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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 $234.7 Million of Alt-A and Option ARM RMBS issued from 2003 through 2010

04 Apr 2016

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
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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