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Rating Action:

Moody's takes action on 6.6 Billion of Alt-A RMBS issued by Impac CMB Trust from 2003-2005

12 Aug 2013

New York, August 12, 2013 -- Moody's Investors Service has upgraded the ratings of two tranches and confirmed the ratings of 29 tranches backed by Alt-A RMBS loans, issued by 6 Impac CMB Trust RMBS transactions

Complete rating actions are as follows:

Issuer: Impac CMB Trust Series 2003-11

Cl. 1-A-1, Confirmed at A3 (sf); previously on May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain

Cl. 1-A-2, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-1, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-2, Confirmed at Ba3 (sf); previously on May 14, 2013 Ba3 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-3, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain

Issuer: Impac CMB Trust Series 2003-8

Cl. 1-A-1, Confirmed at Aa2 (sf); previously on May 14, 2013 Aa2 (sf) Placed Under Review Direction Uncertain

Cl. 1-A-2, Confirmed at A1 (sf); previously on May 14, 2013 A1 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-1, Confirmed at Baa1 (sf); previously on May 14, 2013 Baa1 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-2, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-3, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-4, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain

Issuer: Impac CMB Trust Series 2004-10

Cl. 1-A-1, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Cl. 1-A-2, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Cl. 2-A, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Cl. 3-A-1, Confirmed at Ba1 (sf); previously on May 14, 2013 Ba1 (sf) Placed Under Review Direction Uncertain

Cl. 3-A-2, Confirmed at B1 (sf); previously on May 14, 2013 B1 (sf) Placed Under Review Direction Uncertain

Cl. 3-M-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11

Cl. 1-A-1, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Cl. 1-A-2, Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at Caa3 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

Cl. 2-A-1, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5

Cl. 1-A-1, Confirmed at Baa2 (sf); previously on May 14, 2013 Baa2 (sf) Placed Under Review Direction Uncertain

Cl. 1-A-2, Confirmed at A3 (sf); previously on May 14, 2013 A3 (sf) Placed Under Review Direction Uncertain

Cl. 1-A-3, Confirmed at Baa3 (sf); previously on May 14, 2013 Baa3 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-1, Confirmed at Ba2 (sf); previously on May 14, 2013 Ba2 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-2, Confirmed at B1 (sf); previously on May 14, 2013 B1 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-3, Confirmed at B2 (sf); previously on May 14, 2013 B2 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-4, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-5, Upgraded to Caa2 (sf); previously on May 14, 2013 Caa3 (sf) Placed Under Review Direction Uncertain

Cl. 1-M-6, Upgraded to Ca (sf); previously on Jul 12, 2012 Confirmed at C (sf)

Issuer: Impac CMB Trust Series 2005-3 Collateralized Asset-Backed Bonds, Series 2005-3

Cl. A-1, Confirmed at Caa1 (sf); previously on May 14, 2013 Caa1 (sf) Placed Under Review Direction Uncertain

Cl. A-3, Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Underlying Rating: Confirmed at Caa2 (sf); previously on May 14, 2013 Caa2 (sf) Placed Under Review Direction Uncertain

Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009)

RATINGS RATIONALE

These actions reflect recent performance of the underlying pools and Moody's updated loss expectations on the pools. Today's rating actions consist of 29 confirmations, and two upgrades. The upgrades are due to an increase in the credit enhancement available to the bonds.

The actions also reflect the correction of an error in the Structured Finance Workstation (SFW) cash flow models used by Moody's in rating these transactions, specifically in how the models handle principal and interest allocation. The cash flow models used in the past rating actions had incorrectly used separate interest and principal waterfalls. However, the pooling and servicing agreements for these transactions provide that all collected principal and interest is commingled into one payment waterfall to pay all promised interest due on bonds first, then to pay scheduled principal. Due to the discovery of this error, thirty of the tranches in today's rating actions were placed on review on May 14, 2013. The errors have been corrected, and today's rating actions take into account the correct interest and principal waterfall.

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

The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in July 2012 to 7.4% in July 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 2013. 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF338736

A list of updated estimated pre-2005 transactions pool losses and sensitivity analysis is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256

A list of updated estimated post-2005 transactions pool losses and sensitivity analysis is 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

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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.

Jiwon Park
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
VP - Sr Credit Officer/Manager
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 6.6 Billion of Alt-A RMBS issued by Impac CMB Trust from 2003-2005
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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