New York, December 20, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
13 tranches and downgraded the ratings of five tranches from ten transactions,
backed by Alt-A and Jumbo loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2004-4
Cl. VI-A-1, Upgraded to Aaa (sf); previously
on Mar 9, 2018 Upgraded to Aa2 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-1
Cl. M-1, Downgraded to B1 (sf); previously on
Jul 21, 2016 Upgraded to Ba3 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-4
Cl. I-A-1, Upgraded to Aaa (sf); previously
on Mar 21, 2018 Upgraded to Aa1 (sf)
Cl. I-A-2, Upgraded to Aa1 (sf); previously
on Mar 21, 2018 Upgraded to Aa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-24
Cl. A-1, Downgraded to B1 (sf); previously on
Sep 30, 2016 Upgraded to Ba2 (sf)
Cl. A-4, Downgraded to B1 (sf); previously on
Sep 30, 2016 Upgraded to Ba3 (sf)
Issuer: Impac CMB Trust Series 2004-4 Collateralized Asset-Backed
Bonds, Series 2004-4
Cl. 1-M-5, Upgraded to Ba2 (sf); previously
on Mar 5, 2018 Upgraded to Ba3 (sf)
Cl. 1-M-6, Upgraded to Ba2 (sf); previously
on Mar 5, 2018 Upgraded to B1 (sf)
Issuer: Lehman Mortgage Trust 2008-4
Cl. A1, Downgraded to Ca (sf); previously on Sep 11,
2013 Downgraded to Caa3 (sf)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through
Certificates 2005-4
Cl. I-A1D, Upgraded to Aa1 (sf); previously on
Mar 21, 2018 Upgraded to A1 (sf)
Cl. I-A2, Upgraded to Aa3 (sf); previously on
Mar 21, 2018 Upgraded to A3 (sf)
Cl. I-APT, Upgraded to Aa1 (sf); previously on
Mar 21, 2018 Upgraded to A1 (sf)
Cl. II-A1, Upgraded to Aaa (sf); previously on
Mar 21, 2018 Upgraded to Aa1 (sf)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through
Certificates 2006-1
Cl. I-A1C1, Upgraded to Caa1 (sf); previously
on Oct 15, 2010 Downgraded to Caa2 (sf)
Cl. II-A2, Upgraded to Caa3 (sf); previously
on Oct 17, 2014 Downgraded to C (sf)
Cl. II-APT, Upgraded to Caa1 (sf); previously
on Oct 17, 2014 Downgraded to Caa2 (sf)
Issuer: Soundview Home Loan Trust 2006-WF1
Cl. A-4, Upgraded to Ba1 (sf); previously on
Mar 21, 2018 Upgraded to B2 (sf)
Issuer: Thornburg Mortgage Trust 2006-2
Cl. A-2-B, Downgraded to Caa1 (sf); previously
on Nov 13, 2014 Downgraded to B1 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the improvement in underlying
collateral performance and credit enhancement available to the bonds.
The rating downgrades are due to the erosion of credit enhancement available
to the bonds. The rating downgrade of Bear Stearns ALT-A
Trust 2005-1 Cl. M-1 reflects the outstanding interest
shortfalls on the bond which is not expected to be recouped. Today's
rating actions reflect the recent performance and Moody's updated loss
expectations on the underlying pools.
The principal methodology used in rating all tranches except Lehman Mortgage
Trust 2008-4 Cl. A1 was "US RMBS Surveillance Methodology"
published in January 2017. The principal methodology used in rating
Lehman Mortgage Trust 2008-4 Cl. A1 was "Moody's Approach
to Rating Resecuritizations" published in February 2014. Please
see the Rating Methodologies page on www.moodys.com for
a copy of these methodologies.
The Credit Rating for the tranche Cl. A1 from Lehman Mortgage Trust
2008-4 was assigned in accordance with Moody's existing Methodology
entitled "Moody's Approach to Rating Resecuritizations," dated
2/11/2014. Please note that on November 14, 2018, Moody's
released a Request for Comment, in which it has requested market
feedback on potential revisions to its Methodology for Resecuritizations.
If the revised Methodology is implemented as proposed, the Credit
Rating on Cl. A1 from Lehman Mortgage Trust 2008-4 is expected
to be affected. Please refer to Moody's Request for Comment,
titled "Proposed Update to Moody's Approach to Rating Resecuritizations,"
for further details regarding the implications of the proposed Methodology
revisions on certain Credit Ratings.
The Credit Ratings were assigned on remaining 17 tranches in accordance
with Moody's existing Methodology entitled "US RMBS Surveillance Methodology,"
dated 1/31/2017. Please note that on November 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, these Credit
Ratings on 17 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.
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 November 2018 from 4.1%
in November 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:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476852
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