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Related Issuers
ACE Securities Corp. HEL Tr 2007-HE4
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3
Ameriquest Mortgage Securities Inc., Series 2006-M3
BCAP LLC Trust 2006-AA2
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-HY8C
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-HY9
CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OH1
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-2
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-3
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3
Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1
EquiFirst Loan Securitization Trust 2007-1
Fremont Home Loan Trust 2006-D
IndyMac INDA Mortgage Loan Trust 2007-AR9
IndyMac INDX Mortgage Loan Trust 2007-FLX1
IndyMac INDX Mortgage Loan Trust 2007-FLX2
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2
New Century Home Equity Loan Trust 2006-2
PHH Alternative Mortgage Trust, Series 2007-3
Popular ABS Mortgage Pass-Through Trust 2007-A
RALI Series 2007-QH3 Trust
RAMP Series 2007-RS2 Trust
Securitized Asset Backed Receivables LLC Trust 2007-BR1
WaMu Asset-Backed Certificates, WaMu Series 2007-HE3 Trust
WaMu Asset-Backed Certificates, WaMu Series 2007-HE4 Trust
Rating Action:

Moody's takes action on 37 swaps in thirty one RMBS transactions issued between 2006 and 2007

17 Oct 2011

New York, October 17, 2011 -- Moody's Investors Service announced that it has upgraded the ratings of 19 interest rate swaps and affirmed the ratings of 18 interest rate swaps. Each of the interest rate swaps in question is part of an RMBS transaction that has either Deutsche Bank AG or Barclays Bank PLC as its swap counterparty.

RATINGS RATIONALE

The risk of loss to the counterparties of the swaps that have been upgraded has declined since the last time the swap ratings were reviewed, while the risk of loss to the counterparties of the swaps that have had their ratings affirmed has not changed enough to warrant a rating action since the last time these swaps were reviewed.

Moody's rating addresses the credit risk posed to the swap counterparty. This rating only addresses the risk attributable to the ability of the trust to continue to honor its obligations under the swap. The rating does not address market risk that may be experienced by the party facing the trust under the swap contract.

The rating takes into account the rating of the swap counterparty (Aa3 for each swap reviewed), the transaction's legal structure and the characteristics of the collateral mortgage pool of the respective trust. Because there is relatively limited historical performance data for the types of instruments, this credit rating may have a greater potential rating volatility than would ratings for transactions supported by more historical performance data.

Our rating approach for this counterparty instrument rating (CIR) rests on three propositions:

- The CIRs are based on an analysis of the payment promise made by the trust, the position of the instrument in the payment waterfall, the credit quality of the rated payment flows, the security arrangements governing the trust's relationship with the counterparty, the support mechanisms available to the counterparty, the termination date of the swap and other structural features of the transaction in question. In this regard, the rating process is similar to that for all other ratings assigned by Moody's.

- The credit quality and ratings assigned to counterparty instrument obligations of the trust may differ from those of its payment obligations to bondholders. As a result, ratings assigned to bonds issued by the trust may diverge from the CIR and therefore the bond ratings may offer only a limited guidance on the CIR.

- Although counterparty instrument ratings address payments to rather than from the counterparty, in certain circumstances the credit strength of the counterparty itself may have a bearing on the CIR. For example, where a counterparty's non-performance under a swap agreement leads to the trust having to make a termination payment to that counterparty, Moody's will take into account the likelihood of the counterparty's non-performance occurring and the position of termination payments in the cash flow waterfall . Specifically, in the event that the swap counterparty causes a termination event, any termination payment owed to the swap counterparty may be paid at the bottom of the cash flow waterfall. As a result, a default by the swap counterparty, which is currently rated Aa3, makes payment in full to the counterparty unlikely.

By way of background, for all but one of the swaps, the swap counterparties receive a fixed rate from, and pay LIBOR to, the RMBS trusts on a notional amount. The swap counterparty for the one outlying swap pays LIBOR plus a margin on a notional amount and receives the monthly pass through rate for one class of certificates issued by the RMBS trust. For fixed notional swaps, the notional amount is fixed for each month that the swap is outstanding. For balance guaranteed swaps the notional amount is calculated as the lesser of a fixed amount for each month and either the outstanding collateral balance or outstanding certificate balance. Per the terms of the deal documents for each of the swaps, the swap counterparty receives payments prior to bondholders, and is thus in a senior position to all bonds issued by the trust. To pay the swap counterparty, the trust also has access to principal payments, liquidation proceeds and interest collections. This provision strengthens the nature of senior payment right of the swap counterparty.

