On April 19, 2018, the press release was corrected as follows: The fifth paragraph of the Ratings Rationale section was edited to remove an inaccurate description of the PO components of two IO PO bonds, Class II-X in CHL Mortgage Pass-Through Trust 2004-12 and Class X-2 in DSLA Mortgage Loan Trust 2005-AR1, and to clarify the analysis of the IO components of these IO PO bonds. Revised release follows.
New York, December 29, 2017 -- Moody's Investors Service (Moody's) has upgraded the ratings of
40 principal and interest (P&I) tranches from 13 US residential mortgage
backed transactions (RMBS) backed by Alt-A and Option ARM mortgage
loans, issued by multiple issuers between 2003 and 2005.
Moody's has also confirmed the ratings of one Interest Only-Principal
Only (IO PO) bond and two Interest-Only (IO) bonds, and upgraded
the rating of one IO PO bond from four US RMBS transactions. Today's
action resolves the review of two IO bonds and two IO PO bonds which were
among those placed on review on 29 August 2017 in connection with a reassessment
of the IO bond linkages captured in our internal database, prompted
by the identification of errors in that database.
Complete rating actions are as follows:
Issuer: American Home Mortgage Investment Trust 2005-3
Cl. I-A-1, Upgraded to Baa1 (sf); previously
on Aug 5, 2013 Upgraded to Ba2 (sf)
Cl. III-A-3, Upgraded to Aa2 (sf); previously
on Aug 5, 2013 Confirmed at A2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-12
Cl. 14-A-3, Upgraded to B3 (sf); previously
on Aug 22, 2016 Confirmed at Caa2 (sf)
Cl. 14-A-1, Upgraded to B3 (sf); previously
on Aug 22, 2016 Confirmed at Caa2 (sf)
Cl. 15-A-1, Upgraded to B3 (sf); previously
on Aug 22, 2016 Confirmed at Caa2 (sf)
Cl. II-X, Confirmed at C (sf); previously on
Aug 29, 2017 C (sf) Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-2
Cl. I-A1, Upgraded to B1 (sf); previously on
Jan 9, 2017 Upgraded to B3 (sf)
Cl. I-A3B, Upgraded to B3 (sf); previously on
Jan 9, 2017 Upgraded to Caa2 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF1
Cl. A-4, Upgraded to Aa2 (sf); previously on
Jan 9, 2017 Upgraded to A2 (sf)
Cl. A-5, Upgraded to Aa1 (sf); previously on
Jan 9, 2017 Upgraded to A1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jan
9, 2017 Upgraded to B2 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2
Cl. MV-4, Upgraded to B1 (sf); previously on
Apr 15, 2016 Upgraded to Caa3 (sf)
Cl. MV-5, Upgraded to Caa1 (sf); previously on
Nov 19, 2010 Downgraded to C (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-8
Cl. 7-A-1-1, Upgraded to Ba3 (sf);
previously on Mar 2, 2016 Upgraded to B3 (sf)
Cl. 7-A-1-2, Upgraded to B2 (sf);
previously on Mar 2, 2016 Upgraded to Caa2 (sf)
Cl. 7-A-2, Upgraded to A3 (sf); previously
on Jan 20, 2017 Upgraded to Baa3 (sf)
Cl. 7-A-3-2, Upgraded to A3 (sf);
previously on Jan 20, 2017 Upgraded to Baa3 (sf)
Cl. 7-A-4, Upgraded to Ba2 (sf); previously
on Jan 20, 2017 Upgraded to B2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-61
Cl. 1-A-1, Upgraded to Ba3 (sf); previously
on Mar 30, 2016 Upgraded to B2 (sf)
Issuer: DSLA Mortgage Loan Trust 2005-AR1
Cl. X-2, Upgraded to Caa2 (sf); previously on
Aug 29, 2017 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: Greenpoint Mortgage Funding Trust 2005-HY1
Cl. 1-A1A, Upgraded to Aaa (sf); previously on
Jan 20, 2017 Upgraded to A1 (sf)
Cl. 1-A1B, Upgraded to A1 (sf); previously on
Jan 20, 2017 Upgraded to Baa3 (sf)
Cl. 2-A, Upgraded to Aa2 (sf); previously on
Jan 20, 2017 Upgraded to A3 (sf)
Cl. M-1, Upgraded to Caa2 (sf); previously on
Jan 20, 2017 Upgraded to Ca (sf)
Issuer: HomeBanc Mortgage Trust 2005-3
Cl. M-1, Upgraded to Ba1 (sf); previously on
Jan 12, 2017 Upgraded to Ba3 (sf)
Cl. M-2, Upgraded to Ba2 (sf); previously on
Jan 12, 2017 Upgraded to B2 (sf)
Cl. M-3, Upgraded to B1 (sf); previously on Jan
12, 2017 Upgraded to Caa1 (sf)
Issuer: HomeBanc Mortgage Trust 2005-4
Cl. A-1, Upgraded to Baa3 (sf); previously on
Jan 12, 2017 Upgraded to Ba1 (sf)
Cl. A-2, Upgraded to Baa3 (sf); previously on
Jan 12, 2017 Upgraded to Ba1 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on Jan
12, 2017 Upgraded to B3 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on
Jan 12, 2017 Upgraded to Ca (sf)
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-1
Cl. 3-A-X, Confirmed at Ba2 (sf); previously
on Aug 29, 2017 Ba2 (sf) Placed Under Review Direction Uncertain
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A3
Cl. A-1, Upgraded to Aaa (sf); previously on
Jan 12, 2017 Upgraded to Aa2 (sf)
Cl. A-2, Upgraded to Aaa (sf); previously on
Jan 12, 2017 Upgraded to Aa3 (sf)
Cl. M-1, Upgraded to Baa3 (sf); previously on
Jan 12, 2017 Upgraded to B1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
Cl. A-2A, Upgraded to Baa1 (sf); previously on
Aug 22, 2016 Upgraded to Baa3 (sf)
Cl. A-2B1, Upgraded to Baa1 (sf); previously
on Aug 22, 2016 Upgraded to Baa3 (sf)
Cl. A-2B2, Upgraded to Baa2 (sf); previously
on Aug 22, 2016 Upgraded to Ba1 (sf)
Cl. A-3A3, Upgraded to Baa1 (sf); previously
