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Rating Action:

Moody's takes action on $430.3 Million of Alt-A and Option Arm RMBS issued from 2004-2007

10 Dec 2018

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

No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

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All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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