Upgraded to B1 (sf); previously
on Nov 12, 2017 Upgraded to B2 (sf)
Cl. 1-B-3, Upgraded to B2 (sf); previously
on Nov 12, 2017 Upgraded to Caa2 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2
Cl. I-A, Downgraded to Baa3 (sf); previously
on Aug 22, 2016 Confirmed at Baa1 (sf)
RATINGS RATIONALE
The actions reflect the recent performance of the underlying pools and
reflect Moody's updated loss expectations on the pools. The rating
downgraded is due to the weaker performance of the underlying collateral.
The ratings upgraded are a result of improving performance of the related
pools and/or an increase in credit enhancement available to the bonds.
The principal methodology used in rating Deutsche Alt-A Securities,
Inc. Mortgage Loan Trust Series 2003-2XS Cl. A-5,
Cl. A-6, and Cl. M-1; Deutsche
Alt-A Securities, Inc. Mortgage Loan Trust Series
2003-4XS Cl. A-5, Cl. A-6A,
and Cl. A-6B; Impac CMB Trust Series 2003-11
Cl. 1-A-1, Cl. 1-A-2,
Cl. 1-M-1, Cl. 1-M-2,
and Cl. 1-M-3; Impac Secured Assets Corp.
Mortgage Pass-Through Certificates, Series 2004-2
Cl. A-6; Morgan Stanley Mortgage Loan Trust 2004-11AR
Cl. 1-A-1 and Cl. 1-A-2B;
Structured Asset Mortgage Investments II Trust 2004-AR2 Cl.
I-A; Homebanc Mortgage Trust 2006-2 Cl. A-2
and Cl. A-1; Lehman XS Trust Series 2006-1 Cl.
1-M1 and Cl. 1-M2; Morgan Stanley Mortgage Loan
Trust 2005-6AR Cl. 1-B-2 and Cl. 1-B-3
was "US RMBS Surveillance Methodology" published in January 2017.
The methodologies used in rating Morgan Stanley Mortgage Loan Trust 2004-11AR
Cl. 1-X-2 were "US RMBS Surveillance Methodology"
published in January 2017 and "Moody's Approach to Rating Structured
Finance Interest-Only (IO) Securities" published in June 2017.
Please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
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 3.9% in August 2018 from 4.4% in August
2017. Moody's forecasts an unemployment central range of 3.5%
to 4.5% for the 2018 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 2018. 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.
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_SF474511
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.
Surbhi Khandelwal
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