New York, August 27, 2015 -- Moody's Investors Service has upgraded the ratings of nine tranches,
downgraded the ratings of three tranches, and confirmed the ratings
of 13 tranches from ten transactions backed by Alt-A and Option
ARM RMBS loans, and issued by multiple issuers.
Complete rating actions are as follows:
Issuer: Bear Stearns ARM Trust 2005-11
Cl. I-A-1, Upgraded to Ba3 (sf); previously
on Jun 7, 2010 Downgraded to B2 (sf)
Cl. II-A-1, Upgraded to Ba3 (sf); previously
on Jun 7, 2010 Downgraded to B3 (sf)
Cl. III-A-1, Upgraded to Ba3 (sf); previously
on Jun 7, 2010 Downgraded to B3 (sf)
Cl. IV-A-1, Upgraded to Ba3 (sf); previously
on Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain
Cl. V-A-1, Upgraded to Ba2 (sf); previously
on Jun 7, 2010 Downgraded to B2 (sf)
Cl. V-A-2, Upgraded to Caa1 (sf); previously
on Jun 7, 2010 Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates,
Series 2006-OA2
Cl. A-1, Confirmed at Ca (sf); previously on
Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain
Cl. A-5, Confirmed at Ca (sf); previously on
Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain
Cl. A-7, Confirmed at Ca (sf); previously on
Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain
Issuer: GMACM Mortgage Loan Trust 2005-AA1
Cl. 1-A-1, Confirmed at Caa3 (sf); previously
on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2005-1
Cl. 3-A-1, Downgraded to Caa2 (sf); previously
on May 11, 2010 Downgraded to B3 (sf)
Cl. 3-A-X, Downgraded to Caa2 (sf); previously
on May 11, 2010 Downgraded to B3 (sf)
Cl. 4-A, Downgraded to Caa2 (sf); previously
on May 11, 2010 Downgraded to Caa1 (sf)
Cl. 5-A-1, Confirmed at Caa2 (sf); previously
on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Cl. 5-A-6, Confirmed at Caa1 (sf); previously
on Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: IndyMac INDA Mortgage Loan Trust 2006-AR1
Cl. A-1, Confirmed at B2 (sf); previously on
Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain
Cl. A-2, Confirmed at B2 (sf); previously on
Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain
Cl. A-2X, Confirmed at B2 (sf); previously on
Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain
Cl. A-3, Confirmed at B2 (sf); previously on
Jul 20, 2015 B2 (sf) Placed Under Review Direction Uncertain
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR31
Cl. 5-A-1, Confirmed at Caa3 (sf); previously
on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: MASTR Resecuritization 2006-1CI
Cl. N4, Upgraded to Ba3 (sf); previously on Sep 26,
2012 Upgraded to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2006-A3
Cl. I-A, Upgraded to Caa3 (sf); previously on
Oct 1, 2010 Downgraded to Ca (sf)
Cl. V-A-1, Upgraded to B3 (sf); previously
on Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: Morgan Stanley Mortgage Loan Trust 2007-14AR
Cl. 6-A-1, Confirmed at Caa3 (sf); previously
on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: RALI Series 2005-QA3 Trust
Cl. NB-I, Confirmed at Ca (sf); previously on
Jul 20, 2015 Ca (sf) Placed Under Review Direction Uncertain
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 upgrades are due to the improvement in credit enhancement available
to the bonds and better collateral performance. The rating downgrades
are due to the erosion of credit enhancement and weaker collateral performance.
Today's rating actions on all transactions excluding MASTR Resecuritization
2006-1CI also 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. The rating on Class N-4
of MASTR Resecuritization 2006-1CI has been upgraded due to the
fast amortization of the bond.
Additionally, today's rating actions conclude the review actions
on 15 tranches from nine transactions, 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 Class IV-A-1
of Bear Stearns ARM Trust 2005-11 and Class V-A-1
of Merrill Lynch Mortgage Investors Trust 2006-A3 have been upgraded
due to improvement in credit enhancement and performance of underlying
collateral. The ratings of the remaining tranches previously placed
on review have been confirmed.
The methodology used in rating MASTR Resecuritization 2006-1CI
was "Moody's Approach to Rating Resecuritizations" published in February
2014. The principal methodology used in the other ratings was "US
RMBS Surveillance Methodology" published in November 2013.Please
see the Credit Policy page on www.moodys.com for a copy
of these methodologies.
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 July 2015 from 6.2%
in July 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_SF416632
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 Alt-A: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF198174
Excel Option ARM: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
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.
Wenzhao Wu
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 $722.4 Million of RMBS issued from 2005 to 2007