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Rating Action:

Moody's takes action on $159 Million of RMBS issued from 2003 to 2006

20 Sep 2018

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

No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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