New York, July 19, 2018 -- Moody's Investors Service has upgraded the ratings of 48 tranches from
16 transactions issued by various issuers, backed by Alt-A,
Option ARM and Prime Jumbo loans.
Complete rating actions are as follows:
Issuer: BankUnited Trust 2005-1
Cl. I-A-1, Upgraded to Baa1 (sf); previously
on Jun 30, 2015 Upgraded to Ba2 (sf)
Cl. I-A-2, Upgraded to Caa1 (sf); previously
on Dec 14, 2010 Downgraded to Caa3 (sf)
Issuer: Bear Stearns ALT-A Trust 2005-7
Cl. I-1A-1, Upgraded to Aaa (sf); previously
on Apr 13, 2017 Upgraded to A1 (sf)
Cl. I-1A-2, Upgraded to Aa2 (sf); previously
on Mar 21, 2018 Upgraded to Baa1 (sf)
Cl. I-2A-3, Upgraded to Aa2 (sf); previously
on Mar 21, 2018 Upgraded to Baa1 (sf)
Cl. I-2A-1, Upgraded to Aaa (sf); previously
on Apr 13, 2017 Upgraded to A1 (sf)
Cl. I-2A-2, Upgraded to Aa1 (sf); previously
on Mar 21, 2018 Upgraded to A3 (sf)
Cl. I-M-1, Upgraded to Caa3 (sf); previously
on Jul 2, 2010 Downgraded to C (sf)
Issuer: Bear Stearns Alt-A Trust 2006-5
Cl. I-A-1, Upgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Ca (sf)
Issuer: Bear Stearns ALT-A Trust 2007-2
Cl. I-A-1, Upgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Ca (sf)
Cl. II-A-1, Upgraded to Caa3 (sf); previously
on Sep 16, 2010 Downgraded to Ca (sf)
Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4
Cl. A-1, Upgraded to Baa3 (sf); previously on
Dec 7, 2010 Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to B2 (sf); previously on Dec
7, 2010 Downgraded to C (sf)
Underlying Rating: Upgraded to B2 (sf); previously on Dec 7,
2010 Downgraded to C (sf)
Ambac Assurance Corporation (Segregated Account - Unrated)
Issuer: Chase Mortgage Finance Trust, Series 2005-S1
Cl. 1-A1, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to B3 (sf)
Cl. 1-A2, Upgraded to Caa1 (sf); previously on
Sep 11, 2012 Downgraded to Ca (sf)
Cl. 2-A1, Upgraded to Baa3 (sf); previously on
Sep 11, 2012 Downgraded to B2 (sf)
Cl. 1-A4, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to Caa1 (sf)
Cl. 1-A11, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to B3 (sf)
Cl. 1-A12, Upgraded to Caa1 (sf); previously
on Sep 11, 2012 Downgraded to C (sf)
Cl. I-A13, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to Caa1 (sf)
Cl. I-A14, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to Caa1 (sf)
Cl. I-A15, Upgraded to B2 (sf); previously on
Sep 11, 2012 Downgraded to Caa1 (sf)
Cl. 2-A2, Upgraded to Baa3 (sf); previously on
Sep 11, 2012 Downgraded to B2 (sf)
Cl. 2-A3, Upgraded to Baa3 (sf); previously on
Sep 11, 2012 Downgraded to B2 (sf)
Issuer: ChaseFlex Trust Series 2007-2
Cl. A-1, Upgraded to B3 (sf); previously on Oct
20, 2010 Downgraded to Caa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-HYB7
Cl. 1-A-3, Upgraded to Baa2 (sf); previously
on Sep 1, 2017 Upgraded to Baa3 (sf)
Cl. M, Upgraded to B2 (sf); previously on Sep 1,
2017 Upgraded to Caa2 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2005-A2
Cl. 1-A-1, Upgraded to Aaa (sf); previously
on Apr 30, 2018 Upgraded to Aa1 (sf)
Cl. 1-A-2, Upgraded to Aaa (sf); previously
on Apr 30, 2018 Upgraded to Aa2 (sf)
Cl. 1-M-1, Upgraded to B1 (sf); previously
on Jun 15, 2017 Upgraded to Caa3 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2006-A4
Cl. A-3, Upgraded to Caa2 (sf); previously on
Apr 4, 2013 Downgraded to Caa3 (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on
Apr 4, 2013 Affirmed Caa3 (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on
Apr 4, 2013 Affirmed Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on
Apr 4, 2013 Affirmed Ca (sf)
Cl. A-8, Upgraded to Caa2 (sf); previously on
Apr 4, 2013 Affirmed Caa3 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2006-S4
Cl. A-3A, Upgraded to Caa1 (sf); previously on
Sep 17, 2010 Downgraded to Caa2 (sf)
Cl. A-3-B, Upgraded to Caa1 (sf); previously
on Sep 17, 2010 Downgraded to Caa2 (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on
Sep 17, 2010 Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on
Sep 17, 2010 Downgraded to Ca (sf)
Issuer: Prime Mortgage Trust 2005-4
Cl. II-A-10, Upgraded to B3 (sf); previously
