Moody’s Investors Service has upgraded the ratings of 14 tranches, downgraded the ratings of two tranches, and confirmed the ratings of 12 tranches from 12 transactions backed by Option ARM RMBS loans, and issued by multiple issuers.
Complete rating actions are as follows:
Issuer: American Home Mortgage Assets Trust 2006-1
Cl. 1A2, Downgraded to Ca (sf); previously on Jul 20, 2015 Caa2 (sf) Placed Under Review Direction Uncertain
Issuer: BCAP LLC Trust 2007-AA4
Cl. I-3-A1, Confirmed at Caa3 (sf); previously on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: Greenpoint Mortgage Funding Trust 2005-AR4
Cl. I-A-1, Confirmed at Ba1 (sf); previously on Jul 20, 2015 Ba1 (sf) Placed Under Review Direction Uncertain
Cl. I-A-2a, Upgraded to B3 (sf); previously on Jun 20, 2014 Upgraded to Caa1 (sf)
Cl. I-A-2b Underlying, Upgraded to B3 (sf); previously on Jun 20, 2014 Upgraded to Caa1 (sf)
Cl. I-A-2b Grantor Trust, Upgraded to B3 (sf); previously on Jun 20, 2014 Upgraded to Caa1 (sf)
Cl. I-A-3, Upgraded to Caa3 (sf); previously on Aug 29, 2012 Downgraded to C (sf)
Cl. X-1, Upgraded to B3 (sf); previously on Aug 29, 2012 Confirmed at Caa2 (sf)
Issuer: Greenpoint MTA Trust 2005-AR1
Cl. A-2, Confirmed at B3 (sf); previously on Jul 20, 2015 B3 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-14
Cl. A1, Confirmed at Caa3 (sf); previously on Jul 20, 2015 Caa3 (sf) Placed Under Review Direction Uncertain
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR6
Cl. I-A-1, Upgraded to B3 (sf); previously on Jul 20, 2015 Caa1 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR1
Cl. A-1A, Confirmed at Baa3 (sf); previously on Jul 20, 2015 Baa3 (sf) Placed Under Review Direction Uncertain
Cl. A-1B, Upgraded to B3 (sf); previously on Jun 19, 2015 Upgraded to Caa1 (sf)
Cl. A-2A1, Confirmed at Ba3 (sf); previously on Jul 20, 2015 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. A-2A3, Confirmed at Ba3 (sf); previously on Jul 20, 2015 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. A-2B, Upgraded to B3 (sf); previously on Jun 19, 2015 Upgraded to Caa1 (sf)
Cl. A-3, Upgraded to B2 (sf); previously on Aug 25, 2014 Upgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11
Cl. A-1A, Confirmed at Baa2 (sf); previously on Jul 20, 2015 Baa2 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR15
Cl. A-1A1, Confirmed at Ba2 (sf); previously on Jul 20, 2015 Ba2 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR17
Cl. A-1A1, Confirmed at Ba2 (sf); previously on Jul 20, 2015 Ba2 (sf) Placed Under Review Direction Uncertain
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR3
Cl. A-1A, Confirmed at Ba3 (sf); previously on Jul 20, 2015 Ba3 (sf) Placed Under Review Direction Uncertain
Cl. X, Upgraded to Ca (sf); previously on Dec 3, 2010 Downgraded to C (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR8
Cl. 1-A-1A, Downgraded to Baa2 (sf); previously on Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1A, Confirmed at Baa1 (sf); previously on Jul 20, 2015 Baa1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1B2, Upgraded to Ba2 (sf); previously on Jul 20, 2015 B1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1B3, Upgraded to Ba2 (sf); previously on Jul 20, 2015 B1 (sf) Placed Under Review Direction Uncertain
Cl. 2-A-1C2, Upgraded to Caa2 (sf); previously on Dec 3, 2010 Downgraded to Ca (sf)
Cl. 2-A-1C3, Upgraded to Caa2 (sf); previously on Dec 3, 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 expectation on the pools. The rating upgrades are due to the improvement in credit enhancement available to the bonds and better collateral performance. The rating downgrades are due to the erosion of credit enhancement and weaker collateral performance.
Today’s actions also conclude the review actions on 17 tranches from 12 transactions, announced on July 20, 2015 relating to the existence of an error in the calculation of the net weighted average coupon (net WAC) that was used in the prior cash flow models.
In previous surveillance of these bonds, the net WAC was calculated using the periodic interest collections from the asset pools, rather than the promised net coupons on the assets in the pools. As interest payments to the bonds are capped by the net WAC and periodic interest collections from the collateral could be lower than the promised coupons due to delinquent assets in the pool, this approach results in lower interest payments and higher remaining funds to amortize the bonds than may be appropriate. The calculation has now been corrected, and the information considered in connection with today’s rating actions reflects the net WAC calculated using promised net coupons on the collateral, as well as updated performance data for the collateral. The rating on Class I-A-1 of Structured Asset Mortgage Investments II Trust 2005-AR6 and Classes 2-A-1B2 and 2A-1B3 from WaMu Mortgage Pass-through Certificates, Series 2005-AR8 has been upgraded due to improvement in credit enhancement and performance of underlying collateral, and the rating on Class 1A2 of American Home Mortgage Asset Trust 2006-1 and Class 1-A-1A from WaMu Mortgage Pass-through Certificates, Series 2005-AR8 has been downgraded due to erosion of its enhancement and weaker collateral performance. The ratings of the remaining tranches previously placed on review have been confirmed.
The principal methodology used in these ratings was “US RMBS Surveillance Methodology” published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 5.3% in July 2015 from 6.2% in July 2014. Moody’s forecasts an unemployment central range of 5% to 6% for the 2015 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 2015. 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. 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_ SF415639
A list of updated estimated pool losses and bond recoveries is being posted on an ongoing basis for the duration of this review period and may be found at:
Excel:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
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.
The material has been provided by InstaForex Company – www.instaforex.com