New York, July 12, 2012 -- Moody's Investors Service has downgraded the ratings of 41 tranches,
upgraded the ratings of eight tranches and confirmed the ratings of 14
tranches from 18 RMBS transactions, backed by Alt-A loans,
issued by Impac.
RATINGS RATIONALE
The actions are a result of the recent performance of Alt-A pools
originated before 2005 and reflect Moody's updated loss expectations on
these pools. The actions taken on the following transactions also
reflect a correction to our prior analysis: Impac CMB Trust Series
2003-11, 2003-8, 2003-9F, 2004-10,
2004-11, 2004-4, 2004-5, 2004-7,
2004-9 and Impac Secured Assets Corp. Series 2003-1
and 2003-3. In these transactions, principal is always
distributed pro-rata to the subordinate and senior tranches.
Due to the pro-rata payment, credit enhancement for the senior
bonds erodes over time, and these bonds could be exposed to tail-end
losses. In our prior rating analysis, credit enhancement
to the bonds was not adjusted to reflect the pro-rata pay structure.
Moody's current cash-flow approach captures the structural
nuances of the transaction by projecting losses to the bonds under a variety
of loss and prepayment scenarios using Structured Finance Workstation®
(SFW), the cash flow model developed by Moody's Wall Street Analytics.
The final ratings on the bonds reflect the estimated losses under the
different scenarios.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Moody's adjusts the methodologies noted above for 1) Moody's current view
on loan modifications 2) small pool volatility and 3) bonds that financial
guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification Program
(HAMP) to 2013 and an increased use of private modifications, Moody's
is extending its previous view that loan modifications will only occur
through the end of 2012. It is now assuming that the loan modifications
will continue at current levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least 40 loans
and a pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however,
a transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction. Please
refer further to Moody's Investors Service's Withdrawal Policy,
which can be found on our website, www.moodys.com.
For pools with loans less than 100, Moody's adjusts its projections
of loss to account for the higher loss volatility of such pools.
For small pools, a few loans becoming delinquent would greatly increase
the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on vintage,
number of loans remaining in the pool and the level of current delinquencies
in the pool. For Alt-A and Option Arm pools, Moody's
first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. Once the loan
count in a pool falls below 76, this rate of delinquency is increased
by 1% for every loan fewer than 76. For example, for
a 2004 pool with 75 loans, the adjusted rate of new delinquency
is 10.1%. Further, to account for the actual
rate of delinquencies in a small pool, Moody's multiplies the rate
calculated above by a factor ranging from 0.50 to 2.0 for
current delinquencies that range from less than 2.5% to
greater than 30% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and losses for
the remaining life of the pool under the approach described in the methodology
publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures reflect
the higher of the credit quality of the guarantor or the RMBS without
the benefit of the guarantee. As a result, the rating on
the securities is the higher of 1) the guarantor's financial strength
rating and 2) the current underlying rating, which is what the rating
of the security would be absent consideration of the guaranty.
The principal methodology Moody's uses in determining the underlying rating
is the same methodology for rating securities that do not have financial
guaranty, described earlier.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, we considered the volatility
of the projected losses and timeline of the expected defaults.
For bonds backed by small pools, we also considered the current
pipeline composition as well as any specific loss allocation rules that
could preserve or deplete the overcollateralization available for the
senior bonds at different pace.
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 9.0% in April
2011 to 8.2% in June 2012. Moody's forecasts a further
drop to 7.8% for 2013. Moody's expects house prices
to drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 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.
Complete rating actions are as follows:
Issuer: Impac CMB Trust Series 2002-9F
Cl. A-1, Downgraded to A1 (sf); previously on
Mar 30, 2011 Downgraded to Aa3 (sf)
Cl. M-1, Downgraded to Baa1 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2003-11
Cl. 1-A-2, Downgraded to Baa2 (sf); previously
on Mar 30, 2011 Downgraded to A3 (sf)
Cl. 1-M-3, Confirmed at B2 (sf); previously
on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Upgrade
Issuer: Impac CMB Trust Series 2003-2F
Cl. A-1, Downgraded to A2 (sf); previously on
Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B3 (sf); previously on
Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2003-4
Cl. 3-A-1, Downgraded to Baa1 (sf); previously
on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-M-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-M-2, Confirmed at B2 (sf); previously
on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2003-8
Cl. 1-A-2, Downgraded to A1 (sf); previously
on Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-4, Upgraded to Baa3 (sf); previously
on Jan 31, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: Impac CMB Trust Series 2003-9F
Cl. A-1, Downgraded to A1 (sf); previously on
Jan 31, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2004-10
Cl. 1-A-1, Upgraded to B2 (sf); previously
on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B2 (sf); previously on Jan 31,
2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 1-A-2, Upgraded to Caa3 (sf); previously
on Mar 30, 2011 Downgraded to C (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Mar
30, 2011 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 3-A-1, Downgraded to Ba1 (sf); previously
