New York, February 08, 2018 -- Moody's Investors Service (Moody's) has downgraded the ratings of 23 Interest-Only
(IO) bonds from 16 US residential mortgage backed securitization (RMBS)
transactions, issued by multiple issuers prior to 2009.
Today's rating actions reflect a correction of errors in our prior
analysis of the affected bonds. These bonds have not paid interest
for an extended period of time due to weak performance that reduced the
interest distribution amount to zero.
Complete rating actions are as follows:
Issuer: Banc of America Alternative Loan Trust, Mortgage Pass-Through
Certificates, Series 2005-8
Cl. 1-CB-5, Downgraded to C (sf); previously
on Apr 26, 2010 Downgraded to Caa1 (sf)
Issuer: Banc of America Funding 2006-2 Trust
Cl. 1-A-5, Downgraded to C (sf); previously
on Oct 27, 2017 Confirmed at Caa2 (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-7
Cl. 1-A-5, Downgraded to C (sf); previously
on Oct 31, 2017 Downgraded to Caa2 (sf)
Issuer: CSAB Mortgage-Backed Trust Series 2007-1
Cl. 3-A-5, Downgraded to C (sf); previously
on Nov 19, 2010 Downgraded to Ca (sf)
Issuer: CSMC Mortgage-Backed Trust Series 2006-7
Cl. 8-A-2, Downgraded to C (sf); previously
on Oct 12, 2010 Downgraded to Ca (sf)
Issuer: CSMC Mortgage-Backed Trust Series 2006-9
Cl. 4-A-3, Downgraded to C (sf); previously
on Jun 21, 2017 Downgraded to Caa2 (sf)
Cl. 4-A-4, Downgraded to C (sf); previously
on Jun 21, 2017 Downgraded to Caa2 (sf)
Cl. 4-A-6, Downgraded to C (sf); previously
on Jun 21, 2017 Downgraded to Caa2 (sf)
Cl. 4-A-7, Downgraded to C (sf); previously
on Jun 21, 2017 Downgraded to Caa2 (sf)
Issuer: CWABS Trust 2005-HYB9
Cl. 2-IO, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa3 (sf)
Cl. 3-IO, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa2 (sf)
Cl. 4-IO, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa2 (sf)
Cl. 5-IO, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-54CB
Cl. 3-A-2, Downgraded to C (sf); previously
on Oct 27, 2017 Confirmed at Caa3 (sf)
Issuer: Deutsche Alt-A Securities, Inc. Mortgage
Loan Trust Series 2005-4
Cl. A-X2, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa3 (sf)
Issuer: Deutsche Alt-A Securities, Inc. Mortgage
Loan Trust Series 2005-6
Cl. I-A-IO, Downgraded to C (sf); previously
on Oct 27, 2017 Confirmed at Caa3 (sf)
Cl. II-A-IO, Downgraded to C (sf); previously
on Oct 27, 2017 Confirmed at Ca (sf)
Issuer: Deutsche Alt-B Securities Mortgage Loan Trust,
Series 2006-AB1
Cl. A-X, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2007-10XS
Cl. A-9, Downgraded to C (sf); previously on
Aug 12, 2010 Downgraded to Caa2 (sf)
Issuer: Reperforming Loan REMIC Trust 2003-R4
Cl. 1A-IO, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at B3 (sf)
Issuer: Structured Asset Securities Corp Trust 2003-33H
Cl. 2A-IO, Downgraded to C (sf); previously on
Aug 29, 2016 Confirmed at Caa1 (sf)
Issuer: Thornburg Mortgage Securities Trust 2007-2
Cl. A-X, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa2 (sf)
Issuer: Thornburg Mortgage Securities Trust 2007-3
Cl. A-X, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Caa3 (sf)
RATINGS RATIONALE
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.
Generally, the ratings on IO bonds reflect the linkage and performance
of the respective transactions, including expected losses on the
collateral, and pay-downs or write-offs of the related
reference bonds. However, today's downgrade of the
ratings of 23 IO bonds to C(sf) reflects the nonpayment of interest for
an extended period, ranging between 19 months to 12 years.
Prior rating actions did not take the nonpayment of interest into consideration.
Today's action corrects the ratings to reflect the nonpayment of
interest for an extended period of time due to weak performance.
For these bonds, the coupon rate or the notional balance is subject
to a calculation that has reduced the required interest distribution to
zero. The reduction to zero is generally attributed to weak performance
and/or rate reduction on the collateral due to underlying loan modifications.
Because the coupon on these bonds is subject to changes in interest rates
and/or collateral composition, there is a remote possibility that
they may receive interest in the future. The rating of C addresses
the loss of interest attributable to credit related reasons.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF467310
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies, for each affected credit
rating, Moody's disclosures on the following items:
-Principal Methodologies
Factors that would lead to an upgrade or downgrade of the ratings:
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.
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