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Rating Action:

Moody's takes action on $473 Million of Alt-A RMBS issued from 2004 to 2007

19 Jan 2016

New York, January 19, 2016 -- Moody's Investors Service has downgraded the ratings of 26 tranches from four transactions and upgraded the ratings of 6 tranches from three transactions backed by Alt-A RMBS loans.

Complete rating actions are as follows:

Issuer: Banc of America Funding 2006-H Trust

Cl. 5-A-1, Downgraded to Ca (sf); previously on Nov 5, 2010 Confirmed at Caa3 (sf)

Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AC2

Cl. I-A-1, Downgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf)

Cl. I-A-2, Downgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf)

Issuer: CSFB Adjustable Rate Mortgage Trust 2007-2

Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Caa3 (sf)

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10

Cl. A-P, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. A-X, Downgraded to Caa3 (sf); previously on May 2, 2013 Downgraded to Caa2 (sf)

Cl. C-X, Downgraded to B3 (sf); previously on Jul 13, 2010 Downgraded to B2 (sf)

Cl. D-X-1, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Cl. III-A-1, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Cl. III-A-2, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Cl. IV-A-1, Downgraded to C (sf); previously on Jul 13, 2010 Downgraded to Ca (sf)

Cl. VI-A-1, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-2, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-3, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-4, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-7, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-8, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-9, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-5, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-10, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-11, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-12, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-13, Downgraded to Caa3 (sf); previously on Jul 13, 2010 Downgraded to Caa2 (sf)

Cl. VI-A-14, Downgraded to Caa3 (sf); previously on May 2, 2013 Downgraded to Caa2 (sf)

Cl. XI-A-1, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Cl. XII-A-1, Downgraded to Caa2 (sf); previously on Jul 13, 2010 Downgraded to Caa1 (sf)

Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR17

Cl. 4-A-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010 Downgraded to Caa2 (sf)

Cl. 6-A-1, Downgraded to Caa2 (sf); previously on Apr 30, 2010 Downgraded to Caa1 (sf)

Issuer: RALI Series 2004-QA1 Trust

Cl. A-I, Upgraded to A1 (sf); previously on Mar 30, 2011 Downgraded to Baa1 (sf)

Cl. A-II, Upgraded to A1 (sf); previously on Mar 30, 2011 Downgraded to Baa1 (sf)

Cl. M-1, Upgraded to Baa3 (sf); previously on Mar 4, 2015 Upgraded to Ba1 (sf)

Cl. M-2, Upgraded to B3 (sf); previously on Mar 4, 2015 Upgraded to Caa3 (sf)

RATINGS RATIONALE

The rating actions are a result of the recent performance of the underlying pools and reflects Moody's updated loss expectation on these pools. The ratings upgraded are due to the stronger performance of the underlying collateral and the credit enhancement available to the bonds. The ratings downgraded are due to the weaker performance of the underlying collateral and the depletion of credit enhancement available to the bonds.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the rating:

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 5.0% in December 2015 from 5.6% in December 2014. Moody's forecasts an unemployment central range of 4.5% to 5.5% for the 2016 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 2016. 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 may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF424485

A list of updated estimated transaction pool losses are being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF198174

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF237256

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.

Justin Mazzamaro
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Eric Fellows
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's takes action on $473 Million of Alt-A RMBS issued from 2004 to 2007
No Related Data.
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