New York, November 10, 2017 -- Moody's Investors Service, ("Moody's") has upgraded the ratings
of four bonds, downgraded the ratings of five bonds, and confirmed
the ratings of four Interest-Only (IO) bonds from six RMBS transactions.
These IO bonds were among those placed on review 29 August 2017 in connection
with a reassessment of our internal linkage of certain IO bonds to their
reference bond(s) or pool(s).
Complete rating actions are as follows:
Issuer: Bear Stearns Alt-A Trust 2006-8
Cl. III-A-1, Downgraded to Baa3 (sf);
previously on Aug 17, 2015 Confirmed at Baa1 (sf)
Cl. III-X-1, Confirmed at Caa2 (sf); previously
on Aug 29, 2017 Caa2 (sf) Placed Under Review Direction Uncertain
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-J8
Cl. M-IO, Confirmed at C (sf); previously on
Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade
Issuer: Lehman XS Trust Series 2007-15N
Cl. 1C-A1, Upgraded to B2 (sf); previously on
Dec 22, 2016 Upgraded to Caa1 (sf)
Cl. 3-AX, Confirmed at C (sf); previously on
Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade
Cl. 4-AX, Confirmed at C (sf); previously on
Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade
Issuer: MASTR Seasoned Securitization Trust 2005-2
Cl. 1-A-1, Upgraded to B2 (sf); previously
on Apr 10, 2013 Downgraded to Caa1 (sf)
Cl. 1-A-2, Upgraded to B2 (sf); previously
on Apr 10, 2013 Downgraded to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-AF2
Cl. AF-1, Downgraded to Ca (sf); previously on
Jan 27, 2015 Downgraded to Caa2 (sf)
Cl. AF-2, Downgraded to Ca (sf); previously on
Jan 27, 2015 Downgraded to Caa2 (sf)
Cl. AV-1, Downgraded to Ca (sf); previously on
Oct 1, 2010 Downgraded to Caa3 (sf)
Cl. PO, Downgraded to Ca (sf); previously on Oct 1,
2010 Downgraded to Caa2 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR2
Cl. II-A-1, Upgraded to B3 (sf); previously
on Apr 1, 2015 Upgraded to Caa2 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the total credit enhancement
available to the bonds. The rating downgrades are due to the erosion
of credit enhancement available to the bonds. The actions reflect
the recent performance of the underlying pools and Moody's updated loss
expectation on these pools.
Today's action resolves the review of four IO bonds which were among those
placed on watch in connection with a reassessment of the IO bond linkages
captured in our internal database. The factors that Moody's considers
in rating an IO bond depend on the type of referenced securities or assets
to which the IO bond is linked. Following the linkage reassessment,
we determined that the ratings of these four IO bonds correctly reflect
the linkage of the bonds to their referenced securities or asset pools,
as well as the performance of the respective transactions, and have
therefore confirmed these ratings. The rating on Class III-X-1
from Bear Stearns Alt-A Trust 2006-8 has been confirmed
at Caa2(sf) notwithstanding today's downgrade of one of its referenced
securities. Class III-X-1 notional balance is linked
to the balance of Class III-A-1, Class III-A-2,
Class III-B-1, Class III-B-2,
and Class III-B-3. The rating of an IO bond referencing
multiple bonds is based on the weighted average current rating of all
referenced bonds based on the current balance. For this reason,
the rating downgrade on Class III-A-1 did not result in
a change in the rating of Class III-X-1. The ratings
of the referenced tranches for IO bonds Class 3-AX and Class 4-AX
from Lehman XS Trust Series 2007-15N remain unchanged. As
such the ratings on the Class 3-AX and Class 4-AX were confirmed.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. Please see the Rating Methodologies
page on www.moodys.com for a copy of this methodology.
Additionally, the methodology used in rating Bear Stearns Alt-A
Trust 2006-8 Cl. III-X-1, CWALT,
Inc. Mortgage Pass-Through Certificates, Series 2004-J8
Cl. M-IO, Lehman XS Trust Series 2007-15N Cl.
3-AX and Cl. 4-AX, MASTR Seasoned Securitization
Trust 2005-2 Cl. 1-A-2 was "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 this methodology.
Factors that can lead to an upgrade or downgrade of the ratings:
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 4.1% in October 2017 from 4.8%
in October 2016. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2017 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 2017. 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher realized
and expected loss due to an overall improvement or decline in the credit
quality of the reference bonds and/or pools.
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_SF462862
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.
Ilana Fried
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
Ola Hannoun-Costa
VP-Sr Credit Officer/Manager
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