For fixed notional swaps and balance guaranteed swaps that are tied to certificate balances for which losses are not allocated, the primary risks driving the rating on the swaps is the risk that the collateral pool amortizes at a rate that exceeds the amortization rate of the swap notional and the risk of a termination event triggered by a default of the swap counterparty. As the notional amount for these swaps is fixed according to a monthly schedule or floored at a bond balance that is not reduced by losses, it is likely that the collateral balance would amortize faster than the swap notional in high default scenarios. For balance guaranteed swaps that are tied to the collateral balance by either direct reference or reference to bond balances that are reduced through both principal payments and losses, the primary risk driving the rating on the swaps is the risk of a termination event triggered by a default of the swap counterparty. The counterparties in all of the swaps have Aa3 long term ratings and a P-1 short term ratings by Moody's.

Our methodology for rating swaps on US RMBS transactions includes running collateral cashflows for fixed schedule swaps and for the appropriate balance guaranteed swaps. The methodology also considers the rating of the swap counterparty. We stress the cashflows by increasing defaults and prepayments to determine what level of collateral stress would cause a shortfall in proceeds owed to the swap counterparty. The cashflows are modeled to reflect the waterfall of the underlying transaction, which results in all swap payments other than termination payments caused by a counterparty default coming at the top of the waterfall. Termination payments owed to the swap counterparty resulting from a default of the swap counterparty are paid at the bottom of the waterfall. Sensitivity to a decline in the weighted average interest rate of the collateral pool is also analyzed as are additional qualitative considerations such as such as interest rate reduction modifications or more conservative servicer advancing approaches.

The ratings for the swaps are in line with Moody's existing methodology. Moody's noted that on September 19, 2011, it released a Request for Comment, in which the rating agency has requested market feedback on potential changes to its rating methodology for Counterparty Instrument Ratings. If the revised methodology is implemented as proposed, the rating on the swaps may be positively affected. Please refer to Moody's Request for Comment, titled "Moody's Approach to Counterparty Instrument Ratings: Request for Comment," for further details regarding the implications of the proposed methodology changes on Moody's ratings.

Complete rating actions are as follows:

For Fixed Schedule Swaps where Barclays Bank PLC is the counterparty:

Issuer: EquiFirst Loan Securitization Trust 2007-1

Swap (Reference Number 1819920B), Upgraded to Aa3 (sf); previously on Jul 31, 2009 Assigned Baa2 (sf)

Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR1

Swap (Reference Number 1688728B), Upgraded to Aa3 (sf); previously on Jul 31, 2009 Assigned Baa2 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-OH1

Swap (Reference Number 1762254B), Upgraded to Aa3 (sf); previously on Apr 7, 2009 Assigned A2 (sf)

Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1

Swap (Reference Number 1554177B), Upgraded to Aa3 (sf); previously on Apr 7, 2009 Assigned A3 (sf)

Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX2

Swap (Reference Number 1615240B), Upgraded to Aa3 (sf); previously on Apr 10, 2009 Assigned A3 (sf)

Issuer: RALI Series 2007-QH3 Trust

Swap (Reference Number 1683809B), Upgraded to Aa3 (sf); previously on Apr 7, 2009 Assigned A3 (sf)

Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE3 Trust

Swap (Reference Number 1733274B), Upgraded to Aa3 (sf); previously on Apr 7, 2009 Assigned Baa1 (sf)

Issuer: WaMu Asset-Backed Certificates, WaMu Series 2007-HE4 Trust

Swap (Reference Number 1789071B), Upgraded to Aa3 (sf); previously on Apr 7, 2009 Assigned Baa1 (sf)

Issuer: BCAP LLC Trust 2006-AA2

Swap (Reference Number 1439003B), Affirmed at A3 (sf); previously on Mar 2, 2009 Assigned A3 (sf)

Issuer: RAMP Series 2007-RS2 Trust

Swap (Reference Number 1746031B), Upgraded to Aa3 (sf); previously on May 8, 2009 Assigned Baa2 (sf)

For Fixed Schedule Swaps Where Deutsche Bank AG is the counterparty:

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-2

Swap I (Reference Number N682000N), Affirmed at Baa1 (sf); previously on Mar 17, 2010 Assigned Baa1 (sf)

Swap II (Reference Number N681996N), Affirmed at Baa1 (sf); previously on Mar 17, 2010 Assigned Baa1 (sf)

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4

Swap (Reference Number N628457N), Upgraded to Aa3 (sf); previously on Jul 14, 2010 Assigned A2 (sf)

