New York, July 29, 2015 -- Moody's Investors Service has downgraded the ratings of 35 tranches,
upgraded the ratings of 16 tranches, and confirmed the rating of
one tranche from 11 transactions backed by Alt-A RMBS loans,
and issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2003-5
Cl. II-A-1 Certificate, Upgraded to Baa1 (sf);
previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction
Uncertain
Cl. II-A-2 Certificate, Upgraded to Baa1 (sf);
previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction
Uncertain
Cl. III-A Certificate, Upgraded to Baa1 (sf);
previously on Jul 16, 2013 Downgraded to Baa2 (sf)
Cl. M Certificate, Upgraded to B1 (sf); previously on
Apr 17, 2012 Downgraded to B2 (sf)
Issuer: Bear Stearns ALT-A Trust 2003-6
Cl. IV-A Certificate, Upgraded to Baa1 (sf);
previously on Apr 17, 2012 Downgraded to Baa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2005-HYB3
Cl. 2-A-6B Certificate, Upgraded to Caa3 (sf);
previously on Apr 15, 2010 Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-63
Cl. 4-A-1 Certificate, Confirmed at Caa3 (sf);
previously on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction
Uncertain
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-12CB
Cl. A-1 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-2 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-3 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-4 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-5 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-6 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-7 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-8 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-10 Certificate, Downgraded to Ca (sf);
previously on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-11 Certificate, Downgraded to Ca (sf);
previously on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. PO Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. X Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-14CB
Cl. A-1 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa2 (sf)
Cl. A-2 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-3 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-4 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-5 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-7 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-8 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. A-9 Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. PO Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa3 (sf)
Cl. X Certificate, Downgraded to Ca (sf); previously
on Jul 12, 2010 Downgraded to Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-25CB
Cl. A-1 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-2 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-3 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-4 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-5 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-6 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-8 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Downgraded to Caa3 (sf)
Cl. A-9 Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-10 Certificate, Downgraded to Ca (sf);
previously on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. A-11 Certificate, Downgraded to Ca (sf);
previously on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. PO Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Affirmed Caa3 (sf)
Cl. X Certificate, Downgraded to Ca (sf); previously
on Mar 20, 2013 Downgraded to Caa3 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2004-2CB
Cl. 4-A-1 Certificate, Upgraded to Ba1 (sf);
previously on Oct 3, 2012 Downgraded to Ba3 (sf)
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates,
Series 2004-4CB
Cl. 1-A-1 Certificate, Upgraded to Baa3 (sf);
previously on Jun 13, 2012 Downgraded to Ba2 (sf)
Cl. 1-A-2 Certificate, Upgraded to Baa3 (sf);
previously on Jun 13, 2012 Downgraded to Ba2 (sf)
Cl. 1-A-3 Certificate, Upgraded to Baa3 (sf);
previously on May 31, 2013 Upgraded to Ba2 (sf)
Cl. 1-A-4 Certificate, Upgraded to Baa3 (sf);
previously on May 31, 2013 Upgraded to Ba2 (sf)
Cl. 1-A-5 Certificate, Upgraded to Baa3 (sf);
previously on Jun 13, 2012 Confirmed at Ba2 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Mortgage
Loan Trust, Series 2004-4
Cl. I-A-5 Certificate, Upgraded to Ba2 (sf);
previously on Sep 12, 2014 Upgraded to B1 (sf)
Cl. II-AR-1 Certificate, Upgraded to Baa1 (sf);
previously on Sep 12, 2014 Upgraded to Baa3 (sf)
Cl. II-AR-2 Certificate, Upgraded to A1 (sf);
previously on Nov 12, 2013 Upgraded to A3 (sf)
Cl. II-MR-1 Certificate, Upgraded to B1 (sf);
previously on Sep 12, 2014 Upgraded to Caa1 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2003-AR4
Cl. M Certificate, Downgraded to Caa1 (sf); previously
on Jul 5, 2012 Downgraded to B2 (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectation on the pools. The
rating downgrades are due to the weaker performance of the underlying
collateral and the depletion of credit enhancement available to the bonds.
The rating upgrades are due to the stronger performance of the underlying
collateral and the level of credit enhancement available to the bonds.
Today's rating actions on CHL Mortgage Pass-Through Trust 2005-HYB3,
CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2005-63, CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2006-12CB, CWALT, Inc.
Mortgage Pass-Through Certificates, Series 2006-14CB,
and CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-25CB reflect updates and corrections to the cash-flow
models used by Moody's in rating these transactions. The changes
to the models primarily pertain to the calculation of senior percentage,
cross collateralization, principal and interest payments,
and losses applicable to the bonds.
Today's actions also conclude the review actions on Classes II-A-1
and II-A-2 of Bear Stearns ALT-A Trust 2003-5
and Class 4-A-1 of CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2005-63, backed by Alt-
A mortgages, announced on July 20, 2015 relating to the existence
of an error in the calculation of the net weighted average coupon (net
WAC) that was used in the prior cash flow models.
In previous surveillance of these bonds, the net WAC was calculated
using the periodic interest collections from the asset pools, rather
than the promised net coupons on the assets in the pools. As interest
payments to the bonds are capped by the net WAC and periodic interest
collections from the collateral could be lower than the promised coupons
due to delinquent assets in the pool, this approach results in lower
interest payments and higher remaining funds to amortize the bonds than
may be appropriate. The calculation has now been corrected,
and the information considered in connection with today's rating
actions reflects the net WAC calculated using promised net coupons on
the collateral, as well as updated performance data for the collateral.
The ratings on Classes II-A-1 and II-A-2 of
Bear Stearns ALT-A Trust 2003-5 have been upgraded due to
performance of the underlying collateral, and the rating on Class
4-A-1 of CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2005-63 has been confirmed.
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 5.3% in June 2015 from 6.1%
in June 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_SF414714
A list of updated estimated pool losses and bond recoveries is being posted
on an ongoing basis for the duration of this review period and may be
found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
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.
Yasmine Grossenbacher
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 $604.1 Million of Alt-A RMBS issued from 2003 through 2006