New York, December 09, 2015 -- Moody's Investors Service has upgraded the ratings of 18 tranches and
downgraded the ratings of five tranches from nine transactions,
backed by Alt-A and Option ARM RMBS loans, issued by multiple
issuers.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2005-A Trust
Cl. 5-A-1, Upgraded to A3 (sf); previously
on Aug 28, 2013 Upgraded to Baa1 (sf)
Cl. 5-A-2, Upgraded to A2 (sf); previously
on Aug 28, 2013 Upgraded to Baa1 (sf)
Cl. 5-A-3A, Upgraded to Baa1 (sf); previously
on Aug 28, 2013 Upgraded to Baa3 (sf)
Cl. 5-A-3B, Upgraded to Baa1 (sf); previously
on Aug 28, 2013 Upgraded to Baa3 (sf)
Cl. 5-M-1, Upgraded to Caa2 (sf); previously
on Aug 28, 2013 Upgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC6
Cl. I-A-1, Downgraded to B3 (sf); previously
on Dec 22, 2010 Downgraded to B1 (sf)
Cl. I-A-2, Downgraded to B3 (sf); previously
on Dec 22, 2010 Downgraded to B1 (sf)
Cl. I-A-3, Downgraded to B3 (sf); previously
on Dec 22, 2010 Downgraded to B1 (sf)
Underlying Rating: Downgraded to B3 (sf); previously on Dec
22, 2010 Downgraded to B1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. I-A-4, Downgraded to B3 (sf); previously
on Dec 22, 2010 Downgraded to B1 (sf)
Underlying Rating: Downgraded to B3 (sf); previously on Dec
22, 2010 Downgraded to B1 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. II-1-X, Downgraded to Ca (sf); previously
on Feb 25, 2015 Downgraded to Caa3 (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-AC8
Cl. A-5, Upgraded to Caa1 (sf); previously on
Mar 21, 2013 Affirmed Caa3 (sf)
Cl. A-9, Upgraded to Caa1 (sf); previously on
Mar 21, 2013 Affirmed Caa3 (sf)
Cl. A-10, Upgraded to Caa1 (sf); previously on
Mar 21, 2013 Affirmed Caa3 (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4
Cl. I-X-1, Upgraded to Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Ca (sf)
Cl. I-X-2, Upgraded to Caa2 (sf); previously
on Feb 22, 2012 Downgraded to Ca (sf)
Issuer: Deutsche Alt-A Securities Mortgage Loan Trust,
Series 2007-OA4
Cl. II-A-1, Upgraded to Caa1 (sf); previously
on Dec 3, 2010 Downgraded to Caa2 (sf)
Cl. III-A-1, Upgraded to Caa1 (sf); previously
on Apr 4, 2014 Upgraded to Caa3 (sf)
Issuer: GSAA Home Equity Trust 2005-1
Cl. AF-4, Upgraded to Aa3 (sf); previously on
Jul 24, 2013 Upgraded to A3 (sf)
Cl. AF-5, Upgraded to Aa3 (sf); previously on
Aug 29, 2012 Upgraded to A3 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on
Aug 29, 2012 Upgraded to Ca (sf)
Issuer: GSAA Home Equity Trust 2005-7
Cl. AF-3, Upgraded to B3 (sf); previously on
May 11, 2010 Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX6
Cl. 2-A-1, Upgraded to B1 (sf); previously
on Dec 1, 2010 Downgraded to B3 (sf)
Issuer: Merrill Lynch Alternative Note Asset Trust, Series
2007-OAR2
Cl. A-2, Upgraded to Ca (sf); previously on Dec
9, 2010 Downgraded to C (sf)
RATINGS RATIONALE
The rating actions are a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectation on the pools.
The rating upgrades are a result of the improving performance of the related
pools and an increase in credit enhancement available to the bonds.
The rating downgrades are due to the weaker performance of the underlying
collateral and the erosion of 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 November 2015 from 5.8%
in November 2014. Moody's forecasts an unemployment central range
of 5% to 6% for the 2015 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 2015. 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_SF422776
A list of updated estimated transaction pool losses and bond recoveries
are being posted on an ongoing basis for the duration of this review period
and may be found at:
Excel Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174
Excel Option ARM: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Wenzhao Wu
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
Deepika Kothari
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 $494.3 Million of Alt-A and Option ARM RMBS issued from 2005 to 2007