New York, November 06, 2014 -- Moody's Investors Service has upgraded the rating of 14 tranches and downgraded
the ratings of ten tranches from ten transactions backed by Alt-A
loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2005-2
Cl. I-A-3, Downgraded to C (sf); previously
on Aug 23, 2010 Downgraded to Caa3 (sf)
Issuer: Banc of America Alternative Loan Trust 2006-3
Cl. 6-A-1, Downgraded to Ba2 (sf); previously
on Nov 30, 2011 Downgraded to Baa3 (sf)
Issuer: Banc of America Funding 2005-B Trust
Cl. 3-A-3A, Upgraded to Ba3 (sf); previously
on Jul 8, 2010 Downgraded to B2 (sf)
Cl. 3-A-3B, Upgraded to Ba3 (sf); previously
on Aug 8, 2012 Confirmed at B2 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-2
Cl. I-M-1, Upgraded to B2 (sf); previously
on Jul 23, 2013 Upgraded to Caa1 (sf)
Cl. II-A-2b, Upgraded to Caa2 (sf); previously
on Aug 10, 2012 Downgraded to C (sf)
Issuer: Bear Stearns ALT-A Trust 2005-4
Cl. I-A-1, Upgraded to Baa3 (sf); previously
on Jul 23, 2013 Upgraded to Ba1 (sf)
Cl. I-A-2, Upgraded to Ba2 (sf); previously
on Jan 21, 2014 Upgraded to B1 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-7
Cl. I-1A-1, Upgraded to Ba1 (sf); previously
on Jul 23, 2013 Upgraded to Ba3 (sf)
Cl. I-1A-2, Upgraded to B3 (sf); previously
on Jan 21, 2014 Upgraded to Caa2 (sf)
Cl. I-2A-2, Upgraded to Ba3 (sf); previously
on Jul 23, 2013 Upgraded to B2 (sf)
Cl. I-2A-3, Upgraded to B3 (sf); previously
on Jan 21, 2014 Upgraded to Caa2 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7
Cl. 7-A-1-1, Upgraded to Ba1 (sf);
previously on Aug 8, 2012 Upgraded to Ba2 (sf)
Cl. 7-A-1-2, Upgraded to B1 (sf);
previously on Jan 13, 2014 Upgraded to B2 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2005-A2
Cl. 1-A-1, Upgraded to Ba2 (sf); previously
on Aug 6, 2013 Upgraded to B1 (sf)
Cl. 1-A-2, Upgraded to Caa1 (sf); previously
on Aug 6, 2013 Upgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-14
Cl. 1-A1, Downgraded to Caa1 (sf); previously
on Feb 7, 2014 Downgraded to B2 (sf)
Cl. 1-A7, Downgraded to Caa1 (sf); previously
on Feb 7, 2014 Downgraded to B2 (sf)
Cl. AX, Downgraded to Caa1 (sf); previously on Feb 22,
2012 Downgraded to B3 (sf)
Cl. PAX, Downgraded to Caa1 (sf); previously on Feb
22, 2012 Downgraded to B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2007-2 Trust
Cl. 3-A-3, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 3-A-4, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 3-A-5, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. C-X, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
RATINGS RATIONALE
The majority of the actions are a result of the recent performance of
the underlying pools and reflect Moody's updated loss expectations on
the pools. The ratings upgraded are due to an increase in enhancement
available to the bonds. The ratings downgraded are due to weaker
performance of the underlying collateral.
Today's rating action on American Home 2005-2 Class I-A-3
is based on modification of the indenture with respect to allocation of
losses to this tranche. The prospectus supplement ("prosup")
allows for losses to be allocated first to Class I-A-3 and
then to Class I-A-2, but the indenture previously
stated the reverse. The indenture has now been amended to conform
to the prosup, and today's action reflects this modification.
Today's rating action on Bear Stearns 2005-2 Class II-A-2b
reflects a correction to the modeling of the loss allocation waterfall.
Once subordinate tranches are depleted, the prosup states that Class
II-A-2b supports Class II-A-2a in terms of
loss allocation, while the PSA is silent regarding any such support.
In previous rating actions, Moody's considered the loss allocation
rules as detailed in the prosup, but the securities administrator
has confirmed that it is currently following the PSA. The error
has now been corrected, and today's rating action reflects
this change.
The downgrades of WaMu 2007-2 Classes 3-A-3,
3-A-4, and 3-A-5 reflect correction
of a prior error. These exchangeable classes are linked to,
and should carry the same rating as, WaMu 2007-2 Class 3-A-1,
but they were missed from our February 5,2014 rating action in which
Class 3-A-1 was downgraded to Caa3 (sf). The error
has now been corrected, and today's rating actions reflect
this change. The rating of interest-only tranche Class C-X
was also downgraded to Caa3 (sf) in accordance with Moody's methodology
for rating Interest-Only (IO) securities, which dictates
that the rating for this tranche must be capped at the highest-rated
tranche in the deal.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Credit
Policy 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 5.9% in September 2014 from 7.2%
in September 2013. Moody's forecasts an unemployment central range
of 6% to 7% for the 2014 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 2014. 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_SF385599
A list of updated estimated pool losses and bond recoveries is 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_SF198176
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.
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 related to the monitoring of these transactions in the past
six months.
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.
As the section on loss and cash flow analysis describes, 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.
Soumya Vasudevan
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
Ola Hannoun-Costa
Asst Vice President - Analyst
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 $381 Million of Alt-A RMBS issued from 2005 to 2007