New York, April 05, 2011 -- Moody's Investors Service has downgraded the ratings of 109 tranches and
confirmed the ratings of six tranches from 13 Subprime deals issued by
Residential Asset Securities Corporation (RASC) and six deals issued by
Residential Asset Mortgage Products (RAMP). The collateral backing
these deals primarily consists of first-lien, fixed and adjustable-rate
Subprime residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
securitized before 2005.
The principal methodology used in these ratings was "Pre-2005 US
RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current levels of credit enhancement,
collateral performance and updated pool-level loss expectations.
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.
In addition, as to all the deals covered in these rating actions
except for RASC 1999-RS1, RAMP 2001-RS2, RAMP
2003-RZ1, and RAMP 2004-RZ3, Moody's has
adjusted the ratings to reflect certain loss allocation rules outlined
in the Pooling and Servicing Agreement (PSA). Each of the PSAs
for these deals states that losses are first covered by excess spread,
then allocated to the related group's certificated over-collateralization
(OC) amount. However, any remaining group losses will not
be applied to the related certificates until the aggregate deal collateral
balance is less than the aggregate balance of all Class A and Class M
certificates. Group losses are never explicitly allocated to the
unrelated groups' certificated OC amount. Previous rating
actions relied on conflicting language in the Prospectus Supplement,
which provides that collateral group losses not covered by excess spread
are allocated to the unrelated groups' certificated OC amount after
allocating to the related group's certificated OC amount.
The trustee has confirmed that it is following the PSA for all deals covered
in these rating actions and Moody's has adjusted its analysis accordingly.
The above mentioned approach "Pre-2005 US RMBS Surveillance Methodology"
is adjusted slightly when estimating losses on pools left with a small
number of loans to account for the volatile nature of small pools.
Even if a few loans in a small pool become delinquent, there could
be a large increase in the overall pool delinquency level due to the concentration
risk. To project losses on pools with fewer than 100 loans,
Moody's first estimates a "baseline" average rate of new delinquencies
of 11% for pools originated and securitized before 2005 ).
The baseline rate is generally higher than the average rate of new delinquencies
for larger pools. Once the baseline rate is set, further
adjustments are made based on 1) the number of loans remaining in the
pool and 2) the level of current delinquencies in the pool. The
fewer the number of loans remaining in the pool, the higher the
volatility in performance. Once the loan count in a pool falls
below 75, the rate of delinquency is increased by 1% for
every loan less than 75. For example, for a pool with 74
loans from the 2004 vintage, the adjusted rate of new delinquency
would be 11.11%. In addition, if the current
delinquency level in a small pool is low, future delinquencies are
expected to reflect this trend. To account for that, the
rate calculated above is multiplied by a factor ranging from 0.85
to 2.25 for current delinquencies ranging from less than 10%
to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the approach described
in the methodology publication.
Certain tranches in transactions serviced by GMAC Mortgage, LLC's
(GMACM), were placed on review for possible downgrade in 2010 due
to two concerns regarding the servicer's practices. Firstly,
GMACM used shared custodial bank accounts for multiple RMBS transactions
and secondly, GMACM had to suspend foreclosures in 25 states due
to irregularities in its foreclosure processes. As GMACM is a subsidiary
of C rated Residential Capital, LLC (RFC), in case of a default,
losses could have been absorbed by the trusts.
Since the tranches were placed on review, GMACM has eliminated the
use of a common bank account across RMBS deals and set up individual accounts
for each transaction. Also, GMACM has reviewed and revamped
its foreclosure process, and has lifted its suspension of foreclosure
sales and evictions on a case by case basis.
Today's ratings actions are based on recent pool performance and
the available credit enhancement. Moody's is not keeping
these bond under further review due to the two issues highlighted above
as they have been resolved.
However, the state attorneys general are engaged in ongoing discussions
with several servicers regarding loan modifications and foreclosure procedures.
The ultimate settlement of those discussions may entail fines, loan
forgiveness, cash payments to borrowers or other features that could
reduce future cash flows to RMBS investors. Moody's will
continue to monitor the outcome and assess future credit implications
on the ratings as the situation evolves.
