New York, April 04, 2016 -- Moody's Investors Service has upgraded the ratings of 14 tranches and
downgraded the ratings of three tranches from eight transactions,
backed by Alt-A and Option ARM RMBS loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: American General Mortgage Loan Trust 2010-1
Cl. A-4, Upgraded to Aa3 (sf); previously on
Jun 12, 2015 Upgraded to A2 (sf)
Issuer: American General Mortgage Pass-Through Certificates,
Series 2006-1
Cl. A-3, Upgraded to Aa3 (sf); previously on
Oct 19, 2012 Downgraded to A1 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust, Series 2004-4
Cl. II-AR-1, Upgraded to A1 (sf); previously
on Jul 29, 2015 Upgraded to Baa1 (sf)
Cl. II-AR-2, Upgraded to Aa3 (sf); previously
on Jul 29, 2015 Upgraded to A1 (sf)
Cl. II-MR-2, Upgraded to Caa2 (sf); previously
on Mar 3, 2011 Downgraded to Ca (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR2
Cl. 2-A1A, Upgraded to Ba3 (sf); previously on
May 11, 2015 Upgraded to B2 (sf)
Issuer: New York Mortgage Trust 2005-3
Cl. A-1, Downgraded to Ba1 (sf); previously on
Aug 30, 2012 Confirmed at Baa2 (sf)
Cl. A-2, Downgraded to Baa1 (sf); previously
on Aug 30, 2012 Confirmed at A2 (sf)
Cl. A-3, Downgraded to Ba2 (sf); previously on
Aug 30, 2012 Confirmed at Baa3 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP3
Cl. A-5A, Upgraded to Ba1 (sf); previously on
Jun 26, 2012 Confirmed at Ba2 (sf)
Cl. A-5B, Upgraded to Ba1 (sf); previously on
Jun 26, 2012 Confirmed at Ba2 (sf)
Cl. A-6, Upgraded to Baa3 (sf); previously on
Jun 26, 2012 Confirmed at Ba1 (sf)
Underlying Rating: Upgraded to Baa3 (sf); previously on Jun
26, 2012 Confirmed at Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through
Certificates 2005-5
Cl. II-A1D1, Upgraded to Ba1 (sf); previously
on Aug 4, 2015 Upgraded to Ba3 (sf)
Cl. II-A1D2, currently rated A2 (sf); previously
on Jan 18, 2013 Downgraded to A2 (sf)
Underlying Rating: Upgraded to Ba1 (sf); previously on Aug
4, 2015 Upgraded to Ba3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Affirmed at
A2, Outlook Stable on July 2, 2014)
Cl. II-AN, Upgraded to Ba1 (sf); previously on
May 9, 2014 Upgraded to Ba3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-2
Cl. M-1, Upgraded to Baa1 (sf); previously on
Sep 23, 2014 Downgraded to Baa3 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on
Sep 23, 2014 Downgraded to Ba2 (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectation on these pools.
The rating upgrades are due to the stronger collateral performance and
the credit enhancement available to the bonds. The ratings downgraded
are due to the erosion of credit enhancement available to the bonds.
Today's rating action on Opteum Mortgage Acceptance Corporation Asset
Backed Pass-Through Certificates 2005-5 also reflects a
correction to the cash-flow model used by Moody's in rating this
transaction. In the prior model, excess cash flow was not
correctly calculated, resulting in lower payments to the Group II
senior bonds than called for in the transaction documents. This
error has now been corrected, and today's rating action reflects
this change.
The principal methodology used in these ratings was "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 rating:
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 5.0% in March 2016 from 5.5%
in March 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_SF429675
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: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Yasmine Grossenbacher
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
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
Moody's takes action on $234.7 Million of Alt-A and Option ARM RMBS issued from 2003 through 2010