on Jan 31, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to B1 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 3-M-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed
Bonds, Series 2004-11
Cl. 2-A-1, Confirmed at Caa2 (sf); previously
on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Issuer: Impac CMB Trust Series 2004-4 Collateralized Asset-Backed
Bonds, Series 2004-4
Cl. 1-A-1, Downgraded to Ba3 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Ba1 (sf); previously
on Mar 30, 2011 Downgraded to A3 (sf)
Cl. 1-A-3, Downgraded to B3 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A2 (sf) Placed Under Review for Possible Downgrade
Cl. 2-M-1, Downgraded to Caa3 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-1, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-2, Downgraded to Caa3 (sf); previously
on Mar 30, 2011 Downgraded to Ba3 (sf)
Cl. 1-M-3, Downgraded to Caa3 (sf); previously
on Mar 30, 2011 Downgraded to B2 (sf)
Cl. 1-M-4, Confirmed at Ca (sf); previously
on Jan 31, 2012 Ca (sf) Placed Under Review for Possible Upgrade
Cl. 2-M-2, Downgraded to Ca (sf); previously
on Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed
Bonds, Series 2004-5
Cl. 1-A-1, Downgraded to Baa2 (sf); previously
on Mar 30, 2011 Downgraded to A1 (sf)
Cl. 1-A-2, Downgraded to A3 (sf); previously
on Mar 30, 2011 Downgraded to Aa3 (sf)
Cl. 1-A-3, Downgraded to Baa3 (sf); previously
on Jan 31, 2012 A1 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-1, Downgraded to Ba2 (sf); previously
on Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-2, Downgraded to B1 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-M-3, Downgraded to B2 (sf); previously
on Mar 30, 2011 Downgraded to Baa3 (sf)
Cl. 1-M-4, Downgraded to Caa1 (sf); previously
on Mar 30, 2011 Downgraded to B1 (sf)
Cl. 1-M-5, Downgraded to Caa3 (sf); previously
on Mar 30, 2011 Downgraded to B2 (sf)
Cl. 1-M-6, Confirmed at C (sf); previously
on Jan 31, 2012 C (sf) Placed Under Review for Possible Upgrade
Issuer: Impac CMB Trust Series 2004-7 Collateralized Asset-Backed
Bonds, Series 2004-7
Cl. 1-A-2, Downgraded to Ba1 (sf); previously
on Jan 31, 2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B1 (sf); previously on
Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Caa3 (sf); previously on
Mar 30, 2011 Downgraded to C (sf)
Cl. M-2, Confirmed at B2 (sf); previously on
Jan 31, 2012 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac CMB Trust Series 2004-8 Collateralized Asset-Backed
Bonds, Series 2004-8
Cl. 1-A, Confirmed at Caa2 (sf); previously on
Jan 31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at Caa2 (sf); previously on Jan
31, 2012 Caa2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. 2-A-2, Confirmed at C (sf); previously
on Jan 31, 2012 C (sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at C (sf); previously on Jan 31,
2012 C (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Impac CMB Trust Series 2004-9 Collateralized Asset-Backed
Bonds, Series 2004-9
Cl. 1-A-1, Downgraded to Ba2 (sf); previously
on Mar 30, 2011 Downgraded to Baa3 (sf)
Cl. 1-A-2, Downgraded to Caa3 (sf); previously
on Jan 31, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2002-3
Cl. M-2, Upgraded to Aa1 (sf); previously on
Jan 31, 2012 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2003-1
Cl. A-1, Downgraded to A2 (sf); previously on
Mar 30, 2011 Downgraded to Aa3 (sf)
Cl. M-1, Downgraded to Baa3 (sf); previously
on Mar 30, 2011 Downgraded to A3 (sf)
Cl. M-2, Downgraded to B3 (sf); previously on
Mar 30, 2011 Downgraded to Ba3 (sf)
Cl. B, Confirmed at Ca (sf); previously on Jan 31,
2012 Ca (sf) Placed Under Review for Possible Upgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2003-3
Cl. A-1, Downgraded to A3 (sf); previously on
Jan 31, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba2 (sf); previously on
Jan 31, 2012 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2 (sf); previously
on Jan 31, 2012 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-1
Cl. A-5, Confirmed at Baa3 (sf); previously on
Jan 31, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade
Cl. A-6, Upgraded to A2 (sf); previously on Jan
31, 2012 Baa1 (sf) Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at B3 (sf); previously on
Jan 31, 2012 B3 (sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at C (sf); previously on Jan
31, 2012 C (sf) Placed Under Review for Possible Upgrade
Issuer: Impac Secured Assets Corp. Mortgage Pass-Through
Certificates, Series 2004-4
Cl. M-1, Confirmed at A3 (sf); previously on
Jan 31, 2012 A3 (sf) Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Baa3 (sf); previously on
Jan 31, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to B3 (sf); previously on Jan
31, 2012 Caa3 (sf) Placed Under Review for Possible Upgrade
Cl. M-4, Confirmed at C (sf); previously on Jan
31, 2012 C (sf) Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF291222
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details 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
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's Investors
Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's office
that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's Analytics
information.
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
Moody's considers the quality of information available on the rated entities,
obligations or credits satisfactory for the purposes of issuing these
ratings.
Moody's adopts all necessary measures so that the information it uses
in assigning the ratings is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not an auditor
and cannot in every instance independently verify or validate information
received in the rating process.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating analyst
and the Moody's legal entity that has issued each of the ratings.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
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.
Soumya?Vasudevan
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
Vice President - Senior Analyst
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 $865 million of US Alt-A RMBS issued by Impac
