New York, April 21, 2010 -- Moody's Investors Service has downgraded the ratings of 77 tranches and
confirmed the ratings of 11 tranches from 32 RMBS transactions issued
by RFMSII Home Loan Trust. The collateral backing these deal primarily
consists of high LTV closed end second lien (CES) mortgages.
The actions are a result of the continued performance deterioration in
second lien pools in conjunction with home price and unemployment conditions
that remain under duress. The actions reflect Moody's updated
loss expectations on second lien pools. For details regarding Moody's
approach to estimating losses on second lien pools, please refer
to the methodology publication "Second Lien RMBS Loss Projection Methodology:
April 2010" available on Moodys.com.
Certain tranches included in this action, noted below, are
wrapped by Financial Guaranty Insurance Company (Insured Rating Withdrawn
3/25/2009) . For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
RMBS securities wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
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 Rating Methodologies sub-directory. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck
Complete rating actions are as follows:
Issuer: Home Loan Trust 2000-HI4
Expected Losses (as a % of Original Balance) 10%
Cl. A-I-7, Downgraded to Ba1; previously
on Mar 18, 2010 A3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2000-HI5
Expected Losses (as a % of Original Balance) 10%
Cl. A-I-7, Downgraded to Ba1; previously
on Mar 18, 2010 A3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2001-HI1
Expected Losses (as a % of Original Balance) 11%
A, Downgraded to Baa3; previously on Mar 18, 2010 Baa1
Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2001-HI2
Expected Losses (as a % of Original Balance): 9%
A-I-7, Downgraded to Ba2; previously on Mar 18,
2010 Baa1 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2001-HI3
Expected Losses (as a % of Original Balance): 10%
A-I-7, Downgraded to Ba2; previously on Mar 18,
2010 Ba1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2001-HI4
Expected Losses (as a % of Original Balance): 10%
A-7, Downgraded to Ba2; previously on Mar 18,
2010 Baa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2002-HI1
Expected Losses (as a % of Original Balance): 9%
Cl. A-7, Downgraded to B1; previously on Mar
18, 2010 Baa2 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RFMSII Home Loan Trust 2002-HI3
Expected Losses (as a % of Original Balance): 9%
Cl. A-7, Downgraded to B2; previously on Mar
18, 2010 Baa1 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RFMSII Home Loan Trust 2003-HI3
Expected Losses (as a % of Original Balance): 11%
A-II, Downgraded to B1; previously on Mar 18,
2010 Aa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
A-I-5, Downgraded to B2; previously on Mar 18,
2010 Aa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RFMSII Home Loan Trust 2004-HI2
Expected Losses (as a % of Original Balance): 16%
Cl. A-5, Downgraded to Caa1; previously on Mar
18, 2010 Ba3 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa1; previously on Mar 18,
2010 Ba3 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2004-HI3
Expected Losses (as a % of Original Balance): 17%
Cl. A-5, Confirmed at B2; previously on Mar 18,
2010 B2 Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at B2; previously on Mar 18,
2010 B2 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2005-HI1
Expected Losses (as a % of Original Balance): 19%
Cl. A-4, Confirmed at Aaa; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Underlying Rating: Confirmed at Aaa; previously on Mar 18,
2010 Aaa Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-5, Downgraded to Caa1; previously on Mar
18, 2010 B1 Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa1; previously on Mar 18,
2010 B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2006-HI2
Expected Losses (as a % of Original Balance): 35%
Cl. A-2, Downgraded to A1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to A1; previously on Mar 18,
2010 Aa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-3, Downgraded to Ba1; previously on Mar
18, 2010 A1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Ba1; previously on Mar 18,
2010 A1 Remained On Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-4, Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Ca; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2006-HI3
Expected Losses (as a % of Original Balance): 38%
Cl. A-2, Downgraded to A1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to A1; previously on Mar 18,
2010 Aa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-3, Downgraded to Ba1; previously on Mar
18, 2010 Baa2 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Ba1; previously on Mar 18,
2010 Baa2 Remained On Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-4, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2006-HI4
Expected Losses (as a % of Original Balance): 45%
Cl. A-2, Downgraded to A1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to A1; previously on Mar 18,
2010 Aa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-3, Downgraded to B1; previously on Mar
18, 2010 Ba2 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to B1; previously on Mar 18,
2010 Ba2 Remained On Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2006-HI5
Expected Losses (as a % of Original Balance): 43%
Cl. A-1, Confirmed at Aaa; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Underlying Rating: Confirmed at Aaa; previously on Mar 18,
2010 Aaa Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-2, Downgraded to A2; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to A2; previously on Mar 18,
2010 Aa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-3, Downgraded to Ba3; previously on Mar
18, 2010 Ba2 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Ba3; previously on Mar 18,
2010 Ba2 Remained On Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII Home Loan Trust 2007-HI1
Expected Losses (as a % of Original Balance): 47%
Cl. A-1, Downgraded to A1; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to A1; previously on Mar 18,
2010 Aaa Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-2, Downgraded to Baa1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Baa1; previously on Mar 18,
2010 Aa1 Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Cl. A-3, Downgraded to B2; previously on Mar
18, 2010 Ba2 Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to B2; previously on Mar 18,
2010 Ba2 Remained On Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn 3/25/2009)
Issuer: RFMSII, Inc. Home Loan Trust 2002-HI2
Expected Losses (as a % of Original Balance): 9%
Cl. A-I-7, Downgraded to Caa1; previously
on Mar 18, 2010 B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II, Downgraded to Caa1; previously on Mar
18, 2010 B1 Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Secuirities II, Inc.
