New York, October 29, 2018 -- Moody's Investors Service has upgraded the ratings of five tranches and
downgraded the rating of 24 tranches from five transactions, backed
by Alt-A, Option ARM and Subprime RMBS, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: CSMC Mortgage-Backed Trust Series 2006-2
Cl. 4-A-1, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-2, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-3, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-4, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-5, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-6, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-7, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-8, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-9, Downgraded to Caa3 (sf); previously
on Oct 12, 2010 Downgraded to Caa2 (sf)
Cl. 5-A-1, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Cl. 5-A-2, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Cl. 5-A-3, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Cl. 5-A-4, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Cl. 5-A-5, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Cl. 5-A-6, Downgraded to Ca (sf); previously
on Oct 12, 2010 Downgraded to Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-16CB
Cl. 2-A-1, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 2-A-2, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 5-A-1, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 5-A-2, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 5-A-3, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 5-A-4, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. 5-A-5, Downgraded to Ca (sf); previously
on Oct 6, 2016 Confirmed at Caa3 (sf)
Cl. X-2, Downgraded to Ca (sf); previously on
Feb 7, 2018 Confirmed at Caa3 (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR1
Cl. 2-A1A, Upgraded to Baa1 (sf); previously
on Jan 12, 2018 Upgraded to Baa3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-2
Cl. 2-B, Upgraded to Baa3 (sf); previously on
Mar 21, 2013 Downgraded to B1 (sf)
Cl. 2-M-1, Upgraded to A3 (sf); previously
on Oct 3, 2013 Downgraded to Ba1 (sf)
Cl. 2-M-2, Upgraded to Baa2 (sf); previously
on Oct 3, 2013 Downgraded to Ba3 (sf)
Cl. 2-M-3, Upgraded to Baa3 (sf); previously
on Mar 21, 2013 Downgraded to B1 (sf)
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-H1
Cl. 1-A1, Downgraded to Baa3 (sf); previously
on Jan 31, 2018 Upgraded to A1 (sf)
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The ratings downgraded are due to the weaker performance of the underlying
collateral and the increase in undercollateralization. The ratings
upgraded are a result of increase in credit enhancement available to the
bonds. The rating downgrade on CL.1-A1 from Merrill
Lynch First Franklin 2007-H1 is due to the existing interest shortfalls
and low likelihood of recoupment.
The principal methodology used in rating CSMC Mortgage-Backed Trust
Series 2006-2 Cl. 5-A-5, Cl.
4-A-3, Cl. 4-A-4, Cl.
4-A-5, Cl. 4-A-6, Cl.
4-A-7, Cl. 4-A-8, Cl.
4-A-9, Cl. 5-A-6, Cl.
5-A-1, Cl. 5-A-3, Cl.
5-A-4, Cl. 4-A-1, and Cl.
4-A-2; CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2007-16CB Cl. 2-A-1,
Cl. 2-A-2, Cl. 5-A-1,
Cl. 5-A-2, Cl. 5-A-4,
Cl. 5-A-5, and Cl. 5-A-3;
DSLA Mortgage Loan Trust 2005-AR1 Cl. 2-A1A;
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1
Cl. 1-A1; and Impac Secured Assets Corp. Mortgage
Pass-Through Certificates, Series 2006-2 Cl.
2-M-1, Cl. 2-M-2, Cl.
2-M-3, and Cl. 2-B was "US RMBS
Surveillance Methodology" published in January 2017. The
methodologies used in rating CSMC Mortgage-Backed Trust Series
2006-2 Cl. 5-A-2 and CWALT, Inc.
Mortgage Pass-Through Certificates, Series 2007-16CB
Cl. X-2 were "US RMBS Surveillance Methodology"
published in January 2017 and "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017. Please
see the Rating Methodologies page on www.moodys.com for
a copy of these methodologies.
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 3.7% in September 2018 from 4.2%
in September 2017. Moody's forecasts an unemployment central range
of 3.5% to 4.5% for the 2018 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 2018. 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 and the associated
pool losses may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF475497
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.
The person who approved CSMC Mortgage-Backed Trust Series 2006-2,
CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2007-16CB, and DSLA Mortgage Loan Trust 2005-AR1
credit ratings is Soumya Vasudevan, VP - Senior Analyst,
Structured Finance Group, JOURNALISTS: 1 212 553 0376,
Client Service: 1 212 553 1653. The person who approved Merrill
Lynch First Franklin Mortgage Loan Trust, Series 2007-H1
and Impac Secured Assets Corp. Mortgage Pass-Through Certificates,
Series 2006-2 credit ratings is Deepika Kothari, Senior Vice
President, Structured Finance Group, JOURNALISTS: 1
212 553 0376, Client Service: 1 212 553 1653.
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.
Chloe Zhang
Associate Lead 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
Soumya Vasudevan
VP-Senior Analyst
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