New York, April 18, 2013 -- Moody's Investors Service has downgraded the ratings of 47 tranches and
upgraded the rating of 11 tranches from 19 RMBS transactions backed by
Alt-A loans, issued by multiple issuers.
Complete rating actions are as follows:
Issuer: First Horizon Alternative Mortgage Securities Trust 2005-FA10
Cl. I-A-6, Downgraded to C (sf); previously
on Sep 16, 2010 Downgraded to Ca (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2005-FA8
Cl. I-A-1, Downgraded to Caa2 (sf); previously
on Sep 16, 2010 Downgraded to Caa1 (sf)
Cl. I-A-4, Downgraded to Caa2 (sf); previously
on Sep 16, 2010 Downgraded to Caa1 (sf)
Cl. I-A-14, Downgraded to Caa1 (sf); previously
on Sep 16, 2010 Downgraded to B2 (sf)
Cl. I-A-18, Downgraded to Caa2 (sf); previously
on Sep 16, 2010 Downgraded to Caa1 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2006-AA4
Cl. I-A-1, Downgraded to Ca (sf); previously
on Sep 16, 2010 Upgraded to Caa2 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2006-FA3
Cl. A-6, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. A-8, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2006-FA5
Cl. A-1, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. A-3, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. A-4, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. A-PO, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Issuer: First Horizon Mortgage Securities Trust 2005-FA11
Cl. I-A-3A, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. I-A-4A, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. I-A-5, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Cl. I-A-PO, Downgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2006-3
Cl. A-1, Downgraded to Caa3 (sf); previously
on Nov 11, 2010 Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2006-5
Cl. 2A1, Downgraded to Caa3 (sf); previously on Dec
23, 2010 Downgraded to Caa2 (sf)
Issuer: GSAA Home Equity Trust 2007-6
Cl. 1A1, Downgraded to Caa3 (sf); previously on Jan
26, 2011 Downgraded to Caa2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2006-AF1
Cl. I-A-1A, Downgraded to Ca (sf); previously
on Sep 2, 2010 Downgraded to Caa2 (sf)
Cl. I-A-1B, Downgraded to Ca (sf); previously
on Sep 2, 2010 Downgraded to Caa2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2006-AR3
Cl. A-2, Upgraded to Caa3 (sf); previously on
Sep 2, 2010 Downgraded to Ca (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2006-WF1
Cl. A-2, Downgraded to Ca (sf); previously on
Sep 2, 2010 Downgraded to Caa2 (sf)
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2007-1
Cl. I-A-1A, Downgraded to Ca (sf); previously
on Sep 2, 2010 Downgraded to Caa3 (sf)
Cl. I-A-1B, Downgraded to Ca (sf); previously
on Sep 2, 2010 Downgraded to Caa3 (sf)
Cl. I-A-6, Current Rating A2 (sf); previously
on Jan 18, 2013 Downgraded to A2 (sf)
Underlying Rating: Downgraded to Ca (sf); previously on Sep
2, 2010 Downgraded to Caa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2005-8 Trust
Cl. 1-A-8, Downgraded to Caa2 (sf); previously
on Oct 1, 2010 Upgraded to Caa1 (sf)
Cl. C-X, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Downgraded to B3 (sf)
Cl. 3-CB-1, Downgraded to Ca (sf); previously
on Oct 1, 2010 Upgraded to Caa3 (sf)
Cl. 4-A, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Downgraded to B3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2006-1 Trust
Cl. 3-A-2, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2006-2 Trust
Cl. 1-A-6, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-7, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-8, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 1-A-10, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. C-X, Downgraded to Caa3 (sf); previously
on Sep 1, 2010 Downgraded to Caa2 (sf)
Cl. 3-CB, Downgraded to Ca (sf); previously on
Sep 1, 2010 Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2006-5 Trust
Cl. 2-CB-2, Downgraded to Ca (sf); previously
on Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. 2-CB-4, Downgraded to Ca (sf); previously
on Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. 2-CB-6, Downgraded to Ca (sf); previously
on Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. 2-CB-7, Downgraded to Ca (sf); previously
on Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. 4-A-1, Downgraded to Ca (sf); previously
on Sep 1, 2010 Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2006-7
Cl. A-1A, Downgraded to Ca (sf); previously on
Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. A-1B, Downgraded to Ca (sf); previously on
Sep 1, 2010 Downgraded to Caa3 (sf)
Cl. A-2A, Downgraded to Ca (sf); previously on
Sep 1, 2010 Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT
Series 2005-9 Trust
Cl. 2-A-3, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Caa1 (sf)
Cl. 2-A-6, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Caa1 (sf)
Cl. 3-CB, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Downgraded to B3 (sf)
Cl. C-P, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Caa2 (sf)
Cl. 4-A-1, Upgraded to Caa2 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 4-A-2, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 4-A-3, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 4-A-4, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-1, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-5, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-6, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-7, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-8, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
Cl. 5-A-9, Upgraded to Caa3 (sf); previously
on Apr 8, 2010 Downgraded to Ca (sf)
RATINGS RATIONALE
The actions are a result of the recent performance of the underlying pools
and reflect Moody's updated loss expectations on the pools. The
majority of the actions reflect the change in principal payments and loss
allocation to the senior bonds subsequent to subordination depletion.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011 and "Rating Transactions Based on the Credit Substitution
Approach: Letter of Credit-backed, Insured and Guaranteed
Debts" published in March 2013. The methodology used in rating
Interest-Only Securities is "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 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) 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 2014.
Small Pool Volatility
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 pools, Moody's first applies
a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. 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 2005 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 0.20 to 2.0 for current delinquencies that range from
less than 2.5% to greater than 50% 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 security 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.
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 September
2011 to 7.6% in March 2013. Moody's forecasts a further
drop to 7.5% by 2014. 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.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF326284
A list of updated estimated 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/page/viewresearchdoc.aspx?docid=PBS_SF198174
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
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.
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.
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.
Samuel Ukrainsky
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
VP-Senior Analyst/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 $905 Million of Miscellaneous Alt-A RMBS issued between 2005 and 2007
