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27 Jul 2011
New York, July 27, 2011 -- Moody's Investors Service has downgraded the ratings of three tranches
from two synthetic jumbo deals issued by RESIX. The reference portfolios
of these transactions consist primarily of first-lien, fixed-rate
and adjustable-rate prime Jumbo residential mortgages purchased
from various originators.
RATINGS RATIONALE
The credit-linked notes issued by RESIX replicate the cash flow
of select subordinate tranches issued by synthetic RMBS deals RESI 2003-A
and RESI 2003-B. RESI deals are synthetic transactions that
provide the owner of a sizable pool of mortgages (the "Protection Buyer")
credit protection through a credit default swap with the issuer (the "Protection
Seller") of the notes. Through this agreement, the Protection
Buyer pays a fee in return for the transfer of a portion of the reference
portfolio credit risk.
The actions are a result of deteriorating performance of prime jumbo 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 rating
methodology has been updated to account for the deteriorating performance
and outlook.
The principal methodology used in these ratings is described in the Monitoring
and Performance Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008.
Other factors used in these ratings are described in "Pre-2005
US RMBS Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook. Please
see the Credit Policy page on www.moodys.com for a copy
of these methodologies.
To assess the ratings on the bonds, Moody's considered the level
of credit enhancement available for each tranche relative to updated loss
expectations of the reference pools.
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.
To assess ratings sensitivities, Moody's ran a 10% higher
projected loss on the reference pool of mortgages backing the RESI deals
and found that the ratings on the issued RESIX bonds do not change as
a result.
Complete rating actions are as follows:
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-A
Cl. B10, Downgraded to Ba1 (sf); previously on Aug 1,
2006 Upgraded to A1 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes,
Series 2003-B
Cl. B9, Downgraded to B2 (sf); previously on Nov 20,
2008 Upgraded to Baa2 (sf)
Cl. B10, Downgraded to Caa3 (sf); previously on Nov
20, 2008 Upgraded to Baa3 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF256448
For more information please see www.moodys.com.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
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the rating.
New York
Gregory Bessermann
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Deepika Kothari
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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 $188.8 thousands of Synthetic Jumbo RMBS issued by RESIX in 2003
No Related Data.
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