New York, December 18, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
18 tranches from ten transactions, and downgraded the ratings of
five tranches from three transactions backed by Alt-A, Option
ARM and Prime Jumbo loans.
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-24
Cl. 3-A-1, Upgraded to Caa3 (sf); previously
on Sep 19, 2016 Confirmed at Ca (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR3
Cl. 2-A1A, Upgraded to Baa3 (sf); previously
on Apr 1, 2015 Upgraded to Ba3 (sf)
Cl. 2-A1B, Upgraded to Caa2 (sf); previously
on Dec 3, 2010 Downgraded to Ca (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Dec
3, 2010 Downgraded to Ca (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: GSAA Home Equity Trust 2005-7
Cl. AF-3, Upgraded to Baa3 (sf); previously on
Dec 9, 2015 Upgraded to B3 (sf)
Cl. AF-4, Upgraded to Caa1 (sf); previously on
May 11, 2010 Downgraded to Caa2 (sf)
Cl. AF-5, Upgraded to B3 (sf); previously on
May 11, 2010 Downgraded to Caa1 (sf)
Issuer: HarborView Mortgage Loan Trust 2005-7
Cl. 1-A1, Downgraded to Ca (sf); previously on
Dec 5, 2010 Downgraded to Caa3 (sf)
Cl. 2-A1, Downgraded to Caa3 (sf); previously
on Dec 5, 2010 Downgraded to Caa2 (sf)
Cl. 2-X*, Downgraded to Caa3 (sf); previously
on Oct 27, 2017 Confirmed at Caa2 (sf)
Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed
Pass-Through Certificates, Series 2004-6
Cl. M-7, Upgraded to Ca (sf); previously on Feb
15, 2013 Affirmed C (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2004-AR11
Cl. 1-A, Upgraded to Ba3 (sf); previously on
Mar 31, 2011 Downgraded to Caa1 (sf)
Cl. 2-A, Upgraded to Ba3 (sf); previously on
Jul 3, 2012 Confirmed at Caa1 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR4
Cl. 2-A-1A, Downgraded to Caa1 (sf); previously
on Dec 1, 2010 Downgraded to B3 (sf)
Issuer: MortgageIT Trust 2005-5, Mortgage-Backed
Notes, Series 2005-5
Cl. A-1, Upgraded to A2 (sf); previously on Apr
13, 2017 Upgraded to Baa2 (sf)
Cl. A-2, Upgraded to Baa3 (sf); previously on
Apr 13, 2017 Upgraded to B1 (sf)
Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed
Pass-Through Certificates, Series 2005-3
Cl. M-5, Upgraded to Caa1 (sf); previously on
Mar 11, 2015 Upgraded to Ca (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS
Cl. 2-A1, Upgraded to Aaa (sf); previously on
Feb 27, 2018 Upgraded to Aa1 (sf)
Cl. 2-A2, Upgraded to Aaa (sf); previously on
Feb 27, 2018 Upgraded to Aa2 (sf)
Cl. 2-A3, Upgraded to Aaa (sf); previously on
Feb 27, 2018 Upgraded to Aa3 (sf)
Issuer: Thornburg Mortgage Securities Trust 2003-6
Cl. A-1, Upgraded to Aa1 (sf); previously on
Jan 15, 2014 Downgraded to A1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2004-J Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on
Apr 10, 2012 Downgraded to Ba1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-AR4 Trust
Cl. I-A-1, Upgraded to Baa1 (sf); previously
on Apr 11, 2017 Upgraded to Ba1 (sf)
Cl. I-A-3, Upgraded to Baa1 (sf); previously
on Apr 11, 2017 Upgraded to Ba1 (sf)
*Reflects Interest-Only Class
RATINGS RATIONALE
The rating actions reflect the recent performance and Moody's updated
loss expectations on the underlying pools. The rating upgrades
are due to an increase in the credit enhancement available to the bonds
and stable/improving collateral performance. The ratings downgraded
are due to the weaker performance of the underlying collateral or the
erosion of enhancement available to the bonds.
The principal methodology used in rating all classes except interest-only
classes was "US RMBS Surveillance Methodology" published in January 2017.
The methodologies used in rating interest-only classes 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 list of ratings at the top
of this announcement to identify which classes are interest-only
(indicated by the *). Please see the Rating Methodologies page
on www.moodys.com for a copy of these methodologies.
The Credit Rating for these 22 tranches was assigned in accordance with
Moody's existing Methodology entitled "US RMBS Surveillance Methodology,"
dated 1/31/2017. Please note that on 11/14/2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for pre-2009
US RMBS Prime Jumbo, Alt-A, Option ARM, Subprime,
Scratch and Dent, Second Lien and Manufactured Housing transactions.
If the revised Methodology is implemented as proposed, the Credit
Rating on these 22 tranches are not expected to be affected. Please
refer to Moody's Request for Comment, titled "Proposed Update
to US RMBS Surveillance Methodology," for further details
regarding the implications of the proposed Methodology revisions on certain
Credit Ratings.
The Credit Rating for above mentioned Interest-Only (IO) bond were
assigned in accordance with Moody's existing Methodology entitled "Moody's
Approach to Rating Structured Finance Interest-Only (IO) Securities,"
dated 6/8/2017. Please note that on 11/14/2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for Structured Finance
Interest-Only (IO) Securities . If the revised Methodology
is implemented as proposed, the Credit Rating on above mentioned
IO bond may be positively affected. Please refer to Moody's
Request for Comment, titled "Proposed Update to Moody's Approach
to Rating Structured Finance Interest-Only (IO) Securities,"
for further details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
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 October 2018 from 4.1%
in October 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_SF476798
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 below contact information is provided for information purposes only.
Please see 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
the ratings.
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.
Jack Xu
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