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Rating Action:

Moody's takes action on 23 US IO RMBS bonds from 16 deals issued prior to 2009

08 Feb 2018

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

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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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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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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