New York, February 20, 2009 -- Moody's Investors Service has downgraded 24 tranches from two RAMP deals.
The collateral backing these transactions consists primarily of first-lien,
fixed-rate, Alt-A mortgage loans. The actions
are triggered by rapidly increasing delinquencies, higher severities,
slower prepayments and mounting losses in the underlying collateral.
Additionally, the continued deterioration of the housing market
has also contributed to the increased loss expectations for Alt-A
pools. The actions listed below reflect Moody's updated expected
losses on the Alt-A sector announced in a press release on January
22, 2009, and are part of Moody's on-going review
process.
Moody's final rating actions are based on current ratings,
level of credit enhancement, collateral performance and updated
pool-level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess
spread, time tranching, and other structural features within
the senior note waterfalls. General loss estimation methodology
is outlined below.
For details regarding Moody's approach towards calculating updated
expected losses on Alt-A pools backed by collateral originations
from 2006 and 2007, please refer to the methodology publication
"Alt-A RMBS Loss Projection Update: January 2009,"
available on Moodys.com. Moody's followed a similar
approach for deals from the 2005 vintage with appropriate changes to certain
key input parameters such as severity and the rate of delinquency build
up, which would be generally lower relative to the 2006 and 2007
vintages. These differences are aimed at better capturing the specific
characteristics of loans from the 2005 vintage that were originated in
an environment of relatively tighter underwriting standards and also benefited
from some initial home price appreciation.
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will
continue to evaluate performance data as it becomes available and will
assess the pattern of potential future defaults and adjust loss expectations
accordingly as necessary.
Complete rating actions are as follows:
Issuer: RAMP Series 2005-SL1 Trust
Cl. A-I, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-II, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-III, Downgraded to Baa1; previously on
10/8/2008 Aaa Placed Under Review for Possible Downgrade
Cl. A-IV, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-V, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-VI, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-VII, Downgraded to Baa1; previously on
10/8/2008 Aaa Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. A-IO, Downgraded to Baa1; previously on 10/8/2008
Aaa Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba1; previously on 10/8/2008
Downgraded to A2
Cl. M-2, Downgraded to B3; previously on 10/8/2008
Downgraded to Ba2
Cl. M-3, Downgraded to C; previously on 10/8/2008
Downgraded to Caa2
Issuer: RAMP Series 2005-SL2 Trust
Cl. A-I, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. A-II, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. A-III, Downgraded to Baa3; previously on
7/15/2005 Assigned Aaa
Cl. A-IV, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. A-V, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. A-PO, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. A-IO, Downgraded to Baa3; previously on 7/15/2005
Assigned Aaa
Cl. M-1, Downgraded to Ba3; previously on 7/15/2005
Assigned Aa2
Cl. M-2, Downgraded to Ca; previously on 7/15/2005
Assigned A2
Cl. M-3, Downgraded to C; previously on 7/15/2005
Assigned Baa2
Cl. B-1, Downgraded to C; previously on 7/15/2005
Assigned Ba2
Cl. B-2, Downgraded to C; previously on 7/15/2005
Assigned B2
The ratings on the notes were assigned by evaluating factors determined
to be applicable to the credit profile of the notes, such as i)
the nature, sufficiency, and quality of historical performance
information regarding the asset class as well as for the transaction sponsor,
ii) an analysis of the collateral, iii) an analysis of the policies,
procedures and alignment of interests of the key parties to the transaction,
most notably the originator and the servicer, iv) an analysis of
the transaction's allocation of collateral cashflow and capital structure,
v) an analysis of the transaction's governance and legal structure,
and (vi) a comparison of these attributes against those of other similar
transactions.
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 & Methodologies directory.
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF157316
For more information please see www.moodys.com.
A list of updated estimated pool losses is being updated twice weekly
and may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF154891
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Juan Lopez
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Takes Action on Certain RAMP Alt-A deals