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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

Moody's takes action on $208.7 Million of Alt-A RMBS issued from 2004 to 2005

04 Aug 2016

New York, August 04, 2016 -- Moody's Investors Service has confirmed the ratings of 13 tranches and downgraded the rating of one tranche from two transactions, backed by Alt-A RMBS loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-11CB

Cl. 1-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 1-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-3, Confirmed at Caa1 (sf); previously on Jul 22, 2016 Caa1 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-4, Confirmed at Caa1 (sf); previously on Jul 22, 2016 Caa1 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-5, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-6, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 2-A-7, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 3-A-1, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 3-A-2, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. 3-A-3, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Cl. PO, Confirmed at Caa2 (sf); previously on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-1

Cl. 4-A1, Downgraded to Baa3 (sf); previously on Mar 10, 2011 Downgraded to Baa1 (sf)

RATINGS RATIONALE

Today's actions on CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-11CB conclude the review actions on these bonds announced on July 22nd, 2016 relating to the distribution of settlement funds from the $8.5 billion CWRMBS settlement. The rating actions are primarily driven by the recent performance of the underlying pools and Moody's updated loss expectation on the pools. These actions also reflect the correction of the cashflow model used in rating this transaction. In prior modelling, the calculation of principal available to the group 3 bonds incorrectly included accrual interest amounts, thereby overestimating the principal distributable to Cl. 3-A-1, Cl. 3-A-2, Cl. 3-A-3 and Cl. PO. However, the accrual interest amounts constitute only a minimal portion of the principal cashflow supporting these classes, and the group 3 PO component represents only 1.5% of the balance of Cl. PO. As a result, the error correction resulted in no impact on Cl. 3-A-1, Cl. 3-A-2 and Cl. 3-A-3, and a small impact on the group 3 PO component of Cl. PO which was offset by collateral performance.

The rating downgrade of Cl. 4-A-1 from SARM 2004-1 is due to the weaker performance of the underlying collateral.

The principal methodology used in these ratings is "US RMBS Surveillance Methodology" published in November 2013. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would 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 4.9% in June 2016 from 5.3% in June 2015. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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. 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_SF436905

A list of updated estimated transaction pool losses and bond recoveries are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174

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.

Wenzhao Wu
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

Eric Fellows
Senior Vice President/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

No Related Data.
© 2019 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 rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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