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I AGREE
18 Apr 2011
New York, April 18, 2011 -- The April 13th press release for this action provided an incorrect link
to Moody's current loss expectation on the Prime Jumbo pools. This
has been corrected, and the appropriate link is included below.
Revised release follows.
Moody's Investors Service has downgraded the ratings of five classes and
confirmed the ratings of two classes issued by BCAP 2006-RR1.
Issuer: BCAP 2006-RR1
Cl. PA, Confirmed at Aaa (sf); previously on Jan 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. PB, Confirmed at Aa1 (sf); previously on Jan 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. PC, Downgraded to A2 (sf); previously on Jan 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. PD, Downgraded to A3 (sf); previously on Jan 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. PE, Downgraded to Baa2 (sf); previously on Jan 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. CF, Downgraded to Baa3 (sf); previously on Jan 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. CS, Downgraded to Baa3 (sf); previously on Jan 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The actions are a result of the bonds not having sufficient credit enhancement
to maintain the current ratings when compared to the revised loss expectation
on the pools of mortgages backing the underlying certificates.
The resecuritization bonds PA, PB, PC, PD, and
PE are backed by classes A-2 and A-5 ("Underlying certificates")
issued by Wells Fargo Mortgage Backed Securities 2006-16 Trust.
The resecuritization bonds CF and CS are backed by class A-18 ("Underlying
certificate") issued by Wells Fargo Mortgage Backed Securities 2006-16
Trust. The underlying certificates are backed primarily by first-lien,
prime Jumbo residential mortgage loans.
The resecuritization bonds PA through PE receive principal payments sequentially
and absorb losses on a pro-rata basis from the related underlying
certificates. The class CF receives all principal payments and
absorbs all losses from the related underlying certificate. The
class CS is an interest only bond whose notional amount is linked to the
Class CF.
Moody's ratings on the resecuritization notes are based on:
(i) The updated expected loss on the pools of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectation on the Prime Jumbo pools and the current
rating of these underlying certificates backed by Prime Jumbo pools can
be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF196023
(ii) The credit enhancement available to the underlying certificates,
and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumption on the underlying pools of mortgage
loans (backing the underlying certificates) and then arrived at updated
ratings on the underlying certificates. The ratings on the underlying
certificates are based on expected recoveries on the bonds under ninety-six
different combinations of six loss levels, four loss timing curves
and four prepayment curves. The volatility in losses experienced
by a tranche due to small increments in losses on the underlying mortgage
pool is taken into consideration when assigning ratings. For details
regarding Moody's approach to estimating losses on Prime Jumbo pools,
please refer to the methodology publications " Prime Jumbo RMBS Loss Projection
Update: January 2010 " respectively, available on Moodys.com.
In order to determine the ratings of the resecuritized bonds, losses
on the underlying certificates were ascribed to the resecuritized bonds,
according to the structure of the resecuritized transaction.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment remains at high levels,
and weakness persists in the housing market. Moody's notes an increasing
potential for a double-dip recession, which could cause a
further 20% decline in home prices (versus its baseline assumption
of roughly 5% further decline). Overall, Moody's assumes
a further 5% decline in home prices with stabilization in early
2011, accompanied by continued stress in national employment levels
through that timeframe.
As part of the sensitivity analysis, we stressed the updated expected
loss on the pools of loans backing the underlying certificates by an additional
10% and found that the implied ratings of the resecuritized bonds
PC and PD changed by one notch to A3 (sf) and Baa1 (sf) respectively.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence reports had neutral impact on
the ratings.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF243182
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, confidential
and proprietary Moody's Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Jayesh Joseph
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Correction to Text, April 13, 2011 Release: Moody's takes action on $162 million of resecuritized RMBS issued by BCAP 2006-RR1 transaction
No Related Data.
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