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Rating Withdrawn Mar 25, 2009)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Rating Withdrawn Mar 25, 2009)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