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Rating Action:

Moody's takes action on $388 Million of Alt-A and Option ARM RMBS issued from 2005-2007

11 Mar 2015

New York, March 11, 2015 -- Moody's Investors Service has upgraded the ratings of 11 tranches and downgraded the ratings of nine tranches from nine transactions, backed by Alt-A and Option ARM RMBS loans, issued by multiple issuers.

Complete rating actions are as follows:

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-5

Cl. II-X, Downgraded to Caa1 (sf); previously on Apr 10, 2013 Downgraded to B3 (sf)

Issuer: CSMC Mortgage-Backed Trust Series 2007-2

Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to Caa1 (sf)

Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Oct 12, 2010 Downgraded to Caa1 (sf)

Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Nov 25, 2013 Downgraded to B2 (sf)

Cl. A-X, Downgraded to Caa2 (sf); previously on Nov 25, 2013 Downgraded to Caa1 (sf)

Issuer: HarborView Mortgage Loan Trust 2007-7

Cl. 2A-1A, Upgraded to B2 (sf); previously on Dec 5, 2010 Downgraded to Caa1 (sf)

Issuer: MASTR Alternative Loan Trust 2006-2

Cl. A-X, Downgraded to Ca (sf); previously on Feb 22, 2012 Upgraded to Caa2 (sf)

Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-1

Cl. M-7, Upgraded to B1 (sf); previously on May 9, 2014 Upgraded to B3 (sf)

Cl. M-8, Upgraded to Caa3 (sf); previously on May 9, 2014 Upgraded to Ca (sf)

Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-Through Certificates, Series 2005-3

Cl. M-3, Upgraded to B2 (sf); previously on May 9, 2014 Upgraded to Caa2 (sf)

Cl. M-4, Upgraded to Caa2 (sf); previously on May 9, 2014 Upgraded to Ca (sf)

Cl. M-5, Upgraded to Ca (sf); previously on Apr 15, 2010 Downgraded to C (sf)

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-16XS

Cl. A-1, Upgraded to Baa1 (sf); previously on Apr 30, 2013 Upgraded to Baa2 (sf)

Cl. A-2A, Upgraded to Baa3 (sf); previously on May 23, 2014 Upgraded to Ba1 (sf)

Cl. A-2B, Upgraded to Baa3 (sf); previously on May 23, 2014 Upgraded to Ba1 (sf)

Cl. A-3, Upgraded to Ba2 (sf); previously on May 23, 2014 Upgraded to B1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2005-4 Trust

Cl. 5-A-1, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Downgraded to Caa2 (sf)

Cl. C-P, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Downgraded to Caa2 (sf)

Cl. C-X, Downgraded to Caa3 (sf); previously on Apr 8, 2010 Downgraded to Caa2 (sf)

Issuer: Wells Fargo Alternative Loan 2005-2 Trust

Cl. M-1, Upgraded to Ba3 (sf); previously on May 28, 2014 Upgraded to B2 (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 the pools. The ratings upgraded are the result of the amortization and improved credit enhancement on these bonds. The ratings downgraded are a result of weaker collateral performance and higher expected losses on the underlying collateral.

In addition to performance, today's rating action on Class A-X from MASTR Alternative Loan Trust 2006-2 reflects correction of a prior error. In accordance with Moody's methodology for rating Interest-Only (IO) securities, the rating of this interest-only tranche should be capped at the rating of the highest rated tranche in the same group. In the February 22, 2012 rating action, the rating of Class A-X was capped instead to the highest rated tranche in the deal. The 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 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 5.5% in February 2015 from 6.7% in February 2014. Moody's forecasts an unemployment central range of 5% to 6% for the 2015 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 2015. 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_SF399151

A list of updated estimated transaction pool losses are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198174

Excel: http://www.moodys.com/researchdocumentcontentpage.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.

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.

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

Deepika Kothari
VP - Sr Credit Officer/Manager
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 $388 Million of Alt-A and Option ARM RMBS issued from 2005-2007
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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