on Aug 22, 2016 Upgraded to Baa3 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on
Aug 22, 2016 Upgraded to Caa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-19XS
Cl. 2-A1, Upgraded to Aa2 (sf); previously on
Jan 12, 2017 Upgraded to Baa1 (sf)
Cl. 2-A2, Upgraded to A2 (sf); previously on
Jan 12, 2017 Upgraded to Ba1 (sf)
Cl. 2-A3, Upgraded to Baa1 (sf); previously on
Jan 12, 2017 Upgraded to Ba3 (sf)
Issuer: Structured Asset Mortgage Investments Trust 2003-AR1
Cl. X-1, Confirmed at Caa3 (sf); previously on
Aug 29, 2017 Caa3 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
Today's rating actions reflect the recent performance of the underlying
pools and Moody's updated loss expectations on those pools. One
of the actions also reflects the correction of a prior error, while
others reflect a reassessment of the IO linkage and a change in the relative
weight that Moody's assigns to the IO and PO components of the IO
PO bonds, as discussed below.
Today's rating upgrades are primarily due to improvement of credit
enhancement available to the bonds.The rating upgrade on Class
A-2B1 in Merrill Lynch Mortgage Investors Trust Series 2005-A8
also reflects a correction to our cashflow modeling used to rate this
bond. In prior modeling, the cross collateralization payment
to Group 2 was incorrectly calculated to allocate insufficient payments
to Group 2 senior bonds. The error has been corrected, and
today's action on Class A-2B1 reflects the correct allocation
of cross collateralization payments.
Today's action resolves the review of two IO bonds, Class X-1
in Structured Asset Mortgage Investments Trust 2003-AR1 and Class
3-A-X in MASTR Adjustable Rate Mortgages Trust 2004-1,
which were among those placed on review for a reassessment of the IO bond
linkages captured in our internal database. The factors that Moody's
considers in rating an IO bond depend on the type of referenced securities
or assets to which the IO bond is linked. We have reassessed the
linkage of these two IO bonds and determined that they were linked to
the appropriate reference bonds. Today's confirmations of
the ratings on these two IO bonds reflect the linkage reassessment and
updated performance of the respective transactions, including expected
losses on the collateral, and pay-downs or write-offs
of the related reference bonds.
Today's action also resolves the review of two IO PO bonds,
Class II-X in CHL Mortgage Pass-Through Trust 2004-12
and Class X-2 in DSLA Mortgage Loan Trust 2005-AR1,
which were also among the bonds placed on review for a reassessment of
the IO bond linkages captured in our internal database. IO PO bonds
have both an interest-only component and a principal-only
component. Moody's determines the rating of IO PO bonds using a
weighted average of the ratings of the two components. While historically
we were using a more qualitative judgment in the analysis of these IO
PO bonds, we have now assigned weights of 95% and 5%
to the IO and PO components, respectively, because the credit
risk of the transaction is almost solely attributable to the performance
of the IO component. In addition, as the PO components pay
off or take losses, the ratings of the IO PO bonds will eventually
become equal to that of the IO components.
We have reassessed the linkage of these two IO PO bonds and determined
that they were linked to the appropriate reference bonds and pools.
The ratings on the IO components reflect the linkage reassessment and
updated performance of the respective transactions, including expected
losses on the collateral, for Class II-X in CHL Mortgage Pass-Through Trust 2004-12, the rating of the IO component also reflects pay-downs or write-offs
of the related reference bonds. The upgrade to the rating of Class
X-2 in DSLA Mortgage Loan Trust 2005-AR1 is driven by the
improved expected loss of the linked pools.
We are evaluating the remaining IO bonds on review and note that,
although a number of linkages may be corrected, this will not necessarily
lead to rating movements in all cases.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in January 2017. The methodologies
used in rating DSLA Mortgage Loan Trust 2005-AR1 Cl. X-2,
CHL Mortgage Pass-Through Trust 2004-12 Cl. II-X,
MASTR Adjustable Rate Mortgages Trust 2004-1 Cl. 3-A-X,
and Structured Asset Mortgage Investments Trust 2003-AR1 Cl.
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 4.1% in November 2017 from 4.6%
in November 2016. Moody's forecasts an unemployment central range
of 4.5% to 5.5% for the 2017 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 2017. 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. An IO bond may be upgraded
or downgraded, within the constraints and provisions of the IO methodology,
based on lower or higher realized and expected loss due to an overall
improvement or decline in the credit quality of the reference bonds and/or
pools.
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_SF465653
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