New York, August 22, 2016 -- Moody's Investors Service has upgraded the ratings of 14 tranches from
four transactions, downgraded ratings of 8 tranches from two transaction
and confirmed ratings of 52 tranches from 6 transactions, backed
by Alt-A and Option ARM RMBS loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Banc of America Alternative Loan Trust 2004-1
Cl. 1-A-1, Upgraded to Ba2 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-1, Confirmed at B3 (sf); previously
on Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. 4-A-1, Downgraded to B3 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 5-A-1, Downgraded to B3 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 5-A-2, Downgraded to B3 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 5-A-3, Confirmed at Caa3 (sf); previously
on Jun 17, 2016 Caa3 (sf) Placed Under Review Direction Uncertain
Cl. 3-IO, Confirmed at B3 (sf); previously on
Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. 15-IO, Downgraded to B3 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. CB-IO, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. PO, Confirmed at B3 (sf); previously on Jun 17,
2016 B3 (sf) Placed Under Review Direction Uncertain
Issuer: Banc of America Funding 2004-1 Trust
Cl. 1-A-1, Confirmed at B1 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-1, Upgraded to Ba1 (sf); previously
on Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 4-A-1, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 5-A-1, Upgraded to B1 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. 6-A-1, Upgraded to Baa3 (sf); previously
on Jun 17, 2016 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. 7-A-1, Upgraded to Ba2 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 8-A-1, Confirmed at Baa1 (sf); previously
on Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 8-IO, Confirmed at Ba3 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. CB-IO, Confirmed at B1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. NC-IO, Confirmed at B3 (sf); previously on
Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. PO, Confirmed at Ba3 (sf); previously on Jun 17,
2016 Ba3 (sf) Placed Under Review Direction Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2004-12
Cl. 1-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 2-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 4-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 5-A-1, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 6-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 7-A-1, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 8-A-1, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 9-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 10-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 11-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 12-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 13-A-1, Confirmed at Caa2 (sf); previously
on Jun 17, 2016 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 14-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 15-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 16-A-1, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 11-A-2, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. 14-A-3, Confirmed at Caa2 (sf); previously
on Jul 22, 2016 Caa2 (sf) Placed Under Review for Possible Upgrade
Cl. II-X, Confirmed at Caa3 (sf); previously
on Jul 22, 2016 Caa3 (sf) Placed Under Review for Possible Upgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-2
Cl. I-A1, Confirmed at Caa1 (sf); previously
on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. I-A3, Confirmed at Caa1 (sf); previously
on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. I-A4, Confirmed at Caa1 (sf); previously
on Jun 17, 2016 Caa1 (sf) Placed Under Review Direction Uncertain
Cl. I-A2A, Upgraded to Ba1 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. I-A3A, Upgraded to B2 (sf); previously on
Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A5A, Upgraded to B1 (sf); previously on
Jun 17, 2016 B3 (sf) Placed Under Review Direction Uncertain
Cl. I-A2B, Upgraded to Caa1 (sf); previously
on Jun 17, 2016 Caa3 (sf) Placed Under Review Direction Uncertain
Cl. I-A5B, Confirmed at Ca (sf); previously on
Jun 17, 2016 Ca (sf) Placed Under Review Direction Uncertain
Cl. I-A3B, Confirmed at Ca (sf); previously on
Jun 17, 2016 Ca (sf) Placed Under Review Direction Uncertain
Cl. II-A1-1, Confirmed at B1 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. II-A1-2, Confirmed at B2 (sf); previously
on Jun 17, 2016 B2 (sf) Placed Under Review Direction Uncertain
Cl. II-A2, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. II-B1, Confirmed at Ca (sf); previously on
Jun 17, 2016 Ca (sf) Placed Under Review Direction Uncertain
Cl. II-PO1, Confirmed at B1 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. II-PO2, Confirmed at B1 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. II-XS2, Confirmed at Ba3 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. II-XS1, Confirmed at B1 (sf); previously
on Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-12CB
Cl. 1-A-1, Upgraded to Baa2 (sf); previously
on Jul 22, 2016 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. 2-A-1, Upgraded to Baa3 (sf); previously
on Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 3-A-1, Upgraded to Ba1 (sf); previously
on Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-2, Upgraded to Baa3 (sf); previously
on Jun 17, 2016 Ba2 (sf) Placed Under Review Direction Uncertain
Cl. 1-A-3, Upgraded to Baa2 (sf); previously
on Jul 22, 2016 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. PO, Confirmed at Ba3 (sf); previously on Jun 17,
2016 Ba3 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2
Cl. I-A, Confirmed at Baa1 (sf); previously on
Jun 17, 2016 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. II-A, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. III-A, Confirmed at Baa3 (sf); previously
on Jun 17, 2016 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. M, Confirmed at Caa3 (sf); previously on Jun 17,
2016 Caa3 (sf) Placed Under Review Direction Uncertain
Cl. X, Confirmed at Caa1 (sf); previously on Jun 17,
2016 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Securities Corp Trust 2004-13
Cl. 1-A1, Downgraded to B3 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 1-A2, Downgraded to B1 (sf); previously on
Jun 17, 2016 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. 1-A3, Downgraded to B3 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A1, Downgraded to B3 (sf); previously on
Jun 17, 2016 B1 (sf) Placed Under Review Direction Uncertain
RATINGS RATIONALE
Today's actions on CWALT, Inc. Mortgage Pass-Through
Certificates, Series 2004-12CB and CHL Mortgage Pass-Through
Trust 2004-12 conclude the review actions on these bonds announced
on July 22nd, 2016 and June 17th 2016, relating to the distribution
of settlement funds from the $8.5 billion Countrywide RMBS
settlement and the existence of an error in the prepayment shift percentage
input to the cash-flow waterfalls used by Moody's to review these
transactions since their prior rating actions. The cash-flow
waterfalls did not capture the correct prepayment shift percentages and
were allocating an incorrect portion of principal prepayments to subordinate
bonds. The errors have now been corrected. Today's rating
upgrades on CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-12CB CL. 2A1, 2A2, and 3A1 are mainly
due to the error correction. The rating upgrades on CL.
1A1 and 1A3 are mainly due to build up in credit enhancement available
to the bonds. Today's rating actions on these five bonds and class
PO from CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2004-12CB, and on 19 tranches issued by CHL Mortgage
Pass-Through Trust 2004-12, also reflect the appropriate
allocation of principal prepayments, credit enhancement available
to the bonds, the recent performance of the underlying pools,
and Moody's updated loss expectations on these pools.
Today's actions on Citigroup Mortgage Loan Trust 2005-2 conclude
the review actions on these bonds announced on June 17th, 2016 relating
to the existence of an error in the prepayment shift percentage input
to the cash-flow waterfalls, and an inconsistency between
the prepayment shift percentage value calculated per the transaction documents
and the distributions being made by the administrator according to the
remittance reports. The administrator has since corrected its calculation,
and today's rating actions on these 19 bonds reflect the corrected prepayment
shift input and the appropriate allocation of principal prepayments.
The rating upgrade on CL. 1A3A is mainly due to the correction
of the error. The upgrades on CL. 1A5A, 1A2A,
1A2B are mainly due to the increase in credit enhancement available to
the bonds. These rating actions, as well as the confirmations
of other tranches of this transaction, also reflect the recent performance
of the underlying pools and Moody's updated loss expectation on the pools.
Today's rating actions on Banc of America Funding 2004-1
Trust, Banc of America Alternative Loan Trust 2004-1,
Structured Asset Mortgage Investments II Trust 2004-AR2 and Structured
Asset Securities Corp Trust 2004-13 conclude the review actions
on these bonds announced on June 17th, 2016 relating to an apparent
inconsistency between the prepayment shift percentage value calculated
per the transaction documents and the distributions being made by the
administrators according to the remittance reports. Only Structured
Asset Securities Corp Trust 2004-13 required a correction by the
administrator in its calculation of the prepayment percentage shift value;
the calculation for the remaining three transactions required no changes.
There are no model changes for these four transactions. The rating
actions on these transactions are driven by the recent performance of
the underlying pools and reflect Moody's updated loss expectations
on the pools. Upgrades are due to an increase in credit enhancement
available to the bonds and downgrades are due to erosion of credit enhancement.
The principal methodology used in these ratings was "US RMBS Surveillance
Methodology" published in November 2013. Please see the Ratings
Methodologies page on www.moodys.com for a copy of this
methodology.
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 4.9% in July 2016 from 5.3%
in July 2015. 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_SF437357
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
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 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 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
Youriy Koudinov
VP - Senior Credit Officer
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