on Aug 11, 2010 Downgraded to Caa1 (sf)
Issuer: Prime Mortgage Trust 2006-CL1
Cl. A-1, Upgraded to Ba3 (sf); previously on
Sep 14, 2015 Upgraded to B2 (sf)
Cl. A-2, Upgraded to Ba3 (sf); previously on
Sep 14, 2015 Upgraded to B2 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR3
Cl. 1-A-1, Upgraded to B1 (sf); previously
on Jun 28, 2016 Upgraded to B3 (sf)
Cl. II-A-1, Upgraded to Baa1 (sf); previously
on Jun 28, 2016 Upgraded to Baa3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR6
Cl. I-A-1, Upgraded to Baa3 (sf); previously
on Jan 30, 2017 Upgraded to Ba1 (sf)
Cl. II-A-1, Upgraded to Ba1 (sf); previously
on Jun 28, 2016 Upgraded to B2 (sf)
Cl. X-1, Upgraded to Caa2 (sf); previously on
Dec 20, 2017 Confirmed at Caa3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2006-AR6
Cl. II-A-1, Upgraded to Caa2 (sf); previously
on Dec 14, 2010 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The rating upgrades are primarily due to the increase in credit enhancement
to the bonds as a result of payments distributed to the transactions in
May 2018 pursuant to a settlement between J.P.Morgan and
certain RMBS investors. The upgrade on Cl. A-2 from
Bear Stearns Mortgage Funding Trust 2006-AR4 also reflects the
funds received by the deal in February 2018 pursuant to the Second Amended
Plan of Rehabilitation of the Segregated account of Ambac Assurance Corporation,
which resulted in full recoupment of cumulative realized loss on Cl.
A-1. The actions further reflect the recent performance
of the underlying pools, Moody's updated loss expectations on the
pools and an update in the approach used in analyzing the transaction
structures.
The principal methodology used in rating Chase Mortgage Finance Trust,
Series 2005-S1 Cl. 1-A1, Cl. 1-A4,
Cl. 1-A11, Cl. I-A13, Cl.
I-A14, Cl. I-A15, Cl. 2-A1, Cl. 2-A2, Cl. 1-A2 and Cl.
1-A12, CHL Mortgage Pass-Through Trust 2004-HYB7
Cl. 1-A-3 and Cl. M. BankUnited Trust
2005-1 Cl. I-A-1 and Cl. I-A-2, Bear Stearns ALT-A Trust 2005-7 Cl. I-1A-1,
Cl. I-1A-2, Cl. I-2A-1,
Cl. I-2A-2, Cl. I-2A-3
and Cl. I-M-1, Bear Stearns Alt-A Trust
2006-5 Cl. I-A-1, Bear Stearns ALT-A
Trust 2007-2 Cl. I-A-1 and Cl. II-A-1, Bear Stearns Mortgage Funding Trust 2006-AR4 Cl.
A-2 and Cl. A-1, ChaseFlex Trust Series 2007-2
Cl. A-1, J.P. Morgan Alternative Loan
Trust 2005-A2 Cl. 1-A-1, Cl.
1-A-2 and Cl. 1-M-1, J.P.
Morgan Alternative Loan Trust 2006-A4 Cl. A-3,
Cl. A-5, Cl. A-6, Cl. A-7
and Cl. A-8, J.P. Morgan Alternative
Loan Trust 2006-S4 Cl. A-4, Cl. A-3A, Cl. A-3-B and Cl. A-5,
Prime Mortgage Trust 2005-4 Cl. II-A-10,
Prime Mortgage Trust 2006-CL1 Cl. A-1, Structured
Asset Mortgage Investments II Trust 2005-AR3 Cl. 1-A-1
and Cl. II-A-1 , Structured Asset Mortgage
Investments II Trust 2005-AR6 Cl. I-A-1 and
Cl. II-A-1,
Structured Asset Mortgage Investments II Trust 2006-AR6 Cl.
II-A-1 was "US RMBS Surveillance Methodology" published
in January 2017. The methodologies used in rating Chase Mortgage
Finance Trust, Series 2005-S1 Cl. 2-A3,
Prime Mortgage Trust 2006-CL1 Cl. A-2 and Structured
Asset Mortgage Investments II Trust 2005-AR6 Cl. X-1
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 would lead to an upgrade or downgrade of the ratings:
Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty,
and in particular the unemployment rate. The unemployment rate
fell to 4.0% in June 2018 from 4.3% in June
2017. Moody's forecasts an unemployment central range of 3.5%
to 4.5% for the 2018 year. Deviations from this central
scenario could lead to rating actions in the sector. House prices
are another key driver of US RMBS performance. Moody's expects
house prices to continue to rise in 2018. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures.
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 and the associated
pool losses and tranche recoveries may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF472998
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.
Chloe Zhang
Associate Lead 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
Deepika Kothari
Senior Vice President
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