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1

Swap I (Reference Number N641412N), Affirmed at Baa3 (sf); previously on Jul 14, 2010 Assigned Baa3 (sf)

Swap II (Reference Number N641402N), Affirmed at Baa3 (sf); previously on Jul 14, 2010 Assigned Baa3 (sf)

Issuer: MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1

Swap I (Reference Number N614219N), Affirmed at A3 (sf); previously on Jul 28, 2010 Assigned A3 (sf)

Swap II (Reference Number N614223N), Affirmed at A3 (sf); previously on Jul 28, 2010 Assigned A3 (sf)

Swap III (Reference Number N614227N), Affirmed at A3 (sf); previously on Jul 28, 2010 Assigned A3 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1

Swap (Reference Number N503602N), Affirmed at Ba3 (sf); previously on Nov 3, 2010 Assigned Ba3 (sf)

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3

Swap I (Reference Number N607183N), Upgraded to Aa3 (sf); previously on Nov 1, 2010 Assigned A2 (sf)

Swap II (Reference Number N607153N), Upgraded to Aa3 (sf); previously on Nov 1, 2010 Assigned A2 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2006-M3

Swap (Reference Number N509391N), Upgraded to A1 (sf); previously on Nov 1, 2010 Assigned A3 (sf)

Issuer: Fremont Home Loan Trust 2006-D

Swap (Reference Number N525157N), Upgraded to A1 (sf); previously on Nov 3, 2010 Assigned Ba2 (sf)

Issuer: PHH Alternative Mortgage Trust, Series 2007-3

Swap (Reference Number N632211N), Affirmed at A3 (sf); previously on Nov 1, 2010 Assigned A3 (sf)

Issuer: Popular ABS Mortgage Pass-Through Trust 2007-A

Swap (Reference Number N615392N), Upgraded to Baa2 (sf); previously on Nov 3, 2010 Assigned Ba1 (sf)

Issuer: New Century Home Equity Loan Trust 2006-2

Swap (Reference Number N487723N), Affirmed at Aa3 (sf); previously on Nov 16, 2010 Assigned Aa3 (sf)

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3

Swap (Reference Number N621204N), Upgraded to Aa3 (sf); previously on Nov 16, 2010 Assigned A1 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC3

Swap (Reference Number N533634N), Affirmed at Aa3 (sf); previously on Nov 29, 2010 Assigned Aa3 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-HY8C

Swap (Reference Number N659808N), Upgraded to Aa3 (sf); previously on Jan 11, 2011 Assigned A1 (sf)

Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-HY9

Swap I (Reference Number N659812N), Upgraded to Aa3 (sf); previously on Jan 11, 2011 Assigned A1 (sf)

Swap II (Reference Number N659814N), Upgraded to Aa3 (sf); previously on Jan 11, 2011 Assigned A1 (sf)

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2

Swap (Reference Number N576538N), Affirmed at Aa3 (sf); previously on Feb 6, 2011 Assigned Aa3 (sf)

Issuer: ACE Securities Corp. HEL Trust 2007-HE4

Swap (Reference Number N606256N), Affirmed at A1 (sf); previously on Jun 28, 2011 Assigned A1 (sf)

Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-3

Swap (Reference Number N701945N), Affirmed at Aa3 (sf); previously on Jun 28, 2011 Assigned Aa3 (sf)

For Balance Guaranteed Swaps where Deutsche Bank AG is the counterparty:

Issuer: MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2

Swap (Reference Number N681806N), Affirmed at Aa3 (sf); previously on Jul 14, 2010 Assigned Aa3 (sf)

Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust Certificates, Series 2007-RS1

Swap (Reference Number N679784N), Affirmed at Aa3 (sf); previously on Jul 14, 2010 Assigned Aa3 (sf)

Issuer: IndyMac INDA Mortgage Loan Trust 2007-AR9

Swap (Reference Number N736115N), Affirmed at A1 (sf); previously on Nov 1, 2010 Assigned A1 (sf)

REGULATORY DISCLOSURES

The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are considered EU Qualified by Extension and therefore available for regulatory use in the EU. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.

Information sources used to prepare each of the credit ratings are the following: parties involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, and confidential and proprietary Moody's Analytics information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in this transaction.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

In addition to the information provided below please find on the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead rating analyst and the Moody's legal entity that has issued each of the ratings.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

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.

Scott Friedman
Associate 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

Kruti Muni
VP - Senior Credit Officer
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 37 swaps in thirty one RMBS transactions issued between 2006 and 2007
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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