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