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Rating Action:

Moody's takes action on Option ARM RMBS issued by WMALT 2006-AR5

08 Feb 2018

New York, February 08, 2018 -- Moody's Investors Service, ("Moody's") has withdrawn the ratings of four underlying components, and re-assigned the rating on one bond from WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust. Today's action resolves the review of one interest-only (IO) bond, Class DX-PPP Group 4 PO Component, that was among those placed on review on 15 August 2017 in connection with a correction of errors in our earlier analysis, as well as 3 IO bonds, Classes DX-PPP Group 1 Component, DX-PPP Group 2 PO Component and DX-PPP Group 3 PO Component, that were among those placed on review 29 August 2017 in connection with a reassessment of our internal linkage of these IO bonds to their reference bond(s) or pool(s).

Complete rating actions are as follows:

Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust

Cl. DX-PPP, Assigned Ca (sf)

Cl. DX-PPP Group 1 Component, Withdrawn (sf); previously on Aug 29, 2017 Ca (sf) Placed Under Review Direction Uncertain

Cl. DX-PPP Group 2 PO Component, Withdrawn (sf); previously on Aug 29, 2017 Ca (sf) Placed Under Review Direction Uncertain

Cl. DX-PPP Group 3 PO Component, Withdrawn (sf); previously on Aug 29, 2017 Ca (sf) Placed Under Review Direction Uncertain

Cl. DX-PPP Group 4 PO Component, Withdrawn (sf); previously on Aug 15, 2017 Ca (sf) Placed Under Review Direction Uncertain

RATINGS RATIONALE

The rating actions on Classes DX-PPP, DX-PPP Group 1 Component, DX-PPP Group 2 PO Component, DX-PPP Group 3 PO Component and DX-PPP Group 4 PO Component are driven by the correction of an error. At closing Moody's assigned ratings on the following certificates issued by WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust:

Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust

Class 1A, Class 2A, Class 3A, Class 4A, Class 5A, Class 4A-1B, Class. 5A-1B, Class CA-1B, Class DX-PPP, Class 5X-PPP, Class R, Class L-B-1, Class L-B-2, Class L-B-3, Class L-B-4, Class L-B-5, Class L-B-6, Class L-B-7, Class L-B-8, Class L-B-9, Class L-B-10, Class L-B-11 and Class L-B-12.

Class DX-PPP is an IO PO bond which has four IO components and four principal-only (PO) components. After the assignment of the initial rating to the Class DX-PPP certificate, Moody's erroneously stopped publishing the rating on this certificate and instead began publishing ratings only on the underlying payment components that generate the cashflow supporting Class DX-PPP.

Moody's has now corrected this error and has re-assigned a rating to Class DX-PPP, the certificate originally rated by Moody's and issued by WaMu Mortgage Pass-Through Certificates, WMALT Series 2006-AR5 Trust. We have also withdrawn the ratings on the underlying payment components. The rating history of the underlying payment components will remain on moodys.com. Hereafter, Moody's will only publish the rating at the certificate level and will not publish ratings for the related underlying payment components.

Today's action resolves the review of Class DX-PPP Group 4 PO Component that was among those placed on review on 15 August 2017 in connection with a correction of an input error in our earlier analysis, and of Classes DX-PPP Group 1 Component, DX-PPP Group 2 PO Component and DX-PPP Group 3 PO Component that were among those placed on review 29 August 2017 in connection with a reassessment of our internal linkage of these IO bonds to their reference bond(s) or pool(s).The factors that Moody's considers in rating an IO bond depend on the type of referenced securities or assets to which the IO bond is linked. For IO PO bonds, which have both IO component and PO components, Moody's determines the rating using a weighted average of the ratings of the two different types of components.

In our prior analysis, we incorrectly treated the underlying components of Class DX-PPP as four separate bonds. We have reassessed the linkage for the composite Class DX-PPP, and determined that it is linked to the appropriate pools. Today's rating action on Class DX-PPP reflects the updated bond composition, correction to prior input errors, the linkage reassessment, and updated performance of the underlying pools and bonds.

The methodologies used in rating Class DX-PPP were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies.

Factors that can lead to an upgrade or downgrade of the ratings:

An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools.

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF467463

For more information please see www.moodys.com.

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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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.

Soumya Vasudevan
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Ola Hannoun-Costa
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

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.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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