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Rating Action:

Moody's takes action on certain Deutsche Bank Alt-A deals

05 Jan 2009
Moody's takes action on certain Deutsche Bank Alt-A deals

New York, January 05, 2009 -- Moody's Investors Service has downgraded the ratings of 70 tranches from 10 Alt-A RMBS transactions issued by Deutsche Alt-A Securities Inc and Deutsche Mortgage Securities Inc and withdrew the ratings of 2 interest-only tranches upon legal expiration. The collateral backing these transactions consists primarily of first-lien, fixed and adjustable-rate, Alt-A residential mortgage loans.

These actions are a result of updated loss expectations on the underlying collateral relative to available credit enhancement.

Moody's methodology for rating securities for more seasoned Alt-A pools i.e. prior to 2H 2005 averages the annualized loss rate from last 12 months ("Recent Losses") and the projected loss rate over the next 12 months ("Pipeline Losses"), and then translates these measures into lifetime losses based on a deal's expected remaining life. Recent Losses are calculated by assessing cumulative losses incurred over the past 12-months as a percentage of the average pool factor in the last year. For Pipeline Losses, Moody's uses an annualized roll rate of 15%, 30%, 65% and 90% for loans that are delinquent 60-days, 90+ days, are in foreclosure, and REO respectively. Moody's then applies deal-specific severity assumptions ranging from 40% to 55%. The results of these two calculations - Recent Losses and Pipeline Losses - are weighted to arrive at the lifetime cumulative loss projection.

Once expected losses have been assigned to each collateral group, Moody's assesses available credit enhancement from subordination, overcollateralization, excess spread and any external support (mortgage insurance, pool policy, etc.). The available enhancement is analyzed against projected future losses to ultimately arrive at an updated rating.

For securities insured by a financial guarantor, the rating on the securities is equal to the higher of (i) the guarantor's financial strength rating and (ii) the current underlying rating (i.e., absent consideration of the guaranty) on the security. The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is as described in the two previous paragraphs.

Other methodologies and factors that may have been considered in the process of rating this issue can also be found at www.moodys.com in the Credit Policy and Methodologies directory.

List of actions

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-2XS

Cl. A-5, Downgraded to Aa1, previously on 11/20/2003 Assigned Aaa

Cl. A-IO, Withdrawn, previously on 11/20/2003 Assigned Aaa

Cl. M-1, Downgraded to A2, previously on 11/20/2003 Assigned Aa2

Cl. M-2, Downgraded to Ba3, previously on 11/20/2003 Assigned A2

Cl. M-3, Downgraded to Ca, previously on 11/20/2003 Assigned Baa2

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-4XS

Cl. A-5, Downgraded to Aa2, previously on 12/24/2003 Assigned Aaa

Cl. A-6A, Downgraded to Aa3, previously on 1/17/2008 confirmed at Aaa

Financial Guarantor: MBIA Insurance Corporation (Baa1)

Underlying Rating: Downgraded to Aa3, previously on 9/16/2008 published Aaa

Cl. A-6B, Downgraded to Aa3, previously on 12/24/2003 Assigned Aaa

Cl. M-1, Downgraded to Baa1, previously on 12/24/2003 Assigned Aa2

Cl. M-2, Downgraded to B3, previously on 10/30/2006 Downgraded to Baa1

Cl. M-3, Downgraded to Ca, previously on 10/30/2006 Downgraded to Ba2

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1

Cl. I-A-4, Downgraded to Aa1, previously on 3/30/2005 Assigned Aaa

Cl. M, Downgraded to A3, previously on 3/30/2005 Assigned Aa2

Cl. B-1, Downgraded to Ba2, previously on 3/30/2005 Assigned A2

Cl. B-2, Downgraded to Caa2, previously on 3/30/2005 Assigned Baa2

Cl. B-3, Downgraded to Ca, previously on 3/30/2005 Assigned Ba2

Cl. B-4, Downgraded to Ca, previously on 3/30/2005 Assigned B2

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-2

Cl. I-A-1, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-2, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-3, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-4, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-5, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-6, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. I-A-7, Downgraded to Aa3, previously on 4/19/2005 Assigned Aaa

Cl. II-A-1, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. II-A-2, Downgraded to Aa2, previously on 4/19/2005 Assigned Aaa

