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23 Feb 2011
New York, February 23, 2011 -- Moody's Investors Service has downgraded the rating of class A-1
issued by RBSGC Structured Trust Pass-Through Certificates,
Series 2008-B from B3 to Caa2.
Issuer: RBSGC Structured Trust Pass-Through Certificates,
Series 2008-B
Cl. A-1, Downgraded to Caa2 (sf); previously
on Jan 29, 2010 B3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The action is as a result of the bond not having sufficient credit enhancement
to maintain the current rating compared to the revised loss expectation
on the pool of mortgages backing the underlying certificates.
The resecuritization is backed by classes 1A-10 and 1A-12
(the "Underlying Certificates") issued by CitiMortgage Alternative Loan
Trust 2007-A6. The underlying certificates are backed primarily
by first-lien, Alt-A residential
mortgage loans. The Class A-1 issued in the resecuritization
transaction is a senior class, supported by a subordinated bond
Class A-2, which receives principal payments after Class
A-1 but absorbs losses before Class A-1.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pool of loans backing the underlying
certificates and the updated ratings on the underlying certificates.
Moody's current loss expectation on the pool backing underlying certificates
is 27%
expressed as a percentage of remaining pool balance. The current
ratings of both the underlying certificates is Caa3.
(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 pool 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 Alt-A pools,
please refer to the methodology publications "Alt-A RMBS Loss Projection
Update: February 2010", available on Moodys.com.
In order to determine the ratings of the resecuritized bonds, the
loss on the underlying certificates were ascribed to the resecuritized
classes, A-1 and A-2, according to the structure
of the resecuritized transaction. The losses on the resecuritized
certificates are allocated "bottom up" with Class A-2 taking losses
ahead of Class A-1. Principal payments to the certificates
are allocated sequentially, with Class A-1 being paid ahead
of Class A-2.
Other methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. 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.
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 pool of loans backing the underlying certificates by an additional
10% and found that the implied rating of A-1 changes to
Caa3.
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:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF236933
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
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Please see ratings tab on the issuer/entity page on Moodys.com
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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
Moody's downgrades $125 mn of RMBS resecuritized bond issued by RBSGC Structured Trust Pass-Through Certificates, Series 2008-B
No Related Data.
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