Certain securities, as noted below, are insured by financial
guarantors. 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.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe. For more information please see
www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: RASC Series 2003-KS11 Trust
Cl. A-I-4, Downgraded to A1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to A2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to A1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Ba2 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to Ca (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to C (sf); previously
on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2003-KS4 Trust
Cl. A-I-5, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-II-A, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-B, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-III, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. M-I-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2003-KS5 Trust
Cl. A-I-5, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-6, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-A, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-B, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RASC Series 2003-KS9 Trust
Cl. A-I-4, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-5, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-6, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-A, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-B, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RASC Series 2004-KS1 Trust
Cl. A-I-4, Downgraded to Baa2 (sf); previously
on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to Baa2 (sf); previously
on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa1 (sf); previously
on Mar 3, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to B2 (sf); previously
on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa2 (sf); previously
on Mar 3, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Mar 3, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to C (sf); previously
on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS2 Trust
Cl. A-I-4, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to B2 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to C (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS3 Trust
Cl. A-I-4, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to C (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS4 Trust
Cl. A-I-4, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-5, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-6, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-A, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II-B3, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RASC Series 2004-KS5 Trust
Cl. A-I-4, Downgraded to B2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to B2 (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to B1 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS6 Trust
Cl. A-I-4, Downgraded to Ba2 (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to Ba2 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Ba1 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Confirmed at Ca (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to C (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: RASC Series 2004-KS7 Trust
Cl. A-I-4, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-5, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-6, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Apr
8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-A, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Ca (sf); previously on Apr
8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-B3, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Ca (sf); previously on Apr
8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Residential Asset Securities Corporation, Series 2001-KS1
A-I-5, Downgraded to Caa3 (sf); previously on
Apr 8, 2010 Aa3 (sf) Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Caa3 (sf); previously on Apr
8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
A-I-6, Downgraded to Caa2 (sf); previously on
Apr 8, 2010 Aa3 (sf) Remained On Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Apr
8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
A-II, Confirmed at Aa2 (sf); previously on Mar 3,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RAMP Series 2001-RS2, Mortgage Asset-Backed
Pass-Through Certificates, Series 2001-RS2
Cl. A-II, Downgraded to A1 (sf); previously on
Sep 27, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to B1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to Ca (sf); previously
on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-II, Downgraded to C (sf); previously on
Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-KR1 Trust
Cl. M-I-1, Downgraded to B2 (sf); previously
on Mar 3, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to B1 (sf); previously
on Mar 3, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-KR2 Trust
Cl. M-I-2, Downgraded to Caa2 (sf); previously
on Mar 3, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to Ca (sf); previously
on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-4, Downgraded to C (sf); previously
on Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Downgraded to Ba3 (sf); previously
on Mar 3, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Downgraded to Ca (sf); previously
on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Residential Asset Securities Corporation, Series 1999-RS1
A-I-3, Downgraded to B3 (sf); previously on Apr
8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RAMP Series 2003-RZ1 Trust
Cl. A-I-5, Downgraded to B2 (sf); previously
on Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-6, Downgraded to B3 (sf); previously
on Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-I-7, Downgraded to B2 (sf); previously
on Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Cl. A-II, Downgraded to B2 (sf); previously on
Apr 8, 2010 A2 (sf) Remained On Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated Account
- Unrated)
Issuer: RAMP Series 2004-RZ2 Trust
Cl. A-I-4, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Apr
8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-6, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Apr
8, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II, Confirmed at Caa2 (sf); previously
on Apr 8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Caa2 (sf); previously on Apr
8, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-5, Confirmed at Caa3 (sf); previously
on Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Caa3 (sf); previously on Apr
8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RAMP Series 2004-RZ3 Trust
Cl. A-I-4, Downgraded to Ba1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Downgraded to Ba2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-I-6, Downgraded to Ba1 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-I-1, Downgraded to Ca (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to C (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-3, Downgraded to C (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-I-4, Downgraded to C (sf); previously
on Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-1, Confirmed at Aa2 (sf); previously
on Sep 27, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-2, Confirmed at A2 (sf); previously
on Sep 27, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-3, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-II-4, Downgraded to C (sf); previously
on Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF241461
A list of updated estimated pool losses and sensitivity analysis 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_SF237255
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, and 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
Maxim Pertsov
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Bruce D. Fabrikant
Senior Vice President
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 $1.4 billion of Subprime RMBS issued by GMAC-RFC in 1999 through 2004