Cl. II-A-3, Downgraded to Aa3, previously on 4/19/2005 Assigned Aaa

Cl. M, Downgraded to Baa2, previously on 4/19/2005 Assigned Aa2

Cl. B-1, Downgraded to B1, previously on 4/19/2005 Assigned A2

Cl. B-2, Downgraded to Ca, previously on 4/19/2005 Assigned Baa2

Cl. B-3, Downgraded to Ca, previously on 4/19/2005 Assigned Ba2

Cl. B-4, Downgraded to Ca, previously on 4/19/2005 Assigned B2

Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3

Cl. I-A-1, Downgraded to Aa1, previously on 6/16/2005 Assigned Aaa

Cl. IV-A-7, Downgraded to Aa1, previously on 6/16/2005 Assigned Aaa

Cl. V-A-1, Downgraded to Aa2, previously on 6/16/2005 Assigned Aaa

Cl. V-A-2, Downgraded to Aa2, previously on 6/16/2005 Assigned Aaa

Cl. V-A-3, Downgraded to Aa2, previously on 6/16/2005 Assigned Aaa

Cl. M, Downgraded to Baa1, previously on 6/16/2005 Assigned Aa2

Cl. B-1, Downgraded to Ba3, previously on 6/16/2005 Assigned A2

Cl. B-2, Downgraded to Ca, previously on 6/16/2005 Assigned Baa2

Cl. B-3, Downgraded to Ca, previously on 6/16/2005 Assigned Ba2

Cl. B-4, Downgraded to Ca, previously on 6/16/2005 Assigned B2

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-1

Cl. III-M-1, Downgraded to Aa3, previously on 2/26/2004 Assigned Aa2

Cl. III-M-2, Downgraded to A3, previously on 2/26/2004 Assigned A2

Cl. III-M-3, Downgraded to Baa3, previously on 2/26/2004 Assigned Baa1

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-2

Cl. M-1, Downgraded to A1, previously on 3/30/2004 Assigned Aa2

Cl. M-2, Downgraded to Baa1, previously on 3/30/2004 Assigned A2

Cl. M-3, Downgraded to Ba2, previously on 3/30/2004 Assigned Baa1

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3

Cl. I-A-5, Downgraded to Aa1, previously on 1/16/2008 confirmed at Aaa

Financial Guarantor: Ambac Assurance Corporation (Baa1)

Underlying Rating: Downgraded to Aa1, previously on 9/16/2008 published Aaa

Cl. I-A-6, Downgraded to Aa1, previously on 1/16/2008 confirmed at Aaa

Financial Guarantor: Ambac Assurance Corporation (Baa1)

Underlying Rating: Downgraded to Aa1, previously on 9/16/2008 published Aaa

Cl. I-M-1, Downgraded to A2, previously on 7/5/2004 Assigned Aa2

Cl. I-M-2, Downgraded to Baa3, previously on 7/5/2004 Assigned A2

Cl. I-M-3, Downgraded to Ba3, previously on 7/5/2004 Assigned Baa1

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-4

Cl. I-A-4, Downgraded to Aa1, previously on 7/1/2005 Assigned Aaa

Cl. I-A-5, Downgraded to Aa2, previously on 7/1/2005 Assigned Aaa

Cl. I-A-6, Downgraded to Aa2, previously on 7/1/2005 Assigned Aaa

Cl. I-M-1, Downgraded to A3, previously on 7/1/2005 Assigned Aa2

Cl. I-M-2, Downgraded to B1, previously on 7/1/2005 Assigned A2

Cl. I-M-3, Downgraded to Ca, previously on 7/1/2005 Assigned Baa1

Cl. II-MR-3, Downgraded to Baa3, previously on 7/1/2005 Assigned Baa1

Cl. III-AR-1, Downgraded to Aa1, previously on 7/1/2005 Assigned Aaa

Cl. IV-AR-1, Downgraded to Aa2, previously on 7/1/2005 Assigned Aaa

Cl. V-AR-1, Downgraded to Aa1, previously on 7/1/2005 Assigned Aaa

Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2004-5

Cl. A-3, Downgraded to Aa1, previously on 10/26/2004 Assigned Aaa

Cl. A-4A, Downgraded to Aa2, previously on 2/14/2008 confirmed at Aaa

Financial Guarantor: Financial Guaranty Insurance Company (Caa1)

Underlying Rating: Downgraded to Aa2, previously on 8/21/2008 published Aaa

Cl. A-4B, Downgraded to Aa2, previously on 10/26/2004 Assigned Aaa

Cl. A-5A, Downgraded to Aa1, previously on 8/21/2008 upgraded to Aaa

Financial Guarantor: Financial Guaranty Insurance Company (Caa1)

Underlying Rating: Downgraded to Aa1, previously on 8/21/2008 published Aaa

Cl. A-5B, Downgraded to Aa1, previously on 8/21/2008 upgraded to Aaa

Financial Guarantor: Financial Guaranty Insurance Company (Caa1)

Underlying Rating: Downgraded to Aa1, previously on 8/21/2008 published Aaa

Cl. A-IO, Withdrawn, previously on 10/26/2004 Assigned Aaa

Cl. M-1, Downgraded to Baa1, previously on 10/26/2004 Assigned Aa3

Cl. M-2, Downgraded to B1, previously on 10/26/2004 Assigned A3

Cl. M-3, Downgraded to Ca, previously on 10/26/2004 Assigned Baa3

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

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF152120

For more information please see www.moodys.com.

New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Aashish Marfatia
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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