Home Loan-Backed Notes, Series 1999-HI1
Expected Losses (as a % of Original Balance): 10%
A-6, Downgraded to Baa1; previously on Mar 18,
2010 Aa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.
, Series 1999-HI4
Expected Losses (as a % of Original Balance): 9%
A-7, Downgraded to A3; previously on Mar 18, 2010
Aa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.
Home Loan-Backed Notes, Series 1999-HI8
Expected Losses (as a % of Original Balance): 10%
Cl. A-I-7, Downgraded to Baa1; previously
on Mar 18, 2010 A3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
CL. A-I-8, Downgraded to Baa1; previously
on Mar 18, 2010 A3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.
Series 2000-HI1
Expected Losses (as a % of Original Balance): 10%
Cl. A-I-7, Downgraded to Baa2; previously
on Mar 18, 2010 A3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.
Series 2000-HI2
Expected Losses (as a % of Original Balance): 10%
Cl. A-I-5, Downgraded to Baa2; previously
on Mar 18, 2010 Aa3 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.,
Series 1999-HI6
Expected Losses (as a % of Original Balance): 10%
Cl. A-I-7, Downgraded to Baa1; previously
on Mar 18, 2010 A1 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
CL. A-I-8, Downgraded to Baa1; previously
on Mar 18, 2010 A1 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Residential Funding Mortgage Securities II, Inc.,
Series 2000-HI3
Expected Losses (as a % of Original Balance): 10%
Cl. A-I-7, Downgraded to Ba1; previously
on Mar 18, 2010 A1 Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: Home Loan Trust 2002-HI5
Expected Losses (as a % of Original Balance): 9%
A-7, Downgraded to A1; previously on Mar 18, 2010
Aaa Remained On Review for Possible Downgrade
M-1, Downgraded to Baa1; previously on Mar 18,
2010 A1 Remained On Review for Possible Downgrade
M-2, Downgraded to Baa2; previously on Mar 18,
2010 Baa1 Remained On Review for Possible Downgrade
M-3, Confirmed at B3; previously on Mar 18, 2010
B3 Placed Under Review for Possible Downgrade
B, Confirmed at Caa2; previously on Mar 18, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2002-HI4
Expected Losses (as a % of Original Balance): 10%
Cl. A-6, Downgraded to A1; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1; previously on Mar
18, 2010 Aa2 Remained On Review for Possible Downgrade
Cl. M-2, Downgraded to Baa3; previously on Mar
18, 2010 A2 Remained On Review for Possible Downgrade
Cl. M-3, Downgraded to B1; previously on Mar
18, 2010 Baa2 Remained On Review for Possible Downgrade
Certificate (Component B), Downgraded to B2; previously on
Mar 18, 2010 Ba2 Placed Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2003-HI1
Expected Losses (as a % of Original Balance): 11%
A-7, Downgraded to A1; previously on Mar 18, 2010
Aaa Remained On Review for Possible Downgrade
M-1, Downgraded to Baa1; previously on Mar 18,
2010 Aaa Remained On Review for Possible Downgrade
M-2, Downgraded to Baa3; previously on Mar 18,
2010 Baa1 Remained On Review for Possible Downgrade
M-3, Confirmed at B3; previously on Mar 18, 2010
B3 Placed Under Review for Possible Downgrade
B, Confirmed at Caa2; previously on Mar 18, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2003-HI2
Expected Losses (as a % of Original Balance): 12%
Cl. A-6, Downgraded to A2; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1; previously on Mar
18, 2010 Aa2 Remained On Review for Possible Downgrade
