New York, October 01, 2018 -- Moody's Investors Service has upgraded the ratings of 19 tranches and
downgraded the rating of one tranche from nine transactions, backed
by Alt-A and Option ARM RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2005-8
Cl. I-1A-1, Upgraded to Caa1 (sf); previously
on Jul 2, 2010 Downgraded to Caa3 (sf)
Cl. I-2A-1, Upgraded to Caa1 (sf); previously
on Jul 2, 2010 Downgraded to Caa3 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF1
Cl. A-4, Upgraded to Aaa (sf); previously on
Dec 29, 2017 Upgraded to Aa2 (sf)
Cl. A-5, Upgraded to Aaa (sf); previously on
Dec 29, 2017 Upgraded to Aa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-61
Cl. 1-A-1, Upgraded to Ba1 (sf); previously
on Dec 29, 2017 Upgraded to Ba3 (sf)
Cl. 2-A-1, Upgraded to Ba3 (sf); previously
on Mar 30, 2016 Upgraded to B3 (sf)
Issuer: Deutsche Alt-A Securities Mortgage Loan Trust,
Series 2007-2
Cl. I-X-1, Downgraded to Ca (sf); previously
on Feb 7, 2018 Downgraded to Caa3 (sf)
Issuer: GSAA Home Equity Trust 2005-14
Cl. 1A1, Upgraded to B1 (sf); previously on Apr 23,
2015 Upgraded to Caa1 (sf)
Cl. 2A3, Upgraded to Caa1 (sf); previously on May 11,
2010 Downgraded to Caa3 (sf)
Issuer: HomeBanc Mortgage Trust 2005-4
Cl. M-2, Upgraded to B3 (sf); previously on Dec
29, 2017 Upgraded to Caa3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
Cl. A-2A, Upgraded to Aa1 (sf); previously on
Dec 29, 2017 Upgraded to Baa1 (sf)
Cl. A-2B1, Upgraded to Aa1 (sf); previously on
Dec 29, 2017 Upgraded to Baa1 (sf)
Cl. A-2B2, Upgraded to Aa2 (sf); previously on
Dec 29, 2017 Upgraded to Baa2 (sf)
Cl. A-3A3, Upgraded to Aa1 (sf); previously on
Dec 29, 2017 Upgraded to Baa1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Dec
29, 2017 Upgraded to Caa1 (sf)
Issuer: MortgageIT Trust 2004-2
Cl. A-1, Upgraded to Aa3 (sf); previously on
Jun 15, 2012 Downgraded to A2 (sf)
Cl. A-2, Upgraded to A2 (sf); previously on Jan
29, 2016 Downgraded to Baa3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2007-AR4
Cl. A-4A, Upgraded to B3 (sf); previously on
Jul 18, 2011 Downgraded to Caa2 (sf)
Cl. Grantor Trust A-4B, Upgraded to B3 (sf);
previously on Jul 18, 2011 Downgraded to Caa2 (sf)
Cl. Underlying A-4B, Upgraded to B3 (sf); previously
on Jul 18, 2011 Downgraded to Caa2 (sf)
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. Today's
rating upgrades are primarily due to an improvement in credit enhancement
available to the bonds and/or an improvement in underlying pool performance.
The rating downgrade on Deutsche Alt-A Securities Mortgage Loan
Trust, Series 2007-2, Cl. I-X-1,
an interest-only bond linked to Group 1, is driven by the
rating of the highest rated outstanding P&I bond currently -
CL. I-A-2 from Group 1 at Ca since the CL I-A-1
recently paid down.
The principal methodology used in rating MortgageIT Trust 2004-2
Cl. A-1 and Cl. A-2; Bear Stearns ALT-A
Trust 2005-8 Cl. I-1A-1 and Cl. I-2A-1;
Citigroup Mortgage Loan Trust, Series 2005-WF1 Cl.
A-4 and Cl. A-5; CWALT, Inc. Mortgage
Pass-Through Certificates, Series 2005-61 Cl.
1-A-1 and Cl. 2-A-1; GSAA Home
Equity Trust 2005-14 Cl. 2A3 and Cl. 1A1; HomeBanc
Mortgage Trust 2005-4 Cl. M-2; Merrill Lynch
Mortgage Investors Trust 2005-A8 Cl. A-2A,
Cl. A-2B1, Cl. A-3A3, Cl.
A-2B2, and Cl. M-1; and Structured Asset
Mortgage Investments II Trust 2007-AR4 Cl. A-4A,
Cl. Grantor Trust A-4B, and Cl. Underlying
A-4B was "US RMBS Surveillance Methodology" published
in January 2017. The methodologies used in rating Deutsche Alt-A
Securities Mortgage Loan Trust, Series 2007-2 Cl.
I-X-1 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 Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
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 3.9% in August 2018 from 4.4%
in August 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 and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF474817
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.
Chloe Zhang
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