New York, December 04, 2012 -- Moody's Investors Service has downgraded the ratings of 15 tranches from
two RMBS synthetic transaction, referencing Prime Loans, issued
by RESI and three tranches form two RMBS resecuritization transaction
isued by RESIX
Complete rating actions are as follows:
Issuer: RESI Finance Limited Partnership 2003-B
Class A5 Notes, Downgraded to Aa2 (sf); previously on Jan 30,
2009 Assigned Aaa (sf)
Cl. B1, Downgraded to A1 (sf); previously on Apr 21,
2011 Downgraded to Aa1 (sf)
Cl. B2, Downgraded to A2 (sf); previously on Apr 21,
2011 Downgraded to Aa2 (sf)
Cl. B3, Downgraded to Baa2 (sf); previously on Apr 21,
2011 Downgraded to A2 (sf)
Cl. B4, Downgraded to Baa3 (sf); previously on Apr 21,
2011 Downgraded to A3 (sf)
Cl. B5, Downgraded to Ba2 (sf); previously on Apr 21,
2011 Downgraded to Baa2 (sf)
Cl. B6, Downgraded to Ba3 (sf); previously on Apr 21,
2011 Downgraded to Baa3 (sf)
Cl. B7, Downgraded to B2 (sf); previously on Apr 21,
2011 Downgraded to Ba2 (sf)
Cl. B8, Downgraded to Caa1 (sf); previously on Apr 21,
2011 Downgraded to Ba3 (sf)
Cl. B9, Downgraded to Caa2 (sf); previously on Apr 21,
2011 Downgraded to B2 (sf)
Cl. B10, Downgraded to Ca (sf); previously on Apr 21,
2011 Downgraded to Caa3 (sf)
Issuer: RESI Finance Limited Partnership 2004-B RESI Finance
Limited Partnership 2004-B/RESI Finance DE Corporation 2004-B
Class A5 Notes, Downgraded to Baa1 (sf); previously on Apr
21, 2011 Downgraded to A2 (sf)
Cl. B1, Downgraded to Ba1 (sf); previously on Apr 21,
2011 Downgraded to Baa2 (sf)
Cl. B2, Downgraded to Ba3 (sf); previously on Apr 21,
2011 Downgraded to Ba1 (sf)
Cl. B3, Downgraded to Caa1 (sf); previously on Apr 21,
2011 Downgraded to B2 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-A
Cl. B10, Downgraded to Ba3 (sf); previously on Jul 27,
2011 Downgraded to Ba1 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-B
Cl. B9, Downgraded to Caa2 (sf); previously on Jul 27,
2011 Downgraded to B2 (sf)
Cl. B10, Downgraded to Ca (sf); previously on Jul 27,
2011 Downgraded to Caa3 (sf)
RATINGS RATIONALE
The RESI synthetic transactions provide Bank of America, N.A.
(the "Protection Buyer") credit protection on a pool of mortgages (the
"reference portfolio") through a credit default swap with the issuer (the
"Protection Seller") of the notes. The reference portfolio of the
transactions includes prime conforming and nonconforming fixed-rate
and adjustable-rate mortgages purchased from various originators.
The credit-linked notes issued by RESIX replicate the cash flow
of select subordinate tranches issued by synthetic RMBS deals RESI transaction.
The rating actions are a result of the recent performance of the underlying
reference portfolios of the transactions and reflect Moody's updated loss
expectations on the pools. The downgrades are a result of deteriorating
performance and structural features resulting in higher expected losses
for the bonds than previously anticipated.
The methodologies used in these ratings were "Moody's Approach to Rating
US Residential Mortgage-Backed Securities" published in December
2008, and "Pre-2005 US RMBS Surveillance Methodology" published
in January 2012. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
Moody's adjusts the methodologies noted above for Moody's current view
on loan modifications. As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased use of
private modifications, Moody's is extending its previous view that
loan modifications will only occur through the end of 2012. It
is now assuming that the loan modifications will continue at current levels
until the end of 2013.
The primary source of assumption uncertainty is the uncertainty in our
central macroeconomic forecast and performance volatility due to servicer-related
issues. The unemployment rate fell from 9.0% in September
2011 to 7.9% in October 2012. Moody's forecasts a
further drop to 7.5% by 2014. Moody's expects house
prices to drop another 1% from their 4Q2011 levels before gradually
rising towards the end of 2013. 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_SF309410
A list of updated estimated pool losses, sensitivity analysis,
and tranche recovery details 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_SF243269
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant 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.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's received and took into account one or more third party assessments
on the due diligence performed regarding the underlying assets or financial
instruments in these transactions and the assessments had a neutral impact
on the rating.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings 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 the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Gregory Bessermann
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades $820 Million of Prime Jumbo RMBS issued by RESI Finance Limited Partnership and RESIX Finance Limited Credit-Linked Notes