Cl. M-2, Downgraded to Ba1; previously on Mar
18, 2010 A2 Remained On Review for Possible Downgrade
Cl. M-3, Confirmed at B2; previously on Mar 18,
2010 B2 Placed Under Review for Possible Downgrade
Cl B, Confirmed at Caa2; previously on Mar 18, 2010 Caa2
Placed Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2004-HI1
Expected Losses (as a % of Original Balance): 13%
A-5, Downgraded to A1; previously on Mar 18, 2010
Aaa Remained On Review for Possible Downgrade
M-1, Downgraded to Baa1; previously on Mar 18,
2010 Aa2 Remained On Review for Possible Downgrade
M-2, Downgraded to Ba1; previously on Mar 18,
2010 A2 Remained On Review for Possible Downgrade
M-3, Downgraded to Ba2; previously on Mar 18,
2010 Baa2 Remained On Review for Possible Downgrade
M-4, Downgraded to B1; previously on Mar 18, 2010
Ba2 Placed Under Review for Possible Downgrade
M-5, Confirmed at B2; previously on Mar 18, 2010
B2 Placed Under Review for Possible Downgrade
B, Downgraded to C; previously on Mar 18, 2010 Caa2 Placed
Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2005-HI2
Expected Losses (as a % of Original Balance): 21%
Cl. A-4, Downgraded to Aa1; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. A-5, Downgraded to A3; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Cl. M-2, Downgraded to Baa2; previously on Mar
18, 2010 Aa2 Remained On Review for Possible Downgrade
Cl. M-3, Downgraded to Baa3; previously on Mar
18, 2010 Aa3 Remained On Review for Possible Downgrade
Cl. M-4, Downgraded to Ba1; previously on Mar
18, 2010 A1 Remained On Review for Possible Downgrade
Cl. M-5, Downgraded to Ba3; previously on Mar
18, 2010 A2 Remained On Review for Possible Downgrade
Cl. M-6, Downgraded to B1; previously on Mar
18, 2010 Baa1 Remained On Review for Possible Downgrade
Cl. M-7, Downgraded to B2; previously on Mar
18, 2010 Baa3 Remained On Review for Possible Downgrade
Cl. M-8, Downgraded to C; previously on Mar 18,
2010 Ba3 Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C; previously on Mar 18,
2010 B2 Placed Under Review for Possible Downgrade
Issuer: RFMSII Home Loan Trust 2006-HI1
Expected Losses (as a % of Original Balance): 31%
Cl. A-3, Downgraded to A1; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. A-4, Downgraded to Baa1; previously on Mar
18, 2010 Aaa Remained On Review for Possible Downgrade
Cl. M-1, Downgraded to Ba1; previously on Mar
18, 2010 Aa1 Remained On Review for Possible Downgrade
Cl. M-2, Downgraded to B1; previously on Mar
18, 2010 A2 Remained On Review for Possible Downgrade
Cl. M-3, Downgraded to B2; previously on Mar
18, 2010 A3 Remained On Review for Possible Downgrade
Cl. M-4, Downgraded to Ca; previously on Mar
18, 2010 Baa1 Remained On Review for Possible Downgrade
Cl. M-5, Downgraded to C; previously on Mar 18,
2010 Baa3 Remained On Review for Possible Downgrade
Cl. M-6, Downgraded to C; previously on Mar 18,
2010 Ba2 Placed Under Review for Possible Downgrade
Cl. M-7, Downgraded to C; previously on Mar 18,
2010 B1 Placed Under Review for Possible Downgrade
Cl. M-8, Downgraded to C; previously on Mar 18,
2010 Caa1 Placed Under Review for Possible Downgrade
Cl. M-9, Downgraded to C; previously on Mar 18,
2010 Ca Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF202363
For more information please see www.moodys.com.
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Peter Genis
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $1 bn of Second Lien RMBS issued by RFMSII