New York, December 10, 2018 -- Moody's Investors Service (Moody's) has upgraded the ratings of
31 tranches from nine transactions, and downgraded the ratings of
two tranches from one transaction.
Complete rating actions are as follows:
Issuer: American General Mortgage Pass-Through Certificates,
Series 2006-1
Cl. B-1, Downgraded to B3 (sf); previously on
Feb 9, 2018 Downgraded to B1 (sf)
Cl. M-2, Downgraded to Ba3 (sf); previously on
Oct 19, 2012 Downgraded to Ba1 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10
Cl. 5-A-1, Upgraded to Caa1 (sf); previously
on May 4, 2010 Downgraded to Caa3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust, Series 2004-4
Cl. I-A-5, Upgraded to A3 (sf); previously
on Feb 7, 2018 Upgraded to Baa3 (sf)
Cl. I-A-6, Upgraded to A1 (sf); previously
on May 4, 2012 Upgraded to Baa1 (sf)
Issuer: DSLA Mortgage Loan Trust 2007-AR1
Cl. 1A-1A, Upgraded to B3 (sf); previously on
Dec 23, 2010 Downgraded to Caa2 (sf)
Cl. 2A-1A, Upgraded to B3 (sf); previously on
Dec 23, 2010 Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2005-11
Cl. 1A1, Upgraded to Aa3 (sf); previously on Feb 9,
2018 Upgraded to A1 (sf)
Cl. 1A2, Upgraded to A3 (sf); previously on Feb 9,
2018 Upgraded to Ba1 (sf)
Cl. 2A1, Upgraded to Aaa (sf); previously on Feb 9,
2018 Upgraded to A1 (sf)
Cl. 2A2, Upgraded to A1 (sf); previously on Feb 9,
2018 Upgraded to Ba1 (sf)
Cl. 3A1, Upgraded to Aaa (sf); previously on Feb 9,
2018 Upgraded to Aa1 (sf)
Cl. 3A2, Upgraded to A1 (sf); previously on Feb 9,
2018 Upgraded to Baa2 (sf)
Cl. 3A5, Upgraded to A1 (sf); previously on Feb 9,
2018 Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Feb
4, 2011 Downgraded to C (sf)
Issuer: GSAA Home Equity Trust 2005-9
Cl. 1A2, Upgraded to Aaa (sf); previously on Feb 9,
2018 Upgraded to Aa2 (sf)
Cl. 2A4, Upgraded to Aaa (sf); previously on Feb 9,
2018 Upgraded to Aa2 (sf)
Cl. M-5, Upgraded to B3 (sf); previously on Feb
9, 2018 Upgraded to Caa3 (sf)
Issuer: Impac CMB Trust Series 2004-7 Collateralized Asset-Backed
Bonds, Series 2004-7
Cl. 1-A-2, Upgraded to Baa2 (sf); previously
on Mar 18, 2016 Upgraded to Baa3 (sf)
Cl. 2-A, Upgraded to Baa1 (sf); previously on
May 1, 2015 Upgraded to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on May
1, 2015 Upgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-1, Upgraded to Ba1 (sf); previously on
Mar 18, 2016 Upgraded to Ba2 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on
Mar 18, 2016 Upgraded to B1 (sf)
Cl. M-3, Upgraded to Ba3 (sf); previously on
Mar 18, 2016 Upgraded to B2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Jan
17, 2018 Upgraded to B3 (sf)
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2006-1
Cl. 2-B, Upgraded to A3 (sf); previously on Mar
28, 2017 Upgraded to Ba1 (sf)
Cl. 2-M-2, Upgraded to A3 (sf); previously
on Mar 21, 2013 Affirmed Baa1 (sf)
Cl. 2-M-3, Upgraded to A3 (sf); previously
on Mar 28, 2017 Upgraded to Baa3 (sf)
Issuer: Opteum Mortgage Acceptance Corporation Asset Backed Pass-Through
Certificates 2005-5
Cl. I-A1D, Upgraded to Ba3 (sf); previously on
Aug 4, 2015 Upgraded to Caa1 (sf)
Cl. I-APT, Upgraded to Ba3 (sf); previously on
Jun 28, 2013 Confirmed at Caa1 (sf)
Cl. II-A1D1, Upgraded to Aa2 (sf); previously
on Feb 9, 2018 Upgraded to Baa1 (sf)
Cl. II-A1D2, Upgraded to Aa2 (sf); previously
on Feb 9, 2018 Affirmed A2 (sf)
Underlying Rating: Upgraded to Aa2 (sf); previously on Feb
9, 2018 Upgraded to Baa1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (A2,
Outlook Stable on May 7, 2018)
Cl. II-AN, Upgraded to Aa1 (sf); previously on
Feb 9, 2018 Upgraded to Baa1 (sf)
Issuer: Residential Asset Securitization Trust 2004-A4
Cl. A-9, Upgraded to Baa1 (sf); previously on
Feb 9, 2015 Downgraded to Ba1 (sf)
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.
The rating downgrades are due to the weaker performance of the underlying
collateral or the erosion of enhancement available to the bonds.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. Please see the Rating Methodologies
page on www.moodys.com for a copy of this methodology.
The Credit Rating for these 33 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 33 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 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_SF476613
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.
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
Deepika Kothari
Senior Vice President
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