New York, August 24, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
17 tranches and downgraded the ratings of two tranches from nine transactions,
backed by Alt-A, Option ARM, and Prime Jumbo RMBS loans,
issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2003-5
Cl. M, Downgraded to B3 (sf); previously on Jul 29,
2015 Upgraded to B1 (sf)
Issuer: Bear Stearns ALT-A Trust 2004-10
Cl. II-A-2, Upgraded to Aaa (sf); previously
on Jun 28, 2017 Upgraded to Aa2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on
Jun 28, 2017 Upgraded to Ca (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4
Cl. I-A-1, Upgraded to Ba2 (sf); previously
on Oct 3, 2017 Upgraded to B2 (sf)
Cl. II-A-1, Upgraded to B2 (sf); previously
on Feb 5, 2015 Upgraded to Caa1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2004-2
Cl. 7-M-1, Upgraded to Aaa (sf); previously
on Oct 3, 2017 Upgraded to Aa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-18CB
Cl. 1-A-1, Upgraded to Baa1 (sf); previously
on Oct 3, 2017 Upgraded to Baa3 (sf)
Cl. 2-A-8, Upgraded to Baa1 (sf); previously
on Oct 3, 2017 Upgraded to Baa3 (sf)
Cl. 4-A-1, Upgraded to Baa1 (sf); previously
on Oct 3, 2017 Upgraded to Baa3 (sf)
Cl. 5-A-1, Upgraded to Baa1 (sf); previously
on Oct 3, 2017 Upgraded to Baa3 (sf)
Cl. 5-A-2, Upgraded to Baa3 (sf); previously
on Oct 3, 2017 Upgraded to Ba2 (sf)
Cl. PO, Upgraded to Baa3 (sf); previously on Oct 27,
2016 Upgraded to Ba2 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust, Series 2004-5
Cl. A-4A, Upgraded to A3 (sf); previously on
Oct 3, 2017 Upgraded to Ba1 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Oct 3,
2017 Upgraded to Ba1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-4B, Upgraded to A3 (sf); previously on
Oct 3, 2017 Upgraded to Ba1 (sf)
Cl. A-5B, Upgraded to A3 (sf); previously on
Oct 3, 2017 Upgraded to Baa2 (sf)
Underlying Rating: Upgraded to A3 (sf); previously on Oct 3,
2017 Upgraded to Baa2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac CMB Trust Series 2003-9F
Cl. A-1, Upgraded to A1 (sf); previously on Mar
12, 2015 Downgraded to A3 (sf)
Cl. M, Upgraded to A3 (sf); previously on Mar 12,
2015 Downgraded to Baa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2004-AR1
Cl. 2-A-1, Upgraded to B2 (sf); previously
on Jul 3, 2012 Confirmed at Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2004-A
Cl. X-B, Downgraded to C (sf); previously on
Oct 27, 2017 Confirmed at Ca (sf)
RATINGS RATIONALE
The rating upgrades are due to an increase in the credit enhancement available
to the bonds. The rating downgrades are due to the weak collateral
performance of the underlying pools and the total credit enhancement available
to the bonds. The rating actions also reflect the recent performance
of the underlying pools and reflect Moody's updated loss expectation on
those pools.
The principal methodology used in rating Bear Stearns ALT-A Trust
2003-5 Cl. M; Bear Stearns ALT-A Trust 2004-10
Cl. II-A-2 and Cl. M-2; CSFB Adjustable
Rate Mortgage Trust 2004-2 Cl. 7-M-1;
CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-18CB Cl. 4-A-1, Cl.
5-A-1, Cl. PO, Cl. 2-A-8,
Cl. 5-A-2, and Cl. 1-A-1;
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2004-5 Cl. A-4A, Cl. A-5B,
and Cl. A-4B; Impac CMB Trust Series 2003-9F
Cl. A-1 and Cl. M; Bear Stearns Mortgage Funding
Trust 2007-AR4 Cl. I-A-1 and Cl. II-A-1;
and IndyMac INDX Mortgage Loan Trust 2004-AR1 Cl. 2-A-1
was "US RMBS Surveillance Methodology" published in January
2017. The methodologies used in rating Merrill Lynch Mortgage Investors
Trust MLCC 2004-A Cl. X-B 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 3.9% in July 2018 from 4.3%
in July 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.
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.
A list of these actions including CUSIP identifiers and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF474063
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
Soumya Vasudevan
